Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/274843 
Year of Publication: 
2022
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 15 [Issue:] 8 [Article No.:] 321 [Year:] 2022 [Pages:] 1-20
Publisher: 
MDPI, Basel
Abstract: 
This paper aims to examine the symmetric and asymmetric effects of third country exchange rate volatility on the trade flow between the US and EU from January 2003 through March 2021. The monthly disaggregated data of the top twelve export and import industries are the sample frame. We find that separating increased volatility from declines and introducing a nonlinear adjustment to the volatility shows a more significant outcome than symmetric analysis. Different industries carry distinctive behaviors regarding exchange rate risk, and the third country effect plays a vital role in trade. Moreover, increased CNY/USD real exchange rate volatility increases bilateral trade between the US and EU.
Subjects: 
asymmetric effects
disaggregated data
exchange rate volatility
trade flows
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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