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The Real Exchange Rate Volatility And U.S. Exports: An Empirical Investigation, E. M. Ekanayake, John R. Ledgerwood, Sabrina D'Souza
The Real Exchange Rate Volatility And U.S. Exports: An Empirical Investigation, E. M. Ekanayake, John R. Ledgerwood, Sabrina D'Souza
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This paper investigates effects of exchange rate volatility on U.S. exports, using disaggregated sectoral data on U.S. exports to its major trading partners. In this paper, we use a generalized ARCH-type model (GARCH) to generate a measure of exchange rate volatility which is then tested in a model of U.S. exports. The analysis uses monthly trade data for the period from January 1990 through December 2007. Testing sectoral trade data allows us to detect whether the direction or magnitude of the impact of volatility differs depending on the types of goods that are traded. The results obtained in this paper …