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The Effects of Exchange Rate Volatility on Exports: Evidence from China

Xin Yuan, Wan Jianxiang

Open publisher page 3 citations

Abstract

This paper empirically investigates the impact of the exchange rate volatility on the real export flows of China by using quarterly data from 1995Q1 to 2010Q1. Co-integration and error-correction models are employed to obtain the estimates of the long run equilibrium and the short-run dynamics, respectively. Our results concerning the effects of exchange rate volatility on real exports suggest that the long-run relationship between China's real exports and its bilateral real exchange rate volatility is negative and statistically significant, but the short-run impact of the exchange rate volatility is insignificantly positive.

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What this paper is about

This paper empirically investigates the impact of the exchange rate volatility on the real export flows of China by using quarterly data from 1995Q1 to 2010Q1. Co-integration and error-correction models are employed to obtain the estimates of the long run equilibrium and the short-run dynamics, respectively. Our results concerning the effects of exchange rate volatility on real exports suggest that the long-run relationship between China's real exports and its bilateral real exchange rate volatility is negative and statistically significant, but the short-run impact of the exchange rate volatility is insignificantly positive.

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Available abstract

This paper empirically investigates the impact of the exchange rate volatility on the real export flows of China by using quarterly data from 1995Q1 to 2010Q1. Co-integration and error-correction models are employed to obtain the estimates of the long run equilibrium and the short-run dynamics, respectively. Our results concerning the effects of exchange rate volatility on real exports suggest that the long-run relationship between China's real exports and its bilateral real exchange rate volatility is negative and statistically significant, but the short-run impact of the exchange rate volatility is insignificantly positive.

Key concepts: Volatility (finance), Exchange rate, Economics, Econometrics, China, Short run, Monetary economics, Forward volatility

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