Real & nominal foreign exchange volatility effects on exports – the importance of timing
|Title:||Real & nominal foreign exchange volatility effects on exports – the importance of timing||Authors:||Bredin, Donal
|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:||Exports; Volatility; Real & Nominal effects||Subject LCSH:||Time-series analysis
|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versions:||http://www.ucd.ie/bankingfinance/docs/forex_bredin_cotter_mar_2006.PDF||Language:||en||Status of Item:||Not peer reviewed|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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