publication . Other literature type . Article . 2007

Estimating the Effects of Exchange Rate Volatility on Export Volumes

Wang, K. -L; Christopher Barrett;
English
  • Published: 01 Aug 2007
  • Publisher: Unknown
Abstract
This paper takes a new empirical look at the long-standing question of the effect of exchange rate volatility on international trade flows by studying the case of Taiwan's exports to the United States from 1989-1998. In particular, we employ sectoral-level, monthly data and an innovative multivariate GARCH-M estimator with corrections for leptokurtic errors. This estimator allows for the possibility that traders' forward-looking contracting behavior might condition the way in which exchange rate movement and associated risk affect trade volumes. Change in importing country industrial production and change in the expected exchange rate are found to jointly drive ...
Subjects
free text keywords: agricultural trade, exchange rate, expectations, GARCH, International Relations/Trade,, International Relations/Trade, agricultural trade, exchange rate, expectations, GARCH, Agriculture, S
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publication . Other literature type . Article . 2007

Estimating the Effects of Exchange Rate Volatility on Export Volumes

Wang, K. -L; Christopher Barrett;