The impact of exchange rate variability on trade flows: Further results on sectoral U.S. imports from Canada

Bélanger, Denis; Gutiérrez, Sylvia; Racette, Daniel; Raynauld, Jacques

doi:10.1016/1062-9408(92)90013-h

Cited by 26 publications

(24 citation statements)

References 24 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Early examples using the forecast error include Bélanger et al (1992) and Dell'Ariccia (1999). But their measures are not standard deviations, nor trade-weighted.…”

Section: Measures Of Uncertaintymentioning

confidence: 99%

“…This may be the reason why most papers use this measure. Some earlier papers, such as Bélanger et al (1992) and Dell'Ariccia (1999), consider the difference between the previous period's forward rate and current spot to be an indicator of exchange rate uncertainty. The percentage difference between the maximum and minimum of the nominal spot rate over a certain period preceding the observation plus a measure of exchange rate misalignment is another measure.…”

Section: Measures Of Uncertaintymentioning

confidence: 99%

See 1 more Smart Citation

Exchange Rate Uncertainty and Export Decisions in the UK

Greenaway¹,

Kneller²,

Zhang³

2010

JEI

View full text Add to dashboard Cite

Using data on UK manufacturing firms, we examine the effects of exchange rate uncertainty on firm decisions on export market entry and export intensity. The use of micro data and new measures of exchange rate uncertainty enable us to test for hysteresis effects in a new way and to test the sensitivity of results to a range of different measures. The results show that exchange rate uncertainty has little effect on firms' export participation but a significant impact on export intensity. We find that industry heterogeneity is important and there would be serious problems of aggregation using pooling and aggregate data.• JEL Classification: D81, F23, F31, F36•

show abstract

“…Early examples using the forecast error include Bélanger et al (1992) and Dell'Ariccia (1999). But their measures are not standard deviations, nor trade-weighted.…”

Section: Measures Of Uncertaintymentioning

confidence: 99%

Section: Measures Of Uncertaintymentioning

confidence: 99%

Exchange Rate Uncertainty and Export Decisions in the UK

Greenaway¹,

Kneller²,

Zhang³

2010

JEI

View full text Add to dashboard Cite

show abstract

“…This may be the reason why most papers use standard deviation and variance as the measure for uncertainty. Some earlier papers, such as Belanger et al (1992) and Dell'Ariccia (1999), consider the difference between the previous period's forward rate and current spot to be an indicator of exchange rate uncertainty. The percentage difference between the maximum and minimum of the nominal spot rate over a I In the theoretical papers of Baldwin (1988), Baldwin and Krugman (1989) and Dixit (1989b), uncertainty means a risk of mean reversion.…”

Section: Measuring Exchange Rate Uncertaintymentioning

confidence: 99%

“…As a proxy, some form of moving average of past standard deviations of spot rates has been widely employed in previous studies.· In this chapter, we argue that a more appropriate measure should be based on the observed forecast errors on the forward market as in Belanger et al (1992) and Dell'Ariccia (1999).…”

Section: Measuring Exchange Rate Uncertaintymentioning

confidence: 99%

See 1 more Smart Citation

Exchange Rates and Exports: Evidence from Manufacturing Firms in the UK

Zhang

2007

SSRN Journal

View full text Add to dashboard Cite

The thesis exammes the effect of exchange rate variability on firms' export decisions, using data for UK manufacturing firms. We separately investigate the relationship between the changes of level of exchange rate and exports and that between exchange rate uncertainty and exports. Our results show that export extensive margin is not significantly related to changes in the level of exchange rates, whereas exchange rates have a significant and negative impact on the export intensity. Since industry heterogeneity is important in the effect of exchange rate level changes, we further explore possible explanations. In particular, we test whether external orientation and market structure play a role in the effect. Our results provide significant evidence for the role of external orientation and market structure. We also find significant evidence for the hysteresis effect of exchange rate uncertainty on exports, using new measures of uncertainty. In both cases, the behaviour of multinationals is investigated. We find that multinationals are less likely to be negatively affected by both changes of level of exchange rate and exchange rate uncertainty than indigenous firms.It contributes to the micro econometric literature in several aspects. Our evidence for industry heterogeneity from UK firm level data is new. Our explanations for industry heterogeneity by testing two hypotheses are the first attempt to investigate the factors driving different effects across industries. New measures of exchange rate uncertainty and related new method are used to test the hypothesis of hysteresis effects of uncertainty on trade. The use of micro data and new measures enable us to overcome the econometric difficulties and problems in previous studies. We also investigate whether multinationals' export behaviour is different from that of indigenous firms in response to exchange rate fluctuations. As far as we know, the multinationals' ability to deal with currency risk has never been examined before. The thesis provides new evidence for the multinationals' advantage of internalising currency risk over indigenous firms under exchange rate movements. II AcknowledgementsI would like to express my gratitude to all those who helped me in completing this thesis. I am deeply indebted to my supervisors Professor David Greenaway and Dr.Richard Kneller for their stimulating suggestions, guidance and encouragement throughout my PhD study. They generously spent their time, energy and insights to help me find this interesting topic and shape my understanding of it. I also wish to thank Sue Berry for her friendly and efficient assistance in organizing those fortnightly supervision meetings over more than three years.

show abstract