The impact of exchange rate volatility on international trade: reduced form estimates using the GARCH-in-mean model
Article Abstract:
Nominal exchange rate volatility appears to have a permanent effect on trade variables in certain nations, though not all, according to a study using a multivariate GARCH-in-mean model to study how volatility and export prices and flows are related. Welfare conclusions are difficult to assess, partly since export prices appear to absorb some of the effects of volatility, partly because there are variations in the effect on trade from country to country, and especially because welfare costs will only be incurred where a deadweight loss results from too little or too much use of comparative advantage.
Publication Name: Journal of International Money and Finance
Subject: Economics
ISSN: 0261-5606
Year: 1993
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International interest rate linkages and the exchange rate regime
Article Abstract:
The exchange rate regime does not have a strong effect on international interest rates. The average level of either real or nominal return differentials does not significantly differ in a fixed exchange rate or flexible exchange rate regime. A comparative study of the properties of return differentials between Canadian and American denominated instruments indicates that movement to a fixed exchange rate would not lower either the ex ante or ex post real or nominal return differentials between the two countries.
Publication Name: Journal of International Money and Finance
Subject: Economics
ISSN: 0261-5606
Year: 1992
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On gradual disinflation, the real exchange rate, and the current account
Article Abstract:
A study of how a gradual exchange-rate-based disinflation program affects a two-sector economy resulted in predictions that do not conflict with the stylized facts on disinflation characterizing countries that experience chronic inflation. Following an exchange-rate depreciation, devaluation-rate reductions lower the monetary wedge that results from the cash-in-advance constraint.
Publication Name: Journal of International Money and Finance
Subject: Economics
ISSN: 0261-5606
Year: 1997
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