Conditional Exchange-Rate Volatility and the Volume of International Trade: Evidence from the Early 1900s
The Review of Economics and Statistics
1992
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. Copyright 1992 by MIT Press.
- DOI
- 10.2307/2109665
- Volume
- 74 (2)
- Pages
- 325
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- BibTeX
- Sources
- crossref openalex