Exchange rate volatility and US commodity trade with the rest of the world

Bahmani‐Oskooee, Mohsen; Ardalani, Zohre; Bolhasani, Marzieh

doi:10.1080/02692171.2010.483466

Cited by 20 publications

(4 citation statements)

References 34 publications

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“…Consequently, higher volatility leads to more exports if the income effect dominates the substitution effect (Grauwe, 1988: 67). However, some studies find no significant relationship between exchange rate volatility and exports (Bahmani-Oskooee and Harvey, 2011;Bahmani-Oskooee et al, 2015).…”

Section: Introductionmentioning

confidence: 99%

Revisiting the role of exchange rate volatility in Turkey’s exports: Evidence from the structural VAR approach

Barış-Tüzemen

Tüzemen

2021

EKON ANAL

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The exchange rate is both an important economic variable when determining a country?s export volume and an indicator of its international competitiveness. This paper re-investigates the impact of real exchange rate volatility on Turkey?s exports using the structural vector autoregression method and monthly data from 2003:01 to 2019:12. Empirical evidence shows that real exchange rate and exchange rate volatility do not affect exports in Turkey. On the other hand, external income has had a slight effect on Turkey?s exports in the post-global-crisis period. The findings show that other factors which effect macroeconomic indicators in the Turkish economy should also be considered.

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Section: Introductionmentioning

confidence: 99%

Revisiting the role of exchange rate volatility in Turkey’s exports: Evidence from the structural VAR approach

Barış-Tüzemen

Tüzemen

2021

EKON ANAL

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“…The mixed effects of exchange rate volatility on bilateral trade flows were reported in numerous studies, mostly between USA and its trade partners. The 22 and 23 exporting industries of Italy vis-à-vis USA were positively and negatively influenced by the volatility, whereas they were 13 and 23 for the importing industries, respectively (Bahmani-Oskooee, Harvey and Hegerty, 2015). In addition, the mixed effects of volatility displayed on bilateral trade flows between USA and Spain (Bahmani-Oskooee, Harvey and Hegerty, 2014), USA and Eurozone countries (Verheyen, 2012), USA andMalaysia (Bahmani-Oskooee andHarvey, 2011) andUSA andSingapore (Bahmani-Oskooee and.…”

Section: Studies In General Casesmentioning

confidence: 99%

The Impact of Exchange Rate Volatility on Korea-Japan Trade Flows: An Industry Level Analysis

Uprasen¹,

Zolin²

2017

Korea Int Trade Res Inst

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The existing literature, in both theoretical and empirical viewpoints, indicates that there is no consensus regarding the effects of exchange rate volatility on bilateral trade flows. It can show the different effects across countries and industries. This article examines impact of volatility of exchange rate on 57 importing and 69 exporting industries of Korea vis-à-vis Japan. The study is conducted by employing disaggregated trade data (3-digit level of SITC product) to avoid the aggregation bias problem. The autoregressive distributed lag (ARDL) cointegration model is adopted in the empirical estimation, using annual data during 1970 to 2016. The findings indicate that the exchange rate volatility affects bilateral trade flows between Korea and Japan in both short run and long run. Nevertheless, the majority of industries are unaffected in the long run. The number of negatively affected industries are remarkably higher than the positively affected ones in both exporting and importing products. The machinery and transport equipment (SITC7) are the most negatively affected commodities of both importing and exporting products. While the effects of income on bilateral trade flows are in line with the theoretical prediction, the majority of industries are not affected by the real exchange rate in the long run.

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“…Uncertainty can be defined in different ways, and has degrees (seeRunde, 1995;. In Keynesian terms it extends to the inability to apply a numeric probability to a situation or circumstance due to the nature of events and what can be known in their regard, this has some relation to Knightian uncertainty, whilst in standard approaches it refers to agent-centred problems of deciding between appropriate models of economic events and for Bayesian's it refers to a process of refining a distribution over time.2 Of course, there could be differences in terms of the intensity and heterogeneity or duration of impact of different economies to exchange rate fluctuations(Bahmani-Oskooee and Kara, 2003;Bahmani-Oskooee et al, 2010). However, there is a wide consensus on the importance of exchange rates as both a cause as well as an effect and this extends to the UK economy(Thomas, 1986; Abbot et al, 2001;Pattichis et al 2004; De Vita and Abbot, 2007).…”

mentioning

confidence: 99%

“…2. Of course, there could be differences in terms of the intensity and heterogeneity or duration of impact of different economies to exchange rate fluctuations (Bahmani-Oskooee and Kara, 2003;Bahmani-Oskooee et al, 2010). However, there is a wide consensus on the importance of exchange rates as both a cause as well as an effect, and this extends to the UK economy (Thomas, 1986;Abbott et al, 2001;Pattichis et al, 2004;De Vita and Abbott, 2007).…”

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confidence: 99%

Pre-Brexit

Nasir

Morgan

2018

JES

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Purpose The purpose of this paper is to explore the period of uncertainty created by the referendum. The focus is the UK real effective exchange rate (REER). The authors set out to measure the additional impact of the uncertainty surrounding the referendum. The authors distinguish this from the longer trend value of Sterling. Design/methodology/approach The study applies a reduced form exchange rate model, first introduced by Edwards (1994), and makes use of Bank of England daily data for the period November 2015–July 2016. Findings The results indicate a sharp depreciation of Sterling with reference to its long-term trend. The authors set out some of the possible context which may account for fluctuations during the referendum campaigning period. This can be distinguished from other longer-term factors likely to be previously responsible for trend depreciation, and also from the further sharp depreciation effects triggered by the referendum outcome. The principal finding is that during the week of the referendum, up to the declaration of the result, exchange rate depreciation deviated from the long-run trend by approximately 3.5 per cent, but the actual immediate effect on the exchange rate was an 8 per cent depreciation. Over the period from the announcement of the referendum, the exchange rate fluctuated markedly around its trend and one can also identify a larger effect based on the “wrong-footing” of markets at the point when the outcome was announced. Research limitations/implications The research has important implications, as one might further infer that this marks a step change in attitudes to Sterling as Brexit became a real issue rather than a notional concern. One can thus consider the exchange rate as both symptom of and indicator for determinations of the underlying economic strength or weakness of the economy. In essence, it has acted as a litmus test. Practical implications The research has important practical implications in understanding the dynamics of the exchange rate market and the role of uncertainty in its dynamics. Social implications The study has important social implications as the changes to exchange rates are a perennial cause for concern. Exchange rates sit as one among many problems for the contemporary UK economy. Brexit has resulted in a significant subsequent depreciation of Sterling. Inter alia, though the immediate effect of Brexit on growth was muted due to unexpected sustained consumer spending, throughout the latter half of 2016 and the first two quarters of 2017, business investment slowed, the rate of deficit reduction slowed (but without any concomitant meaningfully rise in government investment in infrastructure, etc.) and both main measures of inflation began to rise. Originality/value The study contributes to the existing body of knowledge by exploring the period of uncertainty created by the referendum and its implications for the UK REER. The study differentiates and reflects on the weakness of Sterling due to the weak external position of UK’s economy and the further role played by the uncertainty surrounding Brexit. In this sense, it important contribution to theory as well as practice.

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Exchange rate volatility and US commodity trade with the rest of the world

Cited by 20 publications

References 34 publications

Revisiting the role of exchange rate volatility in Turkey’s exports: Evidence from the structural VAR approach

Revisiting the role of exchange rate volatility in Turkey’s exports: Evidence from the structural VAR approach

The Impact of Exchange Rate Volatility on Korea-Japan Trade Flows: An Industry Level Analysis

Pre-Brexit

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