A New Approach for Measuring Volatility of the Exchange rate

Serenis, Dimitrios; Tsounis, Nicholas

doi:10.1016/s2212-5671(12)00043-3

Cited by 16 publications

(11 citation statements)

References 9 publications

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“…The model has been extended in such a way to account for real exchange rate and its volatility (Asseery and Peel, 1991;Chowdhury, 1993;Cushman, 1983;Hooper and Kohlhagen, 1978;Kenen and Rodrik, 1986;Serenis and Tsounis, 2012). The model can be summarized by:…”

Section: Methodsmentioning

confidence: 99%

See 1 more Smart Citation

Demand for Egyptian Molasses in the World Market: a Panel Estimation

Alboghdady¹

2015

مجلة الإقتصاد الزراعى و التنمیة الریفیة

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Although Egypt is considered one of the most important export countries for molasses in the world market, Egyptian molasses export witnessed notable fluctuations during the last decade. Nevertheless, there is almost no study investigates and estimates the factors affecting its demand in the world market. The present study aims mainly toestimate demand function of the Egyptian molasses in the global market and in each individual importer market. Competitors' relative prices, income of import country, exchange rate of rival exporters, and volatility of relative prices and exchange rate were the proposed determinants of the exported quantity of Egyptian molasses in the global market. Random effects analysis was conducted to estimate the demand function using panel data of three importer countries during the period of 1986-20012. The results showed that Egypt/India price ratio, Egypt/Pakistan exchange rate, and pricesvolatilityare significantly affecting negativelythe Egyptian molasses exports. The results of the estimation of demand function for each importer country independently showed nearly the same conclusions with minor differences. The responsiveness of Egyptian molasses exports to UK, Italy, and Spain Markets to the price ratios were measured by the price ratios elasticities in each market. The elasticities of Egypt/Pakistan Price ratio showed highest elasticities in UK and Spain markets by 4.85% and 4.12%, respectively. The Egypt/India price elasticity was the highest in Italy market by -5.

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Section: Methodsmentioning

confidence: 99%

“…Most empirical studies have utilized the standard deviation of the moving average (Serenis and Tsounis, 2012). Following Koray and Lastrapes (1989) and Akhtar and Hilton (1984), the volatility measure was calculated as:…”

Section: Methodsmentioning

confidence: 99%

Demand for Egyptian Molasses in the World Market: a Panel Estimation

Alboghdady¹

2015

مجلة الإقتصاد الزراعى و التنمیة الریفیة

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“…One of the most fundamental issues of the topic in question is the ERV measure. Most empirical studies have utilized the standard deviation of the moving average of the logarithm of the exchange rate (see [Serenis et al 2011;Serenis, Tsounis 2012]).…”

Section: Methodology For the Erv Measurementmentioning

confidence: 99%

Fluctuations in exchange rate and aggregate exports in Ukraine

2015

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This paper examines the effect of Exchange Rate Volatility (ERV) on the aggregate exports of Ukraine during the period of 1990 to 2013 using quarterly data. In the literature, it is found that exchange rate volatility causes a reduction in the overall level of trade. The paper tests this finding for Ukrainian foreign trade in the aforementioned period using the Autoregressive Distributed Lags (ARDL) method to co-integration. Overall, our findings suggest that there is a negative effect of ERV on Ukrainian exports. From a policy prospective, this result is important because it suggests that policy makers should consider the negative effect of ERV on exports when exercising exchange rate policy for balance of payment purposes.

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“…the amount of times which the exchange rate moves above and below the average value of the real effective exchange rate for each sectoral trade flow at predetermined intervals [22]. Our estimation of each of the reduced form export equations for each country will be consistent with the autoregressive distributed lags (ARDL) methodology.…”

Section: Methodology For the Measurement Of The Exchange Rate Volatilitymentioning

confidence: 99%

“…Overall, three conclusions can be drawn from the literature. First, some studies rely mainly on the OLS methodology which proves to be inadequate to cope and account with some of the statistical properties that the samples often may contain, such as unit roots and cointegration [21,22]. As a result, inadequate estimates might be obtained.…”

Section: Literature Reviewmentioning

confidence: 99%

Exchange Rate Volatility and Aggregate Exports: Evidence from Two Small Countries

Serenis¹,

Tsounis

2014

ISRN Economics

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This paper examines the effect of exchange rate volatility for two small countries, Croatia and Cyprus, on aggregate exports during the period of first quarter of 1990 to first quarter of 2012. It is claimed by some researchers that exchange rate volatility causes a reduction on the overall level of trade. Empirical researchers often utilize the standard deviation of the moving average of the logarithm of the exchange rate as a measure of exchange rate fluctuation. In this study, we propose a new measure for volatility. Overall, our results suggest that there is a positive effect of volatility on exports of Croatia and Cyprus.

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A New Approach for Measuring Volatility of the Exchange rate

Cited by 16 publications

References 9 publications

Demand for Egyptian Molasses in the World Market: a Panel Estimation

Demand for Egyptian Molasses in the World Market: a Panel Estimation

Fluctuations in exchange rate and aggregate exports in Ukraine

Exchange Rate Volatility and Aggregate Exports: Evidence from Two Small Countries

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