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

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Title: Real & nominal foreign exchange volatility effects on exports – the importance of timing
Authors: Bredin, Donal
Cotter, John
Permanent link: http://hdl.handle.net/10197/1177
Date: 2006
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/Report no.: Centre for Financial Markets working paper series; WP-06-12
Copyright (published version): 2006, Centre for Financial Markets
Keywords: ExportsVolatilityReal & Nominal effects
Subject LCSH: Time-series analysis
Foreign exchange
Exports
Other versions: http://www.ucd.ie/bankingfinance/docs/forex_bredin_cotter_mar_2006.PDF
Language: en
Status of Item: Not peer reviewed
Appears in Collections:Centre for Financial Markets Working Papers

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