Some Further Evidence on Exchange-Rate Volatility and Exports

30 Pages Posted: 14 Jul 2022

See all articles by G. Hondroyiannis

G. Hondroyiannis

Bank of Greece

P.A.V.B. Swamy

Bureau of Labor Statistics

G. S. Tavlas

Bank of Greece

Michael Ulan

Government of the United States of America - Department of State

Date Written: July 14, 2022

Abstract

The relationship between exchange-rate volatility and aggregate export volumes for 12 industrial economies is examined using a model that includes real export earnings of oil-producing economies as a determinant of industrial-country export volumes. A supposition underlying the model is that, given their levels of economic development, oil-exporters’ income elasticities of demand for industrial-country exports might differ from those of industrial countries. Five estimation techniques, including a generalized method of moments (GMM) and random coefficient (RC) estimation, are employed on panel data covering the estimation period 1977:1-2003:4 using three measures of volatility. In contrast to recent studies employing panel data, we do not find a single instance in which volatility has a negative and significant impact on trade.

Keywords: Exchange-rate volatility, Trade, Random-coefficient estimation, Generalized method of moments, Panel

JEL Classification: C23, F3, F31

Suggested Citation

Hondroyiannis, G. and Swamy, Paravastu A.V.B. and Tavlas, George and Ulan, Michael, Some Further Evidence on Exchange-Rate Volatility and Exports (July 14, 2022). Bank of Greece Working Paper No. 28, Available at SSRN: https://ssrn.com/abstract=4162371 or http://dx.doi.org/10.2139/ssrn.4162371

G. Hondroyiannis

Bank of Greece ( email )

21 E. Venizelos Avenue
GR-10250 Athens
Greece
+011 301 3202429 (Phone)
+011 301 3233025 (Fax)

Paravastu A.V.B. Swamy

Bureau of Labor Statistics

2 Massachusetts Avenue, NE
Washington, DC 20212
United States

George Tavlas (Contact Author)

Bank of Greece ( email )

21 E. Venizelos Avenue
GR-10250 Athens
Greece
+30 10 323 7224 (Phone)
+30 10 323 3025 (Fax)

Michael Ulan

Government of the United States of America - Department of State

United States

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