Exchange rate volatility and exports: Estimation of firms risk preferences

Udo Broll, Soumyatanu Mukherjee and Rudra Sensarma

No 05/17, CEPIE Working Papers from Technische Universität Dresden, Center of Public and International Economics (CEPIE)

Abstract: In this companion paper to Broll and Mukherjee (2017), we empirically analyse how exchange rate volatilities affect firms optimal production and exporting decisions. The firms elasticity of risk aversion determines the direction of the impact of exchange rate risk on exports. Based on a flexible utility function that incorporates all possible risk preferences, a unique structurally estimable equation is used to estimate the risk aversion elasticities for a panel of Indian service sector (non-financial) firms over 2004-2015, using the quantile regression method.

Keywords: exports; exchange rate volatility; risk aversion (search for similar items in EconPapers)
JEL-codes: D21 D81 F10 F31 (search for similar items in EconPapers)
Date: 2017
New Economics Papers: this item is included in nep-int and nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:tudcep:0517

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