Exchange Rate Volatility and Trade: A Meta-Regression Analysis
نویسندگان
چکیده
منابع مشابه
Exchange rate volatility and its effect on stock market volatility
This paper investigates empirically the effect of volatility of the exchange rate of the U.S. dollar vis-à-vis the euro on U.S. stock market volatility while controlling for a number of drivers of stock return volatility. Using a GARCH(1, 1) model and using weekly data covering the period from the week of January 1, 1999 through the week of January 25, 2010, it is found that the 9/11 terrorist ...
متن کاملThe volatility of international trade flows and exchange rate uncertainty∗
Empirical evidence obtained from data covering Eurozone countries, other industrialized countries, and newly industrialized countries (NICs) over 1980– 2006 shows that exchange rate uncertainty has a consistent positive and significant effect on the volatility of bilateral trade flows. A one standard deviation increase in exchange rate uncertainty leads to an eight per cent increase in trade vo...
متن کاملOn the Sensitivity of the Volume and Volatility of Bilateral Trade Flows to Exchange Rate Volatility∗
We present an empirical investigation of the hypotheses that exchange rate volatility may have an impact on both the volume and variability of trade flows by considering a broad set of industrial countries’ bilateral real trade flows over the period 1980–1998. Similar to the findings of earlier theoretical and empirical research, our first set of results shows that the impact of exchange rate u...
متن کاملThe Effect of Exchange Rate Volatility on Iran’s Bilateral Trade in Six Major Countries
The main aim of this study is to investigate the effect of exchange rate uncertainty on trade balance between Iran and countries which are major trading partner of Iran, using the EGARCH method and the ARDL model (to examine the coherency and short- and long-term dynamics of the model). The data used in this paper includes quarterly data in the period of 1995 to 2017 for the real effective exc...
متن کاملModelling exchange rate volatility
Two types of statistical models are empirically applied to test the pattern of volatility in the exchange rate markets. One considers the autoregressive models and tests the random walk hypothesis. The other considers the conditional variance process and tests the hypothesis of chaotic dynamics. Empirical results mostly support the random walk hypothesis and also the existence of Lorenz-type ch...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2077678