Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22218
Authors: 
Herwartz, Helmut
Year of Publication: 
2003
Series/Report no.: 
Discussion papers of interdisciplinary research project 373 2003,2
Abstract: 
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
Subjects: 
Exchange rate volatility
international trade
ARCH
Group of Seven
forecasting
JEL: 
C22
F41
C14
F31
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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