CEU Electronic Theses and Dissertations, 2011
| Author | Godány, Károly |
|---|---|
| Title | Does Exchange Rate Uncertainty Reduce International Trade Flows? |
| Summary | My thesis examines the effect of exchange rate volatility on real export flows of the United States to Australia, Canada, Japan and the United Kingdom in the period 1980-2009. The conditional variance of the exchange rate volatility was estimated by a GARCH model. I found evidence for the negative hypothesis in three countries in the long-run by using Johansen cointegration method. I also found evidence for the negative impact applying a vector error correction model. However the effect is rather ambiguous in the short-run. I explain the positive impact explored in the case of Japan by the widespread use of U.S. dollar in invoices in the international trade of East Asia. |
| Supervisor | Benczúr, Péter |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2011/godany_karoly.pdf |
Visit the CEU Library.
© 2007-2021, Central European University