Exchange rate volatility and international trade: International evidence from the MINT countries

By Dimitrios Asteriou, Kaan Masatçi, K. Pilbeam. 2016

186 citations recorded by the source corpus.

This paper examines the effect of exchange rate volatility on international trade volumes for Mexico, Indonesia, Nigeria, and Turkey. We use volatility predicted from GARCH models for both nominal and real effective exchange rate data. To detect the long-term relationship we use the autoregressive distributed lag (ARDL) bound testing approach, while for the short-term effects, Granger causality models are employed. The results show that, in the long term, there is no linkage between exchange rate volatility and international trade activities except for Turkey, and even in this case, the magnitude of the effect of volatility is quite small. In the short term, however, a significant causal relationship from volatility to import/export demand is detected for Indonesia and Mexico. In the case of Nigeria, unidirectional causality from export demand to volatility is found, while for Turkey, no causality between volatility and import/export demand is detected.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/43de6b04cdba9432277a674e11087daf7009fac9

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

On the asymmetric effects of exchange rate volatility on trade flows: New evidence from US-Malaysia trade at the industry level (2017, background): “3 Some recent studies since the review are Hall et al. (2010), Baek (2013), Hooy et al. (2015), and Asteriou et al. (2016).”