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US trade and exchange rate volatility: a real sectoral bilateral analysis

Byrne, Joseph P. and MacDonald, Ronald and Darby, Julia (2008) US trade and exchange rate volatility: a real sectoral bilateral analysis. Journal of Macroeconomics, 30 (1). pp. 238-259. ISSN 0164-0704

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Abstract

In this paper we consider the impact of exchange rate volatility on the volume of bilateral US trade (both exports and imports) using sectoral data. Amongst the novelties in our approach are the use of sectoral industrial price indices, rather than an aggregate price index, and the construction of the sectoral groupings, which is based on economic and econometric criteria. We find that separating trade into differentiated goods and homogeneous goods results in the most appropriate sectoral division, and we also report evidence to suggest that exchange rate volatility has a robust and significantly negative effect across sectors, although it is strongest for exports of differentiated goods.

Item type: Article
ID code: 7197
Keywords: sectoral trade, exchange rate volatility, panel heterogeneity, Commerce
Subjects: Social Sciences > Commerce
Department: Strathclyde Business School > Economics
Related URLs:
    Depositing user: Strathprints Administrator
    Date Deposited: 08 Jan 2009 12:20
    Last modified: 16 Jul 2013 21:15
    URI: http://strathprints.strath.ac.uk/id/eprint/7197

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