Research Outline
This project examines the effect of exchange rate volatility on international trade volumes for Mexico, Indonesia, Nigeria, and Turkey. We use volatility predicted from GARCH models for both nominal and real effective exchange rate data. To detect the long-term relationship we use the ARDL bound testing approach, while for the short-term effects, Granger causality models are employed. The results show that, in the long term, there is no linkage between exchange rate volatility and international trade activities except for Turkey. In the short term, however, a significant causal relationship from volatility to import/export demand is detected for Indonesia and Mexico.
Researchers
Research Outputs
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