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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

Author(s)
Bredin, Donal  
Cotter, John  
Uri
http://hdl.handle.net/10197/1629
Date Issued
2009-11-19T16:30:10Z
Date Available
2009-11-19T16:30:10Z
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
Subjects

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/
File(s)
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cotterj_article_post_026.pdf

Size

112.31 KB

Format

Adobe PDF

Checksum (MD5)

37794f91e92ae808d83306d168289849

Owning collection
Business Research Collection

Item descriptive metadata is released under a CC-0 (public domain) license: https://creativecommons.org/public-domain/cc0/.
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