Volatility and Irish exports

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Title: Volatility and Irish exports
Authors: Bredin, Donal
Cotter, John
Permanent link: http://hdl.handle.net/10197/1165
Date: 12-Oct-2004
Abstract: We analyse the impact of volatility per se on exports for a a small open economy concentrating on Irish trade with the UK and the US. An important element is that we take account of the time lag between the trade decision and the actual trade or payments taking place by using a flexible lag approach. Rather than adopt a single measure of risk we also adopt a spectrum of risk measures and detail varied size characteristics and statistical properties. We find that the ambiguous results found to date may well be due to not taking account of the timing effect which varies substantially depending on which volatility measure is used. However, the foreign exchange volatility effect is consistently positive, indicating the dominance of exporters expectations of possible profitable opportunities from future cash flows. The potential negative aspects of trade, the entry and exit costs, are accounted for by a negative influence of income volatility on trade.
Type of material: Working Paper
Publisher: University College Dublin. School of Business. Centre for Financial Markets
Series/Report no.: Centre for Financial Markets working paper series; WP-05-01
Copyright (published version): 2004, Centre for Financial Markets
Keywords: ExportsRisk measurementDistributed lags
Subject LCSH: Exports--Ireland
Risk--Econometric models
Distributed lags (Economics)
Other versions: http://www.ucd.ie/bankingfinance/docs/wp/WP-2005-1-exportvolatility.pdf
Language: en
Status of Item: Not peer reviewed
Appears in Collections:Centre for Financial Markets Working Papers

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