Araştırma Makalesi
BibTex RIS Kaynak Göster

Exchange Rate Volatility and Trade Flows

Yıl 2017, Cilt: 1 Sayı: 3, 14 - 39, 30.09.2017
https://doi.org/10.25295/fsecon.307331

Öz

After the collapse of Bretton-Woods
system in 1973, many countries adopted the floating exchange rate regime. This
situation led to fluctation and uncertainties in the exchange rates. There are
number of studies that analyze the effect of Exchange rate volatility on trade
flows but previous studies cannot obtain results about sectoral base due to the
lack of disaggregated data sets. This study investigates the effects of
exchange rate volatility on trade flows in Turkey. For this purpose using
annual data covers the period 2002-2013. Exports to 15 European countries and
imports from 15 European countries are analyzed by panel methodology.  According to the test results, export sectors
are negatively affected; import sectors are both positively and negatively
affected from exchange rate volatility.

Kaynakça

  • Baak, S. (2008). The bilateral real exchange rates and trade between China and the US. China Economic Review, 19, 117-127. Baek, J. (2013). Does the exchange rate matter to bilateral trade between Korea and Japan? Evidence from commodity trade data. Economic Modelling, 30, 856-862. Bahmani-Oskooee, M. & Wang, Y. (2008). Impact of exchange rate uncertainty on commodity trade between the US and Australia. Australian Economic Papers, 47(3), 235-258. Bai, J. & Ng, S. (2004). A panic attack on unit roots and cointegration. Econometrica. 72. (4). 1127-1177. Baum, C. F., Caglayan, M. & Ozkan, N. (2004). Nonlinear effects of exchange rate volatility on the volume of bilateral exports. Journal of Applied Econometrics, 19(1), 1-23. Baum, C. F. & Caglayan, M. (2010). On the sensitivity of the volume and volatility of bilateral trade flows to exchange rate uncertainty. Journal of International Money and Finance, 29, 79-93. Cote, A. (1994). Exchange Rate Volatility and Trade. Bank of Canada, Working Paper 94-5. Frees, E. W. (1995). Assessing cross-sectional correlation in panel data.Journal of econometrics, 69(2), 393-414. Friedman, M. (1937). The use of ranks to avoid the assumption of normality implicit in the analysis of variance. Journal of the American Statistical Association, 32(200), 675-701. Grier, K. B. & Smallwood, A. D. (2013). Exchange rate shocks and trade: A multivariate GARCH-M approach. Journal of International Money and Finance, 37, 282-305. Hooper, P., & Kohlhagen, S. W. (1978). The effect of exchange rate uncertainty on the prices and volume of international trade. Journal of International Economics, 8(4), 483-511. International Monetary Fund (1984). Effects of exchange rate volatility on international trade and other economic variables. IMF Occasional Paper No. 28. Makin, J. H. (1978). Portfolio theory and the problem of foreign exchange risk. The Journal of Finance, 33(2), 517-534. McKenzie, M. D. (1999). The impact of exchange rate volatility on international trade flows. Journal of Economic Surveys, 13, No.1. Nishimura, Y., & Hirayama, K. (2013). Does exchange rate volatility deter Japan-China trade? Evidence from pre- and post-exchange rate reform China. Japan and The World Economy, 25-26, 90-101. Pesaran, M. H. (2004). General diagnostic tests for cross section dependence in panels. CESifo Working Paper, No. 1229.
  • Poon, W. C. & Hooy, C. W. (2013). Exchange rate volatility, exchange rate regime, and trade in OIC countries. Journal of Asia-Pacific Business, 14(3), 182-201. Rahman, S. & Serletis, A. (2009). The Effects of Exchange rate uncertainty on exports. Journal of Macroeconomics, 31, 500-507. Serenis, D. & Serenis, P. (2010). Exchange rate volatility, the EU and sectoral exports: New empirical evidence from the chemical sector. Research in World Economy, 1(1). Tenreyro, S. (2007). On the trade impact of nominal exchange rate volatility. Journal of Development Economics, 82, 485-508. Verheyen, F. (2012). Bilateral exports from euro zone countries to the US – Does exchange rate variability play a role? International Review of Economics and Finance, 24, 97-108. Westerlund, J. (2008). Panel cointegration tests of the Fisher effect. Journal of Applied Econometrics, 23, 193-233. Zelekha, Y. & Bar-Efrat, O. (2011). The link between exchange rate uncertainty and Israeli exports to the US: 2SLS and cointegration approaches. Research in Economics, 65, 100-109.
Yıl 2017, Cilt: 1 Sayı: 3, 14 - 39, 30.09.2017
https://doi.org/10.25295/fsecon.307331

Öz

Kaynakça

  • Baak, S. (2008). The bilateral real exchange rates and trade between China and the US. China Economic Review, 19, 117-127. Baek, J. (2013). Does the exchange rate matter to bilateral trade between Korea and Japan? Evidence from commodity trade data. Economic Modelling, 30, 856-862. Bahmani-Oskooee, M. & Wang, Y. (2008). Impact of exchange rate uncertainty on commodity trade between the US and Australia. Australian Economic Papers, 47(3), 235-258. Bai, J. & Ng, S. (2004). A panic attack on unit roots and cointegration. Econometrica. 72. (4). 1127-1177. Baum, C. F., Caglayan, M. & Ozkan, N. (2004). Nonlinear effects of exchange rate volatility on the volume of bilateral exports. Journal of Applied Econometrics, 19(1), 1-23. Baum, C. F. & Caglayan, M. (2010). On the sensitivity of the volume and volatility of bilateral trade flows to exchange rate uncertainty. Journal of International Money and Finance, 29, 79-93. Cote, A. (1994). Exchange Rate Volatility and Trade. Bank of Canada, Working Paper 94-5. Frees, E. W. (1995). Assessing cross-sectional correlation in panel data.Journal of econometrics, 69(2), 393-414. Friedman, M. (1937). The use of ranks to avoid the assumption of normality implicit in the analysis of variance. Journal of the American Statistical Association, 32(200), 675-701. Grier, K. B. & Smallwood, A. D. (2013). Exchange rate shocks and trade: A multivariate GARCH-M approach. Journal of International Money and Finance, 37, 282-305. Hooper, P., & Kohlhagen, S. W. (1978). The effect of exchange rate uncertainty on the prices and volume of international trade. Journal of International Economics, 8(4), 483-511. International Monetary Fund (1984). Effects of exchange rate volatility on international trade and other economic variables. IMF Occasional Paper No. 28. Makin, J. H. (1978). Portfolio theory and the problem of foreign exchange risk. The Journal of Finance, 33(2), 517-534. McKenzie, M. D. (1999). The impact of exchange rate volatility on international trade flows. Journal of Economic Surveys, 13, No.1. Nishimura, Y., & Hirayama, K. (2013). Does exchange rate volatility deter Japan-China trade? Evidence from pre- and post-exchange rate reform China. Japan and The World Economy, 25-26, 90-101. Pesaran, M. H. (2004). General diagnostic tests for cross section dependence in panels. CESifo Working Paper, No. 1229.
  • Poon, W. C. & Hooy, C. W. (2013). Exchange rate volatility, exchange rate regime, and trade in OIC countries. Journal of Asia-Pacific Business, 14(3), 182-201. Rahman, S. & Serletis, A. (2009). The Effects of Exchange rate uncertainty on exports. Journal of Macroeconomics, 31, 500-507. Serenis, D. & Serenis, P. (2010). Exchange rate volatility, the EU and sectoral exports: New empirical evidence from the chemical sector. Research in World Economy, 1(1). Tenreyro, S. (2007). On the trade impact of nominal exchange rate volatility. Journal of Development Economics, 82, 485-508. Verheyen, F. (2012). Bilateral exports from euro zone countries to the US – Does exchange rate variability play a role? International Review of Economics and Finance, 24, 97-108. Westerlund, J. (2008). Panel cointegration tests of the Fisher effect. Journal of Applied Econometrics, 23, 193-233. Zelekha, Y. & Bar-Efrat, O. (2011). The link between exchange rate uncertainty and Israeli exports to the US: 2SLS and cointegration approaches. Research in Economics, 65, 100-109.
Toplam 2 adet kaynakça vardır.

Ayrıntılar

Konular İşletme
Bölüm Makaleler
Yazarlar

Ali Eren Alper Bu kişi benim

Yayımlanma Tarihi 30 Eylül 2017
Yayımlandığı Sayı Yıl 2017 Cilt: 1 Sayı: 3

Kaynak Göster

APA Alper, A. E. (2017). Exchange Rate Volatility and Trade Flows. Fiscaoeconomia, 1(3), 14-39. https://doi.org/10.25295/fsecon.307331

 Fiscaoeconomia is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.