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A New Look at Exchange Rate Volatility and Trade Flows

A New Look at Exchange Rate Volatility and Trade Flows
Author: Mr. Peter B. Clark
Publisher: International Monetary Fund
Total Pages: 72
Release: 2004-09-30
Genre: Business & Economics
ISBN: 1452733872
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The effect of exchange rate volatility on trade flows was examined by a 1984 IMF study on G-7 countries. Over the past two decades, many developments in the world economy, such as the currency crises in the 1990s and increasing cross-border capital flows, may have exacerbated exchange rate volatility, while others, such as a deepening of the market in foreign exchange hedging instruments, may have reduced the impact of volatility on trade flows. Using recent advances in the economic theories on trade and in statistical methodologies, this paper revisits this important issue by taking into account these new developments and examining their effects on developing and transition economies, as well as on developed countries.

A New Look at Exchange Rate Volatility and Trade Flows

A New Look at Exchange Rate Volatility and Trade Flows
Author: Peter Barton Clark
Publisher: Occasional Papers
Total Pages: 63
Release: 2004
Genre: Business & Economics
ISBN: 9781589063587
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The effect of exchange rate volatility on trade flows was examined by a 1984 IMF study on G-7 countries. Over the past two decades, many developments in the world economy, such as the currency crises in the 1990s and increasing cross-border capital flows, may have exacerbated exchange rate volatility, while others, such as a deepening of the market in foreign exchange hedging instruments, may have reduced the impact of volatility on trade flows. Using recent advances in the economic theories on trade and in statistical methodologies, this paper revisits this important issue by taking into account these new developments and examining their effects on developing and transition economies, as well as on developed countries.

A New Look at the Trade Volume Effects of Real Exchange Rate Risk

A New Look at the Trade Volume Effects of Real Exchange Rate Risk
Author: Kai Li Wang
Publisher:
Total Pages: 0
Release: 2003
Genre:
ISBN:
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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 an innovative rational expectation-based 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 assumptions.