The Effect of Exchange Rate Volatility on Exports

The purpose of this book was to examine the effect of real exchange rate volatility between the Canadian and US dollars on real exports from Canada to US. The study used quarterly data from 1960-2017. The GARCH (1, 1) was used to model exchange rate volatility. After finding the variables were non-stationary with no co-integration, a VAR model was used to investigate the short-run relationship in the variables using Granger causality, impulse response functions and variance decomposition estimates. The results revealed that the effect of exchange rate volatility is of mixed signs with coefficients that are not statistically significant.

Autorentext

Derzeit promoviert sie an der Universität Maynooth in Irland unter der Leitung von Professor Gregory Connor und führt eingehende Forschungsarbeiten in den Bereichen Wechselkursregime, Volatilität, Finanzkrisen, Bank- und Finanzwesen und der Übertragungsmechanismus von Wechselkursen auf die Makroökonomie durch.