Real & Nominal Foreign Exchange Volatility Effects on Exports - The Importance of Timing

15 Pages Posted: 10 Jul 2007

See all articles by John Cotter

John Cotter

University College Dublin; University of California, Los Angeles (UCLA) - Anderson School of Management

Don Bredin

University College Dublin (UCD) - Department of Banking & Finance

Date Written: 2006

Abstract

This paper compares real and nominal foreign exchange volatility effects on exports. Using a flexible lag version of the Goldstein-Khan two country imperfect substitutes model for bilateral trade, we identify the overall effect into both a timing as well as a size impact. We find that the size impact of forecasted foreign exchange volatility does not vary according to the measure used in terms of magnitude and direction. However, there are very different timing effects, when we compare real and nominal foreign exchange rate volatility.

Keywords: Exports, Volatility, Real & Nominal effects

JEL Classification: C32, F31

Suggested Citation

Cotter, John and Bredin, Don, Real & Nominal Foreign Exchange Volatility Effects on Exports - The Importance of Timing (2006). Available at SSRN: https://ssrn.com/abstract=998452 or http://dx.doi.org/10.2139/ssrn.998452

John Cotter (Contact Author)

University College Dublin ( email )

School of Business, Carysfort Avenue
Blackrock, Co. Dublin
Ireland
353 1 716 8900 (Phone)
353 1 283 5482 (Fax)

HOME PAGE: http://www.ucd.ie/bankingfinance/staff/professorjohncotter/

University of California, Los Angeles (UCLA) - Anderson School of Management ( email )

110 Westwood Plaza
Los Angeles, CA 90095-1481
United States

Don Bredin

University College Dublin (UCD) - Department of Banking & Finance ( email )

School of Business
Blackrock, Co. Dublin, 4
Ireland

HOME PAGE: http://www.ucd.ie/bankingfinance/staff_bredin.html

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