Real & Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing

John Cotter

MPRA Paper from University Library of Munich, Germany

Abstract: This paper compares real and nominal foreign exchange volatility effects on exports. Using a flexible lag version of the Goldstein-Khan two-country imperfect substitutes model for bilateral trade, we identify the overall effect into both a timing as well as a size impact. We find that the size impact of forecasted foreign exchange volatility does not vary according to the measure used in terms of magnitude and direction. However, there are very different timing effects, when we compare real and nominal foreign exchange rate volatility.

JEL-codes: G0 G15 (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:3494

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