Eects of Exchange Rate Volatility on the Volume and Volatility of Bilateral Exports (original) (raw)
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Effects of Exchange Rate Volatility on the Volume and Volatility of Bilateral Exports
2007
We present an empirical investigation of a recently suggested but untested proposition that exchange rate volatility can have an impact on both the volume and variability of trade flows, considering a broad set of countries' bilateral real trade flows over the period 1980-1998. We generate proxies for the volatility of real trade flows and real exchange rates after carefully scrutinizing these variables' time series properties. Similar to the findings of earlier theoretical and empirical research, our first set of results show that the impact of exchange rate uncertainty on trade flows is indeterminate. Our second set of results provide new and novel findings that exchange rate volatility has a consistent positive and significant effect on the volatility of bilateral trade flows. JEL: F17, F31, C22.
Journal of International Money and Finance, 2010
We present an empirical investigation of the hypotheses that exchange rate uncertainty may have an impact on both the volume and variability of trade flows by considering a broad set of industrial countries' bilateral real trade flows over the period 1980-1998. Similar to the findings of earlier theoretical and empirical research, our first set of results shows that the impact of exchange rate uncertainty on trade flows is indeterminate. Our second set of results provides new and novel findings that exchange rate uncertainty has a consistent positive and significant effect on the volatility of bilateral trade flows, helping us better understand macroeconomic volatility.
Nonlinear effects of exchange rate volatility on the volume of bilateral exports
Journal of Applied Econometrics, 2004
In this paper, we empirically investigate the impact of exchange rate volatility on real international trade ows utilizing a 13 country dataset of monthly bilateral real exports for 1980 1998. We compute one month ahead exchange rate volatility from the intra monthly variations in the exchange rate to better quantify this latent variable. We nd that the effect of exchange rate volatility on trade ows is nonlin-1 We acknowledge the expert research assistance provided by Tairi Room, and thank John Barkoulas and Franc Klaassen for productive conversations on these issues. Consultations with Nicholas J. Cox on programming practices were very helpful. We received useful comments on an earlier
The volatility of international trade flows and exchange rate uncertainty
2009
Empirical evidence obtained from data covering Eurozone countries, other industrialized countries, and newly industrialized countries (NICs) over 1980-2006 shows that exchange rate uncertainty has a consistent positive and significant effect on the volatility of bilateral trade flows. A one standard deviation increase in exchange rate uncertainty leads to an eight per cent increase in trade volatility. These effects differ markedly for trade flows between industrialized countries and NICs, and are not mitigated by the presence of the Eurozone. Contrary to earlier findings, our results also suggest that exchange rate uncertainty does not affect the volume of trade flows of either industrialized countries or NICs. * We gratefully acknowledge the British Academy's support under grant RB114639. The standard disclaimer applies.
Exchange Rate Volatility and Trade: External Exchange Rate Volatility Matters
Journal of International Commerce, Economics and Policy, 2020
We investigate the role of external exchange rate volatility in export in addition to the effect of bilateral exchange rate volatility using country-, sector-, and destination-specific detailed export data of the World Bank Exporter Dynamics Database. The results show that while the bilateral exchange rate volatility has a depressing effect on export, the external exchange rate volatility generates trade-promoting effect on export. However, the magnitude of the effect depends on trade intensity between countries. Furthermore, while the role of external exchange rate volatility diminished after the Global Financial Crisis, the effect of its volatility has become larger. Finally, external exchange rate volatility has a larger trade-promoting effect on export in the presence of high volatilities than the effect in the presence of low volatilities.
Exchange Rate Volatility and Trade Flows
After the collapse of Bretton-Woods system in 1973, many countries adopted the floating exchange rate regime. This situation led to fluctation and uncertainties in the exchange rates. There are number of studies that analyze the effect of Exchange rate volatility on trade flows but previous studies cannot obtain results about sectoral base due to the lack of disaggregated data sets. This study investigates the effects of exchange rate volatility on trade flows in Turkey. For this purpose using annual data covers the period 2002-2013. Exports to 15 European countries and imports from 15 European countries are analyzed by panel methodology. According to the test results, export sectors are negatively affected; import sectors are both positively and negatively affected from exchange rate volatility.
The Impact of exchange rate volatility on international trade
KDI School, 2019
THE IMPACT OF EXCHANGE RATE VOLATILITY ON INTERNATIONAL TRADE EVIDENCE FROM ASEAN MEMBER STATES By Lwin Khaing Nyunt This study analyses the association between the exchange rate instability and external trade (exports & imports) of AMSs whether negative effect or positive effect or not. We use Generalized Moment Method for statistical test and GARCH models for the measurement of EXV. This study examined to investigate how exchange rate instability on exports and imports of rich and poor countries in Asia. This study applies the annual panel data for the time frame of 2008 to 2017. The result of this study confirms the inverse linkage between the exchange rate instability and the changes in the exports volume and the imports volume, and even in this case, the magnitude is generally small. The estimation shows that the increased in REER will induce exports and imports and TOT increase on exporting and decrease on exporting. The increasing of GDP and inflation will cause a higher volume of exports and imports. The FDI is a positive significant effect on exports as well. The study summarizes that monetary policy can take the actions to diminish the exchange rate uncertainty and fiscal policy as well.
Exchange-rate volatility and trade: a semiparametric approach
Applied Economics, 2011
We use a gravity model to analyze the impact of exchange-rate volatility on the volume of bilateral international trade. Semiparametric regression methods are applied to pooled data for over 200 countries. Our results indicate that volatility affects trade negatively although at very high level of volatility the effect diminishes and eventually becomes statistically indistinguishable from zero. Countries apparently find avenues to mitigate the detrimental impact of exchange rate uncertainty when volatility attains very high levels. These results help reconcile the contradictory findings often found in the literature on the impact of exchange-rate uncertainty on trade volume.
2016
This thesis emphasizes, in particular, on the influence of exchange rate fluctuations on goods exports in South American economies by making use of a panel Vector Error Correction Model. In line with the majority of existing empirical evidence and literature, the results suggest that there is both a short run and a long run significant, negative relationship between exchange rate volatility and goods exports at an aggregated level. However, the results from multiple robustness checks, consisting of alternative operational measures of volatility, suggest that there is ambiguity to some extent with respect to the volatility-trade nexus. Moreover, a country-specific analysis shows that the volatility effects on the export industries of key importance are wavering in both direction and magnitude. This research contributes to a voluminous body of empirical work on the volatility-trade nexus, while fulfilling an exceptional role in the choice of the panel countries and in its idiosyncrati...