Explaining the Relationship between Exchange Rate Volatility and International Trades
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In this study, we re-examine the effect of exchange rate volatility on the United States’ bilateral real exports to Canada, South Korea, and Mexico using recent econometric techniques. In this effect, we use the exchange rate volatility as measured by the Markov switching-variance process. To identify the sign of the causal effects, we use the Markov Switching Vector Autocorrelation (MS-VAR) model. This model produces mixed results. Canada, and Korea provide statistically significant, negative relationship between exchange rate variability and trade but Mexico does not.
Abstract
In this study, we re-examine the effect of exchange rate volatility on the United States’ bilateral real exports to Canada, South Korea, and Mexico using recent econometric techniques. In this effect, we use the exchange rate volatility as measured by the Markov switching-variance process. To identify the sign of the causal effects, we use the Markov Switching Vector Autocorrelation (MS-VAR) model. This model produces mixed results. Canada, and Korea provide statistically significant, negative relationship between exchange rate variability and trade but Mexico does not.
참고문헌 (24)
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