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/10197/1629
Date: 19-Nov-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
Keywords: Exports;Volatility;Real & Nominal effects
Subject LCSH: Time-series analysis
Foreign exchange
Exports
Language: en
Status of Item: Peer reviewed
Appears in Collections:Business Research Collection

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