Exchange rate volatility and international trade: A general-equilibrium analysis

European Economic Review

Volumn 47, Issue 3, 2003, Pages 429-441

  Sercu, Piet ^a   Uppal, Raman ^b  

^a UNIVERSITY OF LEUVEN   (Belgium)

^b LONDON BUSINESS SCHOOL   (United Kingdom)

Author keywords

Exchange risk; General equilibrium; International trade; Transaction cost; Welfare

Indexed keywords

EXCHANGE RATE; GENERAL EQUILIBRIUM ANALYSIS; INTERNATIONAL TRADE; TRANSACTION COST; WELFARE ECONOMICS;

EID: 0038181340     PISSN: 00142921     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0014-2921(01)00175-1     Document Type: Article

References (39)

1. Asseery, A., & Peel, D. A. (1991). The effects of exchange rate volatility on exports-some new estimates. Economics Letters, 37 173-177.
2. Backus, D., Kehoe, P., & Kydland, F. (1992). International real business cycle models. Journal of Political Economy, 100 745-775.
3. Backus, D., Foresi, S., Telmer, C., 1996. Affine models of currency pricing. NYU Working Paper.
4. Baron, D. P. (1976). Fluctuating exchange rates and the pricing of exports. Economic Inquiry, 14 425-438.
5. Baron, D. P. (1976). Flexible exchange rates, forward markets, and the level of trade. American Economic Review, 66 253-266.
6. Bertola, G., 1994. Continuous-time models of the exchange rates and intervention. In: van der Ploeg, R. (Ed.), Handbook of International Macroeconomics. Blackwell Publishers, Basil.
7. Brada, J. C., & Mendez, J. A. (1988). Exchange rate risk, exchange rate regime and the volume of international trade. KYKLOS, 41 263-280.
8. Broll, U., 1994. Foreign production and forward markets. Australian Economic Papers 33, 1-6.
9. Clark, P. B. (1973). Uncertainty, exchange risk, and the level of international trade. Western Economic Journal, 11 302-313.
10. Côté, A., 1994. Exchange rate volatility and trade: A survey. Working paper, Bank of Canada, Ottawa.
11. Cushman, D. O. (1983). The effects of real exchange rate risk on international trade. Journal of International Economics, 15 45-63.
12. De Grauwe, P., 1988. Exchange rate variability and the slowdown in growth of international trade. International Monetary Fund Staff Papers 35, 63-84.
13. De Grauwe, P., 1992. The benefits of a common currency. In: De Grauwe, P. (Ed.), The Economics of Monetary Integration. Oxford University Press, New York.
14. Dellas, H., & Zilberfarb, B. -Z (1993). Real exchange rate volatility and international trade: A reexamination of the theory. Southern Economic Journal, 59(4), 641-647.
15. Dixit, A., & Pindyck, R. (1994). Investment Under Uncertainty. Princeton, NJ: Princeton University Press.
16. Dumas, B. (1992). Dynamic equilibrium and the real exchange rate in a spatially separated world. The Review of Financial Studies, 5(3), 153-180.
17. Edison, H. J., & Melvin, M. (1990). The determinants and implications of the choice of an exchange rate system. In W. S. Haraf, & T. D. Willett (Eds.), Monetary Policy for a Volatile Global Economy, 1-44. Washington, DC: AEI Press.
18. Engel, C., Rogers, J., 1995. How wide is the border? Working paper, University of Washington.
19. Ethier, W., 1973. International trade and the forward exchange market. American Economic Review 63, 494-503.
20. Franke, G. (1991). Exchange rate volatility and international trading strategy. Journal of International Money and Finance, 10 292-307.
21. Frankel, J.A., Wei, S.J., 1993. Trade blocks and currency blocks. Research Working paper no. 4345, NBER, Cambridge, MA.
22. Goldstein, N., Khan, M., 1985. Income and price effects in foreign trade. In: Jones, R., Kenen, P. (Eds.), Handbook of International Economics. North-Holland, Amsterdam.
23. Hooper, P., & Kohlhagen, S. W. (1978). The effect of exchange rate uncertainty on the prices and volume of international trade. Journal of International Economics, 8 483-511.
24. Koray, F., & Lastrapes, W. D. (1989). Real exchange rate volatility and U.S. bilateral trade: A VAR approach. Review of Economics and Statistics, 71 708-712.
25. Kroner, K. F., & Lastrapes, W. D. (1993). The impact of exchange rate volatility on international trade: Reduced form estimates using the GARCH-in-mean model. Journal of International Money and Finance, 12 298-318.
26. McKenzie, M., & Brooks, R. (1997). The impact of exchange rate volatility on German-U.S. trade flows. Journal of International Financial Markets, Institutions, and Money, 7 73-88.
27. Michael, P., Nobay, A. R., & Peel, D. A. (1997). Transactions costs and nonlinear adjustment in real exchange rates: An empirical investigation. Journal of Political Economy, 105 862-879.
28. Obstfeld, M., Taylor, A.M., 1997. Non-linear aspects of goods market arbitrage and adjustment: Heckscher's commodity points revisited. CEPR Working paper no. 1672.
29. O'Connell, P.G.J., 1997. The bigger they are, the harder they fall: How price differences across U.S. cities are arbitraged. NBER Working paper no. 6089.
30. Perée, E., & Steinherr, A. (1989). Exchange rate uncertainty and foreign trade. European Economic Review, 33 1241-1264.
31. Pozo, S. (1992). Conditional exchange rate volatility and the volume of international trade: Evidence from the early 1900s. The Review of Economics and Statistics, 325-329
32. Sercu, P. (1992). Exchange risk, exposure, and the option to trade. Journal of International Money and Finance, 11(8), 579-593.
33. Sercu, P. (1997). The variance of truncated variable and the riskiness of the underlying variables. Insurance: Mathematics and Economics, 20 79-95.
34. Sercu, P., & Van Hulle, C. (1992). Exchange rate volatility, international trade, and the value of exporting firms. Journal of Banking and Finance, 16 155-182.
35. Sercu, P., Van Hulle, C., & Uppal, R. (1995). The exchange rate in the presence of transaction costs: Implications for tests of relative purchasing power parity. Journal of Finance, 50(4), 1309-1319.
36. Svensson, L. (1992). An interpretation of recent research on exchange rate target zones. Journal of Economic Perspectives, 6(4), 119-144.
37. Uppal, R. (1993). A general equilibrium model of international portfolio choice. Journal of Finance, 48(3), 529-553.
38. Viaene, J. M., & de Vries, C. G. (1992). International trade and exchange rate volatility. European Economic Review, 36 1311-1321.
39. Wolf, A. (1995). Import and hedging uncertainty in international trade. Journal of Futures Markets, 15(2), 101-110.