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  5. Real & nominal foreign exchange volatility effects on exports – the importance of timing
 
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Real & nominal foreign exchange volatility effects on exports – the importance of timing

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Author(s)
Bredin, Donal 
Cotter, John 
Uri
http://hdl.handle.net/10197/1629
Date Issued
19T16:30:10Z November 2009
Date Available
19T16:30:10Z November 2009
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
Journal Article
Journal
Finance Research Letters
Volume
Forthcoming
Keywords
  • Exports

  • Volatility

  • Real & Nominal effect...

Classification
C32
F31
Subject – LCSH
Time-series analysis
Foreign exchange
Exports
Language
English
Status of Item
Peer reviewed
ISSN
1544-6123
This item is made available under a Creative Commons License
https://creativecommons.org/licenses/by-nc-sa/1.0/
Owning collection
Business Research Collection
Views
1577
Acquisition Date
Feb 1, 2023
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Downloads
255
Last Month
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Acquisition Date
Feb 1, 2023
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