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dc.contributor.authorHerwartz, Helmuten
dc.contributor.authorWeber, Henningen
dc.date.accessioned2009-01-29T14:54:49Z-
dc.date.available2009-01-29T14:54:49Z-
dc.date.issued2003-
dc.identifier.piurn:nbn:de:kobv:11-10049746en
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |cBerlinen
dc.relation.ispartofseries|aSFB 373 Discussion Paper |x2003,3en
dc.subject.jelF14en
dc.subject.jelF17en
dc.subject.ddc330en
dc.subject.keywordexchange rate uncertaintyen
dc.subject.keywordGARCHen
dc.subject.keywordforecastingen
dc.subject.keywordinternational tradeen
dc.subject.keywordnonlinear modelsen
dc.subject.stwAussenwirtschaften
dc.subject.stwWechselkursrisikoen
dc.subject.stwPrognoseverfahrenen
dc.subject.stwARCH-Modellen
dc.subject.stwNichtlineares Verfahrenen
dc.subject.stwSchätzungen
dc.subject.stwIndustriestaatenen
dc.titleForecasting sectoral trade growth under flexible exchange rates-
dc.typeWorking Paperen
dc.identifier.ppn379241919en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:sfb373:20033en

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