GARCH-based versus traditional measures of exchange-rate volatility: evidence from Korean industry trade
Mohsen Bahmani-Oskooee (),
Jungho Baek and
Scott Hegerty ()
International Journal of Trade and Global Markets, 2016, vol. 9, issue 2, 103-136
Because economic theory suggests that the effects of exchange-rate volatility on trade flows are not uniformly negative, it is necessary to test them empirically. This literature has grown in recent years to cover numerous country pairs and individual products, proving that these effects are indeed ambiguous. Yet, this has raised another important issue: properly measuring exchange-rate volatility. Previous research used annual data and standard deviation-based measure of exchange-rate volatility. In this paper, we use quarterly data and a GARCH-based measure of volatility to assess sensitivity of trade flows of 70 industries that trade between the USA and Korea. Comparing our findings in this paper to those of previous research, we discover that, indeed, the results are sensitive to different measures of exchange-rate volatility.
Keywords: exchange rate volatility; industry data; South Korea; United States; USA; GARCH; trade flows; volatility measurement. (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ids:ijtrgm:v:9:y:2016:i:2:p:103-136
Access Statistics for this article
More articles in International Journal of Trade and Global Markets from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Carmel O'Grady (). This e-mail address is bad, please contact .