TY - JOUR
T1 - The impact of exchange rate volatility on UK exports to EU countries
AU - De Vita, Glauco
AU - Abbott, Andrew
PY - 2004/2
Y1 - 2004/2
N2 - This paper investigates the impact of exchange rate volatility on UK exports to European Union (EU) countries by means of a newly developed ARDL bounds testing procedure to cointegration. Using monthly data disaggregated by market of destination and sectors for the period 1993ml to 2001m6, our results indicate that UK exports to the EU14, at both aggregate and sectoral level, are generally income elastic, relative price inelastic and largely unaffected by short-term exchange rate volatility. Re-estimation of the model using a long-term measure of volatility, however, provides evidence supporting the hypothesis that exchange rate uncertainty has a negative and significant influence on UK exports to EU countries.
AB - This paper investigates the impact of exchange rate volatility on UK exports to European Union (EU) countries by means of a newly developed ARDL bounds testing procedure to cointegration. Using monthly data disaggregated by market of destination and sectors for the period 1993ml to 2001m6, our results indicate that UK exports to the EU14, at both aggregate and sectoral level, are generally income elastic, relative price inelastic and largely unaffected by short-term exchange rate volatility. Re-estimation of the model using a long-term measure of volatility, however, provides evidence supporting the hypothesis that exchange rate uncertainty has a negative and significant influence on UK exports to EU countries.
UR - http://onlinelibrary.wiley.com/doi/10.1111/j.0036-9292.2004.05101004.x/abstract
U2 - 10.1111/j.0036-9292.2004.05101004.x
DO - 10.1111/j.0036-9292.2004.05101004.x
M3 - Article
SN - 1467-9485
VL - 51
SP - 62
EP - 81
JO - Scottish Journal of Political Economy
JF - Scottish Journal of Political Economy
IS - 1
ER -