The impact of exchange rate volatility on U.S. exports to OECD countries
| Autor: | Yen-Hsiang Tseng, 曾彥翔 |
|---|---|
| Rok vydání: | 2012 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 100 The impact of exchange- rate volatility on exports has been perennially debated in the literature. However, a consistent conclusion regarding this issue is still not achieved either in the theoretical or empirical studies. This paper mainly concerns the impact of exchange-rate volatility on U.S. exports to 19 OECD countries, including quarterly observations for the period from 1980:Q1 to 2009:Q4, by applying the pooled mean group (PMG) estimator of Pesaran, Shin, and Smith (1999) to assess the short- and long-run relationships between exports and exchange- rate volatility. Specifically, the estimator can be applied to either I(1) and/ or I(0) variables and does not require the pretesting of unit roots. On the other hands, this methodology also can be summarized as a panel error-correction model, where the short- and long-run effects are estimated jointly from a general autoregressive distributed lag (ARDL) model. The measures of exchange rate volatility in this paper are using EGARCH and TGARCH models. For these two models can capture the volatility in exchange- rate in an asymmetric way. The main findings of this research are as follows: 1.There is no statistically significant impact of exchange-rate-volatility on US export to the OECD countries, regardless in the short- or long-run. and this finding is robust to various sensitivity tests. 2.Our main finding does not alter even with the sample restricted to the period where some countries forming the currency union, i.e., Euro zone. 3.This main finding is robust to various sensitivity tests, thus showing the robustness of our estimate results. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
| Externí odkaz: |
|