Exchange Rate Volatility and Foreign Trade: The case for Cyprus and Croatia

文獻來源：

a Lecturer, Technological Institute of Western Macedonia, Department of International Trade, Kastoria 52100, Greece
b Professor, Technological Institute of Western Macedonia, Department of International Trade, Kastoria 52100, Greece; Adjunct faculty, Hellenic Open University
文章連結

重點摘要：

In this study we have taken explicit account of nonstationarity and have applied a multivariate cointegration error correction model for two countries and two different measures of volatility. Each model satisfies several commonly utilized econometric tests in the analysis of time-series data such as cointegration

and unit roots. Our empirical analysis suggests that although exchange rate volatility when measured as the simple standard deviation of the log effective exchange has no effect on the level of exports for both Croatia and Cyprus. However, when an alternative measure is used there is an indication of a stronger effect from movements of the exchange rate to the level of exports. As a result a negative statistical significant relationship is estimated for Croatia. From a policy prospective our results are important. They suggest that policy makers should consider volatility for some but not all countries when applying economic policy. More specifically, policy actions reducing unexpected fluctuation of the exchange rate, for one of our sample countries, will increase the exported amount. The actual reduction from such a policy is beyond the scope of this paper and will be addressed in future work.

基本理論：匯率波動對出口影響

研究方法：單跟檢定、Johansen’s maximum test 、誤差修正模型

需要的數據：Cyprus and Croatia實質有效匯率，實質GDP，資料從1990Q1-2012Q1

困難之處：主要模型： log(X)= λ0+λ1*log(PX/Pw) +λ2*log(GDP)+λ3 +λ4*(V) + λ5*D1+ λ6*D3 + λ7*D4 + λ8*log(T) + ω (1.1)

其中不懂D1.D2.D3季節性假設