search query: @indexterm ARCH MODELS / total: 8
reference: 1 / 8
« previous | next »
| Author: | Herwartz, H. |
| Title: | On the (nonlinear) relationship between exchange rate uncertainty and trade - an investigation of US trade figures in the Group of Seven |
| Journal: | Review of World Economics
2003 : VOL. 139:4, p. 650-682 |
| Index terms: | ARCH models Exchange rates Forecasting International trade Volatility |
| Language: | eng |
| Abstract: | Bilateral models formalizing monthly growth of US imports and exports are employed in this study to investigate the potential of nonlinear relationships linking exchange rate uncertainty and trade growth. Parametric linear and nonlinear as well as semiparametric time series models are evaluated in terms of fitting and ex ante forecasting. The overall impact of exchange rate variations on trade growth is found to be weak. |
« previous | next »
SCIMA