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Exchange rate volatility and United States export to Canada and Japan

Exchange rate volatility and United States export to Canada and Japan
Exchange rate volatility and United States export to Canada and Japan
This paper investigates the influence of exchange rate volatility on the real exports of the United States to Canada and Japan during the current flexible exchange rate period (1974–1998). The Johansen multivariate cointegration method and the constrained error correction (general-to-specific) method are applied to study the relationship between real exports 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 exports. These exchange rate volatility effects are mostly negative
real exports, volatility, GARCH, conditional variance, cointegration, error correction
0889-1583
51-71
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728

Choudhry, Taufiq (2005) Exchange rate volatility and United States export to Canada and Japan. Journal of the Japanese and International Economy, 19 (1), 51-71. (doi:10.1016/j.jjie.2003.11.002).

Record type: Article

Abstract

This paper investigates the influence of exchange rate volatility on the real exports of the United States to Canada and Japan during the current flexible exchange rate period (1974–1998). The Johansen multivariate cointegration method and the constrained error correction (general-to-specific) method are applied to study the relationship between real exports 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 exports. These exchange rate volatility effects are mostly negative

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More information

Published date: 2005
Keywords: real exports, volatility, GARCH, conditional variance, cointegration, error correction

Identifiers

Local EPrints ID: 37449
URI: https://eprints.soton.ac.uk/id/eprint/37449
ISSN: 0889-1583
PURE UUID: 9a22ed05-9c15-4a4f-94a6-6bd7d20ac75d

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Date deposited: 22 May 2006
Last modified: 17 Jul 2017 15:42

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