Exchange rate volatility and United Kingdom trade: evidence from Canada, Japan and New Zealand
Exchange rate volatility and United Kingdom trade: evidence from Canada, Japan and New Zealand
This paper investigates the influence of exchange rate volatility on the real imports of the United Kingdom from Canada, Japan and New Zealand during the period 1980–2003. The Johansen multivariate cointegration method and the constrained error correction (general-to-specific) method are applied to study the relationship between real imports and its determinants (including exchange rate volatility). Conditional variance from the GARCH(1,1) model is applied as exchange rate volatility. Both nominal and real exchange rates are employed in the empirical study. Results indicate a significant effect of the exchange rate volatility on real imports. These exchange rate volatility effects are mostly positive.
real exports, volatility, garch, conditional variance, cointegration
13pp
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728
26 March 2008
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728
Choudhry, Taufiq
(2008)
Exchange rate volatility and United Kingdom trade: evidence from Canada, Japan and New Zealand.
Empirical Economics, .
(doi:10.1007/s00181-008-0185-2).
Abstract
This paper investigates the influence of exchange rate volatility on the real imports of the United Kingdom from Canada, Japan and New Zealand during the period 1980–2003. The Johansen multivariate cointegration method and the constrained error correction (general-to-specific) method are applied to study the relationship between real imports and its determinants (including exchange rate volatility). Conditional variance from the GARCH(1,1) model is applied as exchange rate volatility. Both nominal and real exchange rates are employed in the empirical study. Results indicate a significant effect of the exchange rate volatility on real imports. These exchange rate volatility effects are mostly positive.
This record has no associated files available for download.
More information
Published date: 26 March 2008
Keywords:
real exports, volatility, garch, conditional variance, cointegration
Identifiers
Local EPrints ID: 51609
URI: http://eprints.soton.ac.uk/id/eprint/51609
ISSN: 0377-7332
PURE UUID: a0391185-143f-47ca-98c3-e53dc5be5cf4
Catalogue record
Date deposited: 05 Jun 2008
Last modified: 16 Mar 2024 03:16
Export record
Altmetrics
Download statistics
Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.
View more statistics
