Exchange Rate Volatility and Export Performance: A cointegrated VAR approach

DSpace/Manakin Repository

Show simple item record

dc.contributor.author BOUG, Pål
dc.contributor.author FAGERENG, Andreas
dc.date.accessioned 2010-11-30T14:53:26Z
dc.date.available 2010-11-30T14:53:26Z
dc.date.issued 2010
dc.identifier.citation Applied Economics, 2010, 42, 7, 851-864 en
dc.identifier.uri http://hdl.handle.net/1814/15058
dc.description.abstract During the last decades Norwegian exporters have-despite various forms of exchange rate targeting-faced a rather volatile exchange rate which may have influenced their behaviour. Recently, the shift to inflation targeting and a freely floating exchange rate has brought about an even more volatile exchange rate. We examine the causal link between export performance and exchange rate volatility across different monetary policy regimes within the cointegrated Vector Autoregression (VAR) framework using the implied conditional variance from a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model as a measure of volatility. Although treating the volatility measure as either a stationary or a nonstationary variable in the VAR, we are not able to find any evidence suggesting that export performance has been significantly affected by exchange rate uncertainty. We find, however, that volatility changes proxied by blip dummies related to the monetary policy change from a fixed to a managed floating exchange rate and the Asian financial crises during the 1990s enter significantly in a dynamic model for export growth-in which the level of relative prices and world market demand together with the level of exports constitute a significant cointegration relationship. A forecasting exercise on the dynamic model rejects the hypothesis that increased exchange rate volatility in the wake of inflation targeting in the monetary policy has had a significant impact on export performance. en
dc.language.iso en en
dc.relation.ispartof Applied Economics en
dc.title Exchange Rate Volatility and Export Performance: A cointegrated VAR approach en
dc.type Article en
dc.identifier.doi 10.1080/00036840802600491
dc.neeo.contributor BOUG|Pål|aut|
dc.neeo.contributor FAGERENG|Andreas|aut|
dc.identifier.volume 42 en


Files in this item

Files Size Format View

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record