Why You Should Use High-Frequency Data to Test the Impact of Exchange Rate on Trade

Karam Shaar and Mohammed Khaled ()
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Mohammed Khaled: School of Economics and Finance, Victoria University of Wellington

Chapter Chapter 21 in Advances in Panel Data Analysis in Applied Economic Research, 2018, pp 283-288 from Springer

Abstract: Abstract This study suggests that testing the impact of exchange rate on trade should be done using high-frequency data. Using different data frequencies for identical periods and specifications between the USA and Canada, we show that low-frequency data might suppress and distort the evidence of the impact of exchange rate on trade in the short run and the long run.

Keywords: Data frequency; Exchange rate and trade; J-curve theory; ARDL cointegration; US-Canada trade (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/978-3-319-70055-7_21

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