The effects of exchange rate volatility on sectoral exports evidence from Sweden, UK, and Germany

G. Agiomirgianakis, Dimitria Serenis, N. Tsounis

Research output: Contribution to journalArticle

11 Downloads (Pure)

Abstract

This paper examines the effect of exchange rate volatility for a set of three European countries, Germany, Sweden and the UK, on sectoral exports for the period 1973 q1-2010 q4. In addition to the standard deviation of moving average of the logarithm of the exchange rate, a new measure capturing unexpected fluctuation of the exchange rate is examined using the autoregressive distributed lags (ARDL) modelling for co-integration. The results suggest that there exist a long-run co-integrating relationship between the exchange rate volatility and the level of exports for the sectors examined, in the UK and Germany, but it does not have an effect on the exports of Sweden.
Original languageEnglish
Pages (from-to)71-107
JournalInternational Journal of Computational Economics and Econometrics
Volume5
Issue number1
DOIs
Publication statusPublished - 2015

Fingerprint

Sweden
Germany
Exchange rate volatility
Exchange rates
Standard deviation
Fluctuations
Modeling
Cointegration
Distributed lag
European countries
Moving average

Keywords

  • exchange rate volatility
  • exports
  • sectoral trade
  • UK
  • United Kingdom
  • Germany
  • Sweden
  • ARDL modelling
  • co-integration

Cite this

The effects of exchange rate volatility on sectoral exports evidence from Sweden, UK, and Germany. / Agiomirgianakis, G.; Serenis, Dimitria; Tsounis, N.

In: International Journal of Computational Economics and Econometrics, Vol. 5, No. 1, 2015, p. 71-107.

Research output: Contribution to journalArticle

@article{319cb67908c24365a744e75d5b512f2d,
title = "The effects of exchange rate volatility on sectoral exports evidence from Sweden, UK, and Germany",
abstract = "This paper examines the effect of exchange rate volatility for a set of three European countries, Germany, Sweden and the UK, on sectoral exports for the period 1973 q1-2010 q4. In addition to the standard deviation of moving average of the logarithm of the exchange rate, a new measure capturing unexpected fluctuation of the exchange rate is examined using the autoregressive distributed lags (ARDL) modelling for co-integration. The results suggest that there exist a long-run co-integrating relationship between the exchange rate volatility and the level of exports for the sectors examined, in the UK and Germany, but it does not have an effect on the exports of Sweden.",
keywords = "exchange rate volatility, exports, sectoral trade, UK, United Kingdom, Germany, Sweden, ARDL modelling, co-integration",
author = "G. Agiomirgianakis and Dimitria Serenis and N. Tsounis",
year = "2015",
doi = "10.1504/IJCEE.2015.066204",
language = "English",
volume = "5",
pages = "71--107",
journal = "International Journal of Computational Economics and Econometrics",
issn = "1757-1170",
publisher = "Inderscience",
number = "1",

}

TY - JOUR

T1 - The effects of exchange rate volatility on sectoral exports evidence from Sweden, UK, and Germany

AU - Agiomirgianakis, G.

AU - Serenis, Dimitria

AU - Tsounis, N.

PY - 2015

Y1 - 2015

N2 - This paper examines the effect of exchange rate volatility for a set of three European countries, Germany, Sweden and the UK, on sectoral exports for the period 1973 q1-2010 q4. In addition to the standard deviation of moving average of the logarithm of the exchange rate, a new measure capturing unexpected fluctuation of the exchange rate is examined using the autoregressive distributed lags (ARDL) modelling for co-integration. The results suggest that there exist a long-run co-integrating relationship between the exchange rate volatility and the level of exports for the sectors examined, in the UK and Germany, but it does not have an effect on the exports of Sweden.

AB - This paper examines the effect of exchange rate volatility for a set of three European countries, Germany, Sweden and the UK, on sectoral exports for the period 1973 q1-2010 q4. In addition to the standard deviation of moving average of the logarithm of the exchange rate, a new measure capturing unexpected fluctuation of the exchange rate is examined using the autoregressive distributed lags (ARDL) modelling for co-integration. The results suggest that there exist a long-run co-integrating relationship between the exchange rate volatility and the level of exports for the sectors examined, in the UK and Germany, but it does not have an effect on the exports of Sweden.

KW - exchange rate volatility

KW - exports

KW - sectoral trade

KW - UK

KW - United Kingdom

KW - Germany

KW - Sweden

KW - ARDL modelling

KW - co-integration

U2 - 10.1504/IJCEE.2015.066204

DO - 10.1504/IJCEE.2015.066204

M3 - Article

VL - 5

SP - 71

EP - 107

JO - International Journal of Computational Economics and Econometrics

JF - International Journal of Computational Economics and Econometrics

SN - 1757-1170

IS - 1

ER -