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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
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
0377-7332
13pp
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728
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, 13pp. (doi:10.1007/s00181-008-0185-2).

Record type: Article

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.

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More information

Published date: 26 March 2008
Keywords: real exports, volatility, garch, conditional variance, cointegration

Identifiers

Local EPrints ID: 51609
URI: https://eprints.soton.ac.uk/id/eprint/51609
ISSN: 0377-7332
PURE UUID: a0391185-143f-47ca-98c3-e53dc5be5cf4

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Date deposited: 05 Jun 2008
Last modified: 13 Mar 2019 20:48

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Contributors

Author: Taufiq Choudhry

University divisions

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