Does exchange-rate volatility affect import flows in G-7 Countries? Evidence from cointegration models

Augustine Chuck Arize · Steven Shwiff

47 citations0/0 files storedApplied Economics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

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

Abstract

This paper provides new evidence on the long-run relationship between imports and exchange-rate volatility in G-7 countries. The period examined is 1973:2 through 1995:1. Cointegration analyses are based on Johansen's (1991, 1994) approach and robust single-equation methods of Stock and Watson (1993) and Phillips and Loretan (1991). In conformity with theoretical considerations, the results indicate that exchange-rate volatility has a significant negative effect on the volume of imports of most G-7 countries whereas for Canada, it is positive and significant. These findings are reasonably robust in terms of measures of exchange-rate volatility and different estimation methods.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 47 citations exist upstream.

References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 1995Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag 1991Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots

Cited by

2010EXCHANGE RATE VOLATILITY AND PAKISTAN S IMPORT DEMAND: AN APPLICATION OF AUTOREGRESSIVE DISTRIBUTED LAG MODEL 2019On the Asymmetric Effects of Exchange Rate Volatility on Trade Flows: Evidence from Africa 2020Exchange Rate Risk and Uncertainty and Trade Flows: Asymmetric Evidence from Asia 2020On the asymmetric effects of exchange‐rate volatility on trade flows: Evidence from US–UK Commodity Trade

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.