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Real & nominal foreign exchange volatility effects on exports – the importance of timing
Author(s)
Date Issued
2006
Date Available
2009-06-11T16:12:47Z
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.
Type of Material
Working Paper
Publisher
University College Dublin. School of Business. Centre for Financial Markets
Series
Centre for Financial Markets working paper series
WP-06-12
Copyright (Published Version)
2006, Centre for Financial Markets
Classification
C32
F31
Subject – LCSH
Time-series analysis
Foreign exchange
Exports
Language
English
Status of Item
Not peer reviewed
This item is made available under a Creative Commons License
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