Submitting Campus
Daytona Beach
Department
Economics, Finance, & Information Systems
Document Type
Article
Publication/Presentation Date
2010
Abstract/Description
This paper investigates effects of exchange rate volatility on U.S. exports, using disaggregated sectoral data on U.S. exports to its major trading partners. In this paper, we use a generalized ARCH-type model (GARCH) to generate a measure of exchange rate volatility which is then tested in a model of U.S. exports. The analysis uses monthly trade data for the period from January 1990 through December 2007. Testing sectoral trade data allows us to detect whether the direction or magnitude of the impact of volatility differs depending on the types of goods that are traded. The results obtained in this paper suggest that the increase in the volatility of exchange rate exert a negative effect upon export demand in majority of the products: the study finds evidence for significant negative effects in six of ten export products, and significant positive effects in four products.
Publication Title
International Journal of Business and Finance Research
Publisher
IBFR Global
Scholarly Commons Citation
Ekanayake, E. M., Ledgerwood, J. R., & D'Souza, S. (2010). The Real Exchange Rate Volatility and U.S. Exports: An Empirical Investigation. International Journal of Business and Finance Research, 4(1). Retrieved from https://commons.erau.edu/publication/105
