Exchange rate volatility in the eurozone

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dc.authoridBajo-Rubio, Oscar/0000-0003-2728-312X
dc.contributor.authorBajo-Rubio, Oscar
dc.contributor.authorBerke, Burcu
dc.contributor.authorMcmillan, David
dc.date.accessioned2024-11-07T13:32:33Z
dc.date.available2024-11-07T13:32:33Z
dc.date.issued2020
dc.departmentNiğde Ömer Halisdemir Üniversitesi
dc.description.abstractThe 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.
dc.description.sponsorshipSpanish Ministry of Economy, Industry and Competitiveness [ECO2016-78422-R]; University of Castilla-La Mancha [2019-GRIN-26952]
dc.description.sponsorshipThe authors wish to acknowledge the comments of Maria A. Prats and three anonymous referees, as well as the econometric advice of Jorge V. Perez-Rodriguez. Financial support from the Spanish Ministry of Economy, Industry and Competitiveness, through the project ECO2016-78422-R, and the University of Castilla-La Mancha, through the project 2019-GRIN-26952 (O. BajoRubio), is also gratefully acknowledged.
dc.identifier.doi10.5018/economics-ejournal.ja.2020-5
dc.identifier.issn1864-6042
dc.identifier.scopus2-s2.0-85079461566
dc.identifier.scopusqualityQ2
dc.identifier.urihttps://doi.org/10.5018/economics-ejournal.ja.2020-5
dc.identifier.urihttps://hdl.handle.net/11480/15469
dc.identifier.volume14
dc.identifier.wosWOS:000516539100001
dc.identifier.wosqualityQ4
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherKiel Inst World Economy
dc.relation.ispartofEconomics-The Open Access Open-Assessment E-Journal
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_20241106
dc.subjectExchange rate volatility
dc.subjectexports
dc.subjecteurozone
dc.titleExchange rate volatility in the eurozone
dc.typeArticle

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