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Exchange rate shocks and trade: A multivariate GARCH-M approach · Study

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ArticleExchange rate shocks and trade: A multivariate GARCH-M approach

KEVIN B. GRIER2013

Article2013

Exchange rate shocks and trade: A multivariate GARCH-M approach

KEVIN B. GRIER · Aaron D. Smallwood

42 citations·0/0 files stored·Journal of International Money and Finance

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Monetary Policy and Economic Impact Global trade and economics Global Financial Crisis and Policies

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References

1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2002Dynamic Conditional Correlation 1996Efficient Tests for an Autoregressive Unit Root 1996Impulse response analysis in nonlinear multivariate models 1992Efficient Tests for an Autoregressive Unit Root 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model n.d.Multivariate GARCH models: a survey

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2020Asymmetric effect of exchange rate volatility on trade in sub-Saharan African countries 2017Asset Prices and Macroeconomic Outcomes: A Survey 2019Dealing With Endogeneity in Threshold Models Using Copulas 2017Bond market integration in East Asia: Multivariate GARCH with dynamic conditional correlations approach 2023Does exchange rate volatility affect the impact of appreciation and depreciation on the trade balance? A nonlinear bivariate approach

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Year2013

Typearticle

Published2013-06-09

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations42

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.jimonfin.2013.05.010

openalex_workW1989465014

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2015A new NN-PSO hybrid model for forecasting Euro/Dollar exchange rate volatility

2015The impact of exchange rate volatility on emerging market exports

2017The exchange rate, asymmetric shocks and asymmetric distributions