English, Article, Journal or magazine article edition: Effects of Exchange Rate Volatility on the Volume and Volatility of Bilateral Exports Christopher F Baum; Mustafa Caglayan

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Bookmark: http://trove.nla.gov.au/version/34596
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Effects of Exchange Rate Volatility on the Volume and Volatility of Bilateral Exports
Author
  • Christopher F Baum
  • Mustafa Caglayan
Physical Description
  • preprint
Notes
  • 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.
  • exchange rates, volatility, fractional integration, trade flows
  • RePEc:mmf:mmfc06:64
Language
  • English
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