Foreign trade and exchange-rate risk in the G-7 countries: Cointegration and error-correction models

Review of Financial Economics

Volumn 6, Issue 1, 1997, Pages 95-112

  Arize, A C ^a  

^a TEXAS A AND M UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031498163     PISSN: 10583300     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1058-3300(97)90016-1     Document Type: Article

References (41)

1. Akhtar M., Hilton R.S. Effects of Exchange Rate Uncertainty on German and U.S. Trade. Federal Reserve Bank of New York. Quarterly Review. 9:1984;7-16.
2. Arize A. The Effects of Exchange-rate Volatility on U.S. Exports: An Empirical Investigation. Southern Economic Journal. 62:1995;34-43. (July).
3. Arize A., Darrat A. The Value of Time and Recent U.S. Money Demand Instability. Southern Economic Journal. 60:1994;564-578. (January).
4. Arize A., Ndubizu G. Cointegration, Error-correction Representation and Import Demand Function with Implications for International Finance and Accounting. Review of Quantitative Finance and Accounting. 2:1992;359-376. (December).
5. Asseery A., Peel D.A. The Effects of Exchange Rate Volatility on Exports. Economics Letters. 37:1991;173-177.
6. Bailey M.J., Tavlas G.S., Ulan M. The Impact of Exchange-rate Volatility on Export Growth: Some Theoretical Considerations and Empirical Results. Journal of Policy Modelling. 9:1987;225-243.
7. Breusch T.S., Godfrey L.G. A Review of Recent Work on Testing for Auto-correlation in Dynamic economic Models. Currie D.A., Nobay R., Peels D. Macroeconomic Analysis: Essays in Macroeconomics and Economics. 1981;Croom Helm, London.
8. Campbell J.Y., Perron P. Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots. NBER Macroeconomics Annual. 1991;MIT Press, Cambridge, MA.
9. Cheung Y., Lai K.S. Finite-Sample Sizes of Johansen's Likelihood Ratio Tests for Cointegration. Oxford Bulletin of Economics and Statistics. 55:1993;313-328. (August).
10. Chowdhury A.R. Does Exchange Rate Volatility Depress Trade Flows? Evidence from Error-correction Model. Review of Economics and Statistics. 75:1993;700-706. (November).
11. Cushman D.O. The Effects of Real Exchange Rate Risk on International Trade. Journal of International Economics. 15:1993;45-63. (August).
12. De Grauwe P. Exchange Rate Variability and the Slowdown in Growth of International Trade. IMF Staff Papers. 35:1988;63-84. (March).
13. Dickey D.A., Fuller W.A. Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association. 74:1981;1057-1072. (July).
14. Engel C., Hakkio C.S. Exchange Rate Regimes and Volatility. Economic Review. 1993;43-58 Federal Reserve Bank of Kansas City. (3rd Quarter).
15. Engle R.F., Granger C.W.J. Cointegration and Error-correction: Representation Estimation and Testing. Econometrica. 55:1987;251-276. (March).
16. Friedman B., Kuttner K. Money, Income, Prices and Interest Rates. American Economic Review. 82:1992;472-492. (June).
17. Gonzalo J. Five Alternative Methods of Estimating Long-run Equilibrium Relationship. Journal of Econometrics. 60:1994;203-233.
18. Gotur P. Effects of Exchange Rate Volatility on Trade. IMF Staff Papers. 32:1985;475-512. (September).
19. Hafer R.W., Jansen D.W. The Demand for Money in the United States: Evidence from Cointegration Tests. Journal of Money, Credit and Banking. 23:1991;155-169. (May).
20. Hafer R.W., Sheehan R.G. Policy Inference Using VAR Models: The Effects of Alternative Lag Structures. Economic Inquiry. 29:1991;44-52. (January).
21. Hakkio C.S., Rush M. Cointegration: How Short Is the Long-Run? Journal of International Money and Finance. 10:1991;571-581.
22. Hamilton J.D. Time Series Analysis. 1994;Princeton University Press, Princeton, NJ.
23. Hendry D.F. Econometric Methodology: A Personal Perspective. Bewley T. Advances in Econometrics. Vol. 2:1987;29-48 Cambridge University Press, Cambridge.
24. Hendry D.F., Ericson N.R. An Econometric Analysis of UK Money Demand. Friedman M., Schwartz A.J. Monetary Trends in the United States and the United Kingdom. American Economic Review. 81:1991;8-38. (March).
25. Hooper P., Kohlhagen S.W. The Effect of Exchange Rate Uncertainty on the Prices and Volume of International Trade. Journal of International Economics. 8:1978;483-511. (November).
26. Johansen S. Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica. 59:1991;1551-1580. (November).
27. Johansen S., Juselius K. Maximum Likelihood Estimation and Inference on Cointegration-with Applications to Demand for Demand. Oxford Bulletin of Economics and Statistics. 52:1990;169-210. (May).
28. Kenen P.T., Rodrik D. Measuring and Analyzing the Effects of Short-term Volatility in Real Exchange Rates. Review of Economics and Statistics. 68:1986;311-315. (May).
29. Koray F., Lastrapes W.D. Real Exchange Rate Volatility and U.S. Bilateral Trade: A VAR Approach. Review of Economics and Statistics. 71:1989;708-712. (November).
30. Lastrapes W.D., Koray F. Exchange Rate Volatility and U.S. Multilateral Trade Flows. Journal of Macroeconomics. 12:1990;341-362. (Summer).
31. MacKinnon J.J. Critical Values for Cointegration Tests. Engle R.F., Granger C.W. Long-run Economic Relationships: Readings in Cointegration. 1991;267-276 Oxford University Press, Oxford.
32. Nelson C.R., Plosser C.I. Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications. Journal of Monetary Economics. 10:1982;139-162. (September).
33. Osterwald-Lenum M. A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Ranks Test Statistics: Four Cases. Oxford Bulletin of Economics and Statistics. 54:1992;461-472. (August).
34. Perron P. Trends and Random Walks in Macroeconomics Time Series: Further Evidence from a New Approach. Journal of Economic Dynamics and Control. 12:1988;297-332. (June-September).
35. Phillips P., Loretan M. Estimating Long-run Economic Equilibria. Review of Economic Studies. 58:1991;407-436. (May).
36. Phillips P., Perron P. Testing for a Unit Root in Time Series Regression. Biometrika. 75:1988;335-346.
37. Reinsel G.C., Ahn S.K. Vector Autoregressive Models with Unit Roots and Reduced Rank Structure: Estimation, Likelihood Ratio Test and Forecasting. Journal of Time Series Analysis. 13:1992;353-375.
38. Schwert G.W. Effects of Model Specification on Tests for Unit Roots in Macroeconomic Data. Journal of Monetary Economics. 30:1987;73-103.
39. Sercu P. Exchange Risk: Exposure, and the Option to Trade. Journal of International Money and Finance. 11:(6):1992;579-593.
40. Sims C.A. Macroeconomics and Reality. Econometrica. 28:1980;1-48. (January).
41. Stock J., Watson M. A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems. Econometrica. 61:1993;783-820. (July).