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dc.contributor.authorHerwartz, Helmuten_US
dc.contributor.authorWeber, Henningen_US
dc.date.accessioned2009-01-29T14:54:49Z-
dc.date.available2009-01-29T14:54:49Z-
dc.date.issued2003en_US
dc.identifier.piurn:nbn:de:kobv:11-10049746-
dc.identifier.urihttp://hdl.handle.net/10419/22219-
dc.description.abstractA huge body of empirical and theoretical literature has emerged on the relationship between exchange rate uncertainty and international trade. In empirical studies the estimated impacts of exchange rate uncertainty on trade figures are at most weak and often ambiguous with respect to their directions. Almost all empirical contributions on the topic start from the assumption of some linear relationship, the potentional of nonlinearity or state dependence of causal links between volatility and trade has been ignored yet. In addition, widely used regression models have not been evaluated in terms of ex-ante forecasting. In this paper we analyze the impact of exchange rate uncertainty on specific categories of exports and imports for 13 industrialized economies towards the rest of the world. Our results support the view that the relationship of interests might be nonlinear and, moreover, lacks of homogeneity across countries, economic sectors and when contrasting imports vs. exports. Parametric threshold models are found to outperform linear regression models in terms of fitting and ex-ante forecasting. In addition, semiparametric models deliver sequences of forecast errors with less dynamic structure than parametric specifications and help to uncover the nature of the nonlinear relation.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseriesDiscussion papers of interdisciplinary research project 373 2003,3en_US
dc.subject.jelF14en_US
dc.subject.jelF17en_US
dc.subject.ddc330en_US
dc.subject.keywordexchange rate uncertaintyen_US
dc.subject.keywordGARCHen_US
dc.subject.keywordforecastingen_US
dc.subject.keywordinternational tradeen_US
dc.subject.keywordnonlinear modelsen_US
dc.subject.stwAussenwirtschaften_US
dc.subject.stwWechselkursrisikoen_US
dc.subject.stwPrognoseverfahrenen_US
dc.subject.stwARCH-Modellen_US
dc.subject.stwNichtlineares Verfahrenen_US
dc.subject.stwSchätzungen_US
dc.subject.stwIndustriestaatenen_US
dc.titleForecasting sectoral trade growth under flexible exchange ratesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn379241919en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:sfb373:20033-
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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