Working Paper


John Cotter
Donal Bredin



c32 time series analysis volatility exports foreign exchange f31 real nominal effects exchange rate volatility

Real & nominal foreign exchange volatility effects on exports – the importance of timing (2006)

Abstract This paper compares real and nominal foreign exchange volatility effects on exports. Using a flexible lag version of theGoldstein-Khan two-country imperfect substitutes model for bilateral trade, we identify the overall effect into both a timing as well as a size impact. We find that the size impact of forecasted foreign exchange volatility does not vary accordingto the measure used in terms of magnitude and direction. However, there are very different timing effects, when we compare real and nominal foreign exchange rate volatility.
Collections Ireland -> University College Dublin -> School of Business
Ireland -> University College Dublin -> Centre for Financial Markets Working Papers
Ireland -> University College Dublin -> College of Business

Full list of authors on original publication

John Cotter, Donal Bredin

Experts in our system

John Cotter
University College Dublin
Total Publications: 93