English, Article, Journal or magazine article edition: On the Sensitivity of the Volume and Volatility of Bilateral Trade Flows to Exchange Rate Uncertainty Christopher F. Baum; Mustafa Caglayan

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Bookmark: http://trove.nla.gov.au/version/73656
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • On the Sensitivity of the Volume and Volatility of Bilateral Trade Flows to Exchange Rate Uncertainty
Author
  • Christopher F. Baum
  • Mustafa Caglayan
Physical Description
  • preprint
Notes
  • We present an empirical investigation of the hypotheses that exchange rate volatility 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 volatility has a consistent positive and significant effect on the volatility of bilateral trade flows, helping us better understand macroeconomic volatility.
  • exchange rates, volatility, fractional integration, trade flows
  • RePEc:boc:bocoec:641
Language
  • English
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