Why you should use high frequency data to test the impact of exchange rate on trade

Karam Shaar and Mohammed Khaled

No 20137, Working Paper Series from Victoria University of Wellington, School of Economics and Finance

Abstract: This study suggests that testing the impact of exchange rate on trade should be done using high frequency data. Using different data frequencies for identical periods and specifications between the US and Canada, we show that low frequency data might suppress and distort the evidence of the impact of exchange rate on trade in the short-run and the long-run.

Keywords: Data frequency; Exchange rate and trade; J-Curve Theory; ARDL Cointegration; US-Canada trade (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:vuw:vuwecf:20137

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