US trade and exchange rate volatility: a real sectoral bilateral analysis

Byrne, J.P., Darby, J. and MacDonald, R. (2008) US trade and exchange rate volatility: a real sectoral bilateral analysis. Journal of Macroeconomics, 30(1), pp. 238-259. (doi:10.1016/j.jmacro.2006.08.002)

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Abstract

In this paper we consider the impact of exchange rate volatility on the volume of bilateral US trade (both exports and imports) using sectoral data. Amongst the novelties in our approach are the use of sectoral industrial price indices, rather than an aggregate price index, and the construction of the sectoral groupings, which is based on economic and econometric criteria. We find that separating trade into differentiated goods and homogeneous goods results in the most appropriate sectoral division, and we also report evidence to suggest that exchange rate volatility has a robust and significantly negative effect across sectors, although it is strongest for exports of differentiated goods.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:MacDonald, Professor Ronald and Byrne, Dr Joseph
Authors: Byrne, J.P., Darby, J., and MacDonald, R.
Subjects:H Social Sciences > HB Economic Theory
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Journal of Macroeconomics
ISSN:0164-0704
Published Online:29 November 2006

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