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Exchange-rate volatility and commodity trade between the U.S. and Germany: asymmetry analysis

Mohsen Bahmani-Oskooee (), Ridha Nouira () and Sami Saafi ()
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Ridha Nouira: Monastir University
Sami Saafi: Monastir University

International Economics and Economic Policy, 2020, vol. 17, issue 1, No 3, 67-124

Abstract: Abstract Recent introduction of asymmetric cointegration and error-correction modeling has revealed that failure to find a significant link between two variables could be due to ignoring the nonlinear adjustment of the exogenous variable. We assess the short-run and long-run effects of dollar-euro volatility on the trade flows of 67 2-digit industries that trade between the U.S. and Germany. When a linear model was estimated, we found short-run effects of volatility on 18 U.S. exporting and 19 U.S. importing industries. Short-run effects lasted into the long run in 10 and 22 industries, respectively. The numbers were much higher when a nonlinear model was estimated for each industry. Short-run asymmetric effects were discovered in 59 industries which lasted into long-run asymmetric effects in 19 U.S. exporting and 32 U.S. importing industries. Both small as well as large industries were affected.

Keywords: U.S.-German trade; 67 industries; Dollar-euro volatility; Asymmetry (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s10368-019-00455-0

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