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    Exchange rate volatility in the eurozone
    (Kiel Inst World Economy, 2020) Bajo-Rubio, Oscar; Berke, Burcu; Mcmillan, David
    The current economic crisis has witnessed a strong deceleration in the growth of international trade. This has been even greater in the cases of the European Unionand the eurozone, where the rates of export growth have even reached negative figures. In this paper, the authors examine to which extent exchange rate volatility might account for the drop in the rate of growth of exports in the eurozone since the start of the crisis. To that end, they estimate export functions, augmented to include several measures of exchange rate volatility, for the four largest economies of the eurozone, i.e., France, Germany, Italy and Spain, for the period 1994:1-2014:4. In the empirical application, the authors make use of two alternative measures for exchange rate volatility, i.e., (i) the Standard deviation and (ii) the conditional variance from the GARCH methodology, of the change in the logarithm of the exchange rate, for both nominal and real exchange rates, and in the latter case computed using as deflators both Export prices and unit labour costs. The empirical results show no clear-cut evidence on the impact of exchange rate volatility on the exports of the countries analysed, suggesting that financial markets were developed enough so that exchange rate volatility does not hinder the evolution of exports.
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    International trade and finance: A review
    (Universidad de Huelva, 2018) Bajo-Rubio, Oscar; Berke, Burcu
    The emphasis of international trade theories shifted in the last forty years, from comparative advantage, to scale economies and product differentiation. More recently, the “new” new trade theories have stressed the role of firm heterogeneity, which has led to a renewed interest on the study of how credit constraints may hamper the export activities of firms. In this paper, we provide a brief survey of the relationship between international trade and finance, a field that only recently has been the subject of systematic analysis in the economic literature, from both a theoretical and empirical point of view. In general, barriers to external financing play a significant role as an obstacle to the exporting activity of firms, especially for younger and smaller firms; and these results would have been reinforced by the global financial crisis. © 2018, Universidad de Huelva. All rights reserved.
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    INTERNATIONAL TRADE AND FINANCE: A REVIEW
    (Univ Huelva, Serv Publicaciones, 2018) Bajo-Rubio, Oscar; Berke, Burcu
    The emphasis of international trade theories shifted in the last forty years, from comparative advantage, to scale economies and product differentiation. More recently, the new new trade theories have stressed the role of firm heterogeneity, which has led to a renewed interest on the study of how credit constraints may hamper the export activities of firms. In this paper, we provide a brief survey of the relationship between international trade and finance, a field that only recently has been the subject of systematic analysis in the economic literature, from both a theoretical and empirical point of view. In general, barriers to external financing play a significant role as an obstacle to the exporting activity of firms, especially for younger and smaller firms; and these results would have been reinforced by the global financial crisis.
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    Revisiting the effects of government size and labour market institutions on macroeconomic volatility: The case of the eurozone
    (Univ Oviedo, 2023) Bajo-Rubio, Oscar; Berke, Burcu
    We revisit the role of government size and labour market institutions on macroeconomic volatility, for the case of the eurozone since the adoption of the euro, which can provide a more homogeneous setting to test for macroeconomic volatility. The behaviour of the volatility of inflation looked rather different from that of GDP. Neither government size nor labour market institutions seemed to affect the volatility of GDP, except when demographic factors were included into the estimated equation; whereas lower volatility of inflation was related to a lower share of non-prime age workers and lower wage volatility.
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    The behaviour of asset return and volatility spillovers in Turkey: A tale of two crises
    (Elsevier Science Bv, 2017) Bajo-Rubio, Oscar; Berke, Burcu; McMillan, David
    This paper examines return and volatility spillovers between the Turkish stock market with international stock, exchange rate and commodity markets. Our aim is not only to examine spillover behaviour with a large emerging market but also to examine cross-asset spillovers and how they vary across two periods of financial market crisis; the dotcom crash and the liquidity-induced financial crisis. This is to be compared with existing work that typically focuses on industrialised countries or single asset markets only. Using the spillover index methodology we uncover an interesting distinction between these two periods of markets stress. Over the dotcom period spillovers are largely between the same asset class, notably two exchange rate series and two international stock markets series. However, in the period including the financial crisis, spillovers both increase and cross asset types and suggest a much greater degree of market interdependence. Understanding this changing nature in spillovers is key for investors, regulators and academics involved in theoretical model development.
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    The Effects of Competitiveness on Trade Balance: The Case of Southern Europe
    (Walter De Gruyter Gmbh, 2016) Bajo-Rubio, Oscar; Berke, Burcu; Esteve, Vicente
    According to conventional wisdom, peripheral Southern European members of the euro area (Greece, Italy, Portugal and Spain) suffer from a problem of competitiveness. Since their membership of the euro area renders devaluation impossible, adjustment should come through decreasing wages and prices in these countries, which, by improving the trade balance, should lead to a recovery of previous levels of employment and growth. In this paper, the authors estimate trade balance equations for the Southern European countries, both for total trade and for the trade performed with the European Union, taking three alternative measures of the real exchange rate, based on consumption price indices, export prices and unit labour costs, respectively. Their main conclusion is that demand seems to be more relevant than relative prices when explaining the evolution of the trade balance.