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| Wang, Kai-Li; Barrett, Christopher B.. |
| This paper takes a new empirical look at the long-standing question of the effect of exchange rate volatility on international trade flows by studying the case of Taiwan's exports to the United States from 1989-1998. In particular, we employ sectoral-level, monthly data and an innovative multivariate GARCH-M estimator with corrections for leptokurtic errors. This estimator allows for the possibility that traders' forward-looking contracting behavior might condition the way in which exchange rate movement and associated risk affect trade volumes. Change in importing country industrial production and change in the expected exchange rate are found to jointly drive the trade volumes. More strikingly, monthly exchange rate volatility affects agricultural trade... |
| Tipo: Journal Article |
Palavras-chave: Agricultural trade; Exchange rate; Expectations; GARCH; International Relations/Trade. |
| Ano: 2007 |
URL: http://purl.umn.edu/8643 |
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| Wang, Kai-Li; Barrett, Christopher B.. |
| This paper takes a new empirical look at the longstanding question of the effect of exchange rate volatility on international trade flows by studying the case of Taiwan's exports to the United States from 1989-1998. In particular, we employ sectoral level, monthly data and a multivariate GARCH-M estimator with corrections for leptokurtic errors that is consistent with the core hypothesis that traders' forward contracting behavior might be affected by exchange rate risk. We find that real exchange rate risk has insignificant effects in most sectors, although agricultural trade volumes appear highly responsive to real exchange rate volatility. These results differ significantly from those obtained using more conventional and restrictive modeling... |
| Tipo: Working or Discussion Paper |
Palavras-chave: International Relations/Trade; F1; F3. |
| Ano: 2002 |
URL: http://purl.umn.edu/14751 |
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