Exchange Rate Volatility and Agricultural Commodity Trade
No 235915, 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts from Agricultural and Applied Economics Association
This paper is concerned with the relationship between exchange rate volatility and agricultural commodity trade. Since the Bretton Woods system had been established in 1973, many countries have moved from a fixed exchange rate system to a floating system. The increase in volatility has provoked considerable interest both in the theoretical and empirical trade literature. I contribute to the ongoing debate on the relationship between exchange rate volatility and commodity trade by testing for a causal effect at the commodity level. My empirical results provide evidence for a significant effect of exchange rate volatility on agricultural commodity trade. I find that the higher the exchange rate volatility between two countries is, the less these countries trade with each other. The magnitude of this effect varies widely, but is strongest for differentiated commodities. Lastly, I find that the use of the end-month volatility measure masks the true effect of exchange rate volatility as the measure provides significantly lower effect estimates.
Keywords: International; Relations/Trade (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-int
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
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:ags:aaea16:235915
Access Statistics for this paper
More papers in 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts from Agricultural and Applied Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().