The Review of Economics and Statistics Vol. 74 No. 2 1992
Conditional Exchange-Rate Volatility and the Volume of International Trade: Evidence from the Early 1900s
Abstract
Exports from Britain to the United States from 1900 to 1940 are examined to ascertain the effect of exchange-rate volatility on the volume of trade. In addition to using a rolling standard deviation measure of exchange-rate uncertainty, the conditional variance of the exchange-rate series modeled.as a generalized autoregressive conditional heteroskedastic process is used to generate an alternative measure of exchange-rate uncertainty. The results of estimation using the two measures of exchange-rate volatility suggest that increases in the volatility of the real exchange rate reduce the volume of trade.
- DOI
- 10.2307/2109665
- Volume
- 74
- Issue
- 2
- Pages
- 325
- Sources
- crossref openalex