Real & nominal foreign exchange volatility effects on exports – the importance of timing

Donal Bredin and John Cotter

Centre for Financial Markets Working Papers from Research Repository, University College Dublin

Abstract: This paper compares real and nominal foreign exchange volatility effects on exports. Using a flexible lag version of the Goldstein-Khan two-country imperfect substitutes model for bilateral trade, we identify the overall effect into both a timing as well as a size impact. We find that the size impact of forecasted foreign exchange volatility does not vary according to the measure used in terms of magnitude and direction. However, there are very different timing effects, when we compare real and nominal foreign exchange rate volatility.

Keywords: Exports; Volatility; Real & Nominal effects; Time-series analysis; Foreign exchange; Exports (search for similar items in EconPapers)
JEL-codes: C32 F31 (search for similar items in EconPapers)
Date: 2006
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http://hdl.handle.net/10197/1177 First version, 2006 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:rru:cfmwps:10197/1177

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