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

John Cotter and Don Bredin

No 200619, Working Papers from Geary Institute, University College Dublin

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.

Keywords: Exports; Volatility; Real & Nominal effects (search for similar items in EconPapers)
JEL-codes: C32 F31 (search for similar items in EconPapers)
Pages: 16pages
Date: 2011
New Economics Papers: this item is included in nep-int and nep-opm
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ucd:wpaper:200619

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