On the asymmetric effects of exchange‐rate volatility on trade flows: Evidence from US–UK Commodity Trade

Mohsen Bahmani‐Oskooee, Toan Huynh () and Muhammad Ali Nasir
Authors registered in the RePEc Author Service: Mohsen Bahmani-Oskooee

Scottish Journal of Political Economy, 2021, vol. 68, issue 1, 51-102

Abstract: We consider the response of each of the 67 industries that trade between the United States and United Kingdom to the volatility of the real dollar–pound exchange rate. When we follow previous research and estimate a linear ARDL model for each industry, we find short‐run effects of volatility in 22 US exporting industries to the United Kingdom that last into the long run only in nine industries. As for the UK exports to the United States, we find short‐run effects in 18 industries that last into the long run in 15 industries. However, when we estimate a nonlinear model for each industry, we find short‐run effects of volatility on 41 US exporting industries and on 43 UK exporting industries, all in an asymmetric manner. Short‐run asymmetric effects lasted into long‐run asymmetric effects in 24 US exporting industries to the United Kingdom and in 33 UK exporting industries to the United States. While total trade shares of industries from the linear models were negligible, those of the industries from the nonlinear models were significant in size, in the tune of one‐third of the trade.

Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://doi.org/10.1111/sjpe.12257

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:scotjp:v:68:y:2021:i:1:p:51-102

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0036-9292

Access Statistics for this article

Scottish Journal of Political Economy is currently edited by Tim Barmby, Andrew Hughes-Hallett and Campbell Leith

More articles in Scottish Journal of Political Economy from Scottish Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().