Nonlinear Effects of Exchange Rate Volatility on the Volume of Bilateral Exports

Christopher Baum, Mustafa Caglayan () and Neslihan Ozkan

No 488, Boston College Working Papers in Economics from Boston College Department of Economics

Abstract: In this paper, we empirically investigate the impact of exchange rate volatility on real international trade flows utilizing a 13-country dataset of monthly bilateral real exports for 1980--1998. We compute one-month-ahead exchange rate volatility from the intra--monthly variations in the exchange rate to better quantify this latent variable. We find that the effect of exchange rate volatility on trade flows is nonlinear, depending on its interaction with the importing country's volatility of economic activity, and that it varies considerably over the set of country pairs considered.

Keywords: exchange rates; volatility; trade flows (search for similar items in EconPapers)
JEL-codes: C22 F17 F31 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2000-12-28, Revised 2002-07-30
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Citations: View citations in EconPapers (4)

Published, Journal of Applied Econometrics, 19:1-23, 2004

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Related works:
Journal Article: Nonlinear effects of exchange rate volatility on the volume of bilateral exports (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocoec:488

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