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

Mohsen Bahmani-Oskooee, Ridha Nouira () and Sami Saafi ()
Additional contact information
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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://link.springer.com/10.1007/s10368-019-00455-0 Abstract (text/html)
Access to full text is restricted to subscribers.

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:kap:iecepo:v:17:y:2020:i:1:d:10.1007_s10368-019-00455-0

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/10368/PS2

DOI: 10.1007/s10368-019-00455-0

Access Statistics for this article

International Economics and Economic Policy is currently edited by Paul J.J. Welfens, Holger C. Wolf, Christian Pierdzioch and Christian Richter

More articles in International Economics and Economic Policy from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().