Resource title

On the (nonlinear) relationship between exchange rate uncertainty and trade : an investigation of US trade figures in the Group of Seven

Resource image

image for OpenScout resource :: On the (nonlinear) relationship between exchange rate uncertainty and trade : an investigation of US trade figures in the Group of Seven

Resource description

In this paper bilateral models formalizing monthly growth of US imports and exports are employed to investigate the potential of nonlinear relationships linking exchange rate uncertainty and trade growth. Parametric linear and nonlinear as well as semiparametric time series models are evaluated in terms of fitting and ex ante forecasting. The overall impact of exchange rate variations on trade growth is found to be weak. In periods of large exchange rate variations, trade growth forecasts gain from conditioning on volatility. Empirical results support the view that the relationship of interest might be nonlinear and, moreover, lacks homogeneity across countries and imports vs. exports

Resource author

Helmut Herwartz

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22218

Resource license

Adapt according to the presented license agreement and reference the original author.