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Exchange Rate Uncertainty (exchange + rate_uncertainty)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	66%
Mathematics and Statistics	33%

Selected Abstracts

The Impact of Short- and Long-run Exchange Rate Uncertainty on Investment: A Panel Study of Industrial Countries,

OXFORD BULLETIN OF ECONOMICS & STATISTICS, Issue 3 2005
Joseph P. Byrne
Abstract We examine the relationship between aggregate investment and exchange rate uncertainty in the G7, using panel estimation and decomposition of volatility derived from the components generalized autoregressive conditionally heteroscedastic (GARCH) model. Our dynamic panel approach takes account of potential cross-sectional heterogeneity, which can lead to bias in estimation. We find that for a poolable subsample of European countries, it is the transitory and not the permanent component of volatility which adversely affects investment. To the extent that short-run uncertainty in the CGARCH model characterizes higher frequency shocks generated by volatile short-term capital flows, these are most deleterious for investment. [source]

Exchange rate uncertainty and employment: an algorithm describing ,play'

APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, Issue 2 2001
Ansgar Belke
Abstract The paper deals with the impacts of exchange rate uncertainty on the relationship between macroeconomic labour market variables. Under uncertainty, areas of weak reactions,so-called ,play' areas,have to be considered at the macrolevel. The width of the play area is a positive function of the degree of uncertainty. When changes go beyond the play-area suddenly strong reactions (,spurts') occur. These non-linear dynamics are captured in a simplified linearized way. An algorithm describing linear play hysteresis is developed and implemented into a regression framework. As an empirical application, the exchange rate impacts on German employment are analysed considering play effects. Copyright © 2001 John Wiley & Sons, Ltd. [source]

Foreign direct investment and exchange rate uncertainty in South-East Asia

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 4 2008
Sylvia Gottschalk
Abstract We investigate the relationship between exchange rate volatility, exchange rate risk diversification and the location of foreign direct investment in the manufacturing industries of Indonesia, Malaysia, Philippines and Thailand. We found a strong role for the yen/dollar exchange rate in location decisions of the US and Japanese investors. There is evidence in the literature that Japanese firms invest in Asia to circumvent the appreciation of the yen. Our results show that the volatility of the yen and the correlation between local exchange rates and the yen are significant determinants of the US and Japanese investments in the region. Copyright © 2007 John Wiley & Sons, Ltd. [source]

The impact of exchange rate volatility on U.S. poultry exports

AGRIBUSINESS : AN INTERNATIONAL JOURNAL, Issue 2 2006
Titus O. Awokuse
Existing empirical evidence on the effect of exchange rate uncertainty on trade is generally conflicting and inconclusive. While some studies found a positive relationship between exchange rate volatility and trade, others argue for the opposite. Furthermore, the vast majority of past studies only focused on aggregate trade flow data. The lack of extensive literature on studies based on disaggregated and commodity-level data may partially explain the ambiguity in past empirical evidence. This paper re-examines the relationship between exchange rate volatility and U.S. poultry exports using a panel data for 49 importing nations over two subperiods: 1976,1985 and 1986,2000. The analysis uses a fixed-effects model specification and three alternative measures of exchange rate volatility. The empirical results suggest that the choice of volatility measure matters as there is a positive relationship between exchange rate uncertainty and poultry exports. These findings are consistent with those from several previous studies. [JEL classification: F310, Q170]. © 2006 Wiley Periodicals, Inc. Agribusiness 22: 233,245, 2006. [source]

Switching costs, dynamic uncertainty, and buyer,seller relationships,

NAVAL RESEARCH LOGISTICS: AN INTERNATIONAL JOURNAL, Issue 8 2007
Nagesh N. Murthy
Abstract We analyze strategic relationships between buyers and sellers in markets with switching costs and dynamic uncertainty by investigating the scenario wherein a representative buyer trades with two foreign sellers located in the same foreign country. We show that, under exchange rate uncertainty, switching costs may lead to switching equilibria where both sellers co-exist in the market with the buyer, or no-switching equilibria where either seller captures the market. The presence of exchange rate uncertainty facilitates competition by allowing the sellers to co-exist in the market with the buyer. However, if the level of uncertainty is beyond a threshold, the only viable equilibria are those where one of the sellers captures the market. Further, depending on the level of exchange rate uncertainty and the sellers' variable costs, switching costs may either raise or lower the level of prices in long-term contracts between the buyer and the sellers. © 2007 Wiley Periodicals, Inc. Naval Research Logistics, 2007 [source]

The Impact of Short- and Long-run Exchange Rate Uncertainty on Investment: A Panel Study of Industrial Countries,

EXCHANGE RATE REGIMES AND TRADE

THE MANCHESTER SCHOOL, Issue 2007
CHRISTOPHER ADAM
A ,new version' of the gravity model is used to estimate the effect of a full range of de facto exchange rate regimes on bilateral trade. The results indicate that, while participation in a common currency union is typically strongly ,pro-trade', other exchange rate regimes which lower the exchange rate uncertainty and transactions costs associated with international trade are significantly more pro-trade than the default regime of a ,double float'. They suggest that the direct and indirect trade-creating effects of these regimes on uncertainty and transactions costs tend to outweigh the trade-diverting substitution effects. Tariff-equivalent monetary barriers associated with each exchange rate regime are also calculated. [source]

Exchange rate uncertainty and employment: an algorithm describing ,play'

OPTIMAL EXPORT AND HEDGING DECISIONS WHEN FORWARD MARKETS ARE INCOMPLETE

BULLETIN OF ECONOMIC RESEARCH, Issue 1 2007
Kit Pong Wong
D81; F23; F31 ABSTRACT This paper examines the behaviour of the competitive firm that exports to two foreign countries under multiple sources of exchange rate uncertainty. There is a forward market between the home currency and one foreign country's currency, but there are no hedging instruments directly related to the other foreign country's currency. We show that the separation theorem holds when the firm optimally exports to the foreign country with the currency forward market. The full-hedging theorem holds either when the firm exports exclusively to the foreign country with the currency forward market or when the relevant spot exchange rates are independent. In the case that the relevant spot exchange rates are positively (negatively) correlated in the sense of regression dependence, the firm optimally opts for a short (long) forward position for cross-hedging purposes. [source]