The 25 references with contexts in paper Christopher F. Baum, Mustafa Caglayan, Neslihan Ozkan (2000) “Nonlinear Effects of Exchange Rate Volatility on the Volume of Bilateral Exports” / RePEc:boc:bocoec:488

1
Akhtar, M.A. and R.S. Hilton (1984), Exchange rate uncertainty and international trade: Some conceptual issues and new estimates from Germanyand the U.S., Federal Reserve Bank of New York, Research Paper No. 8403.
Total in-text references: 1
  1. In-text reference with the coordinate start=3309
    Prefix
    Theempirical results are, in general, sensitiveto the choicesof sample period, model speci-cation, form of proxies for exchange rate volatility, and countries considered (developed versus developing). , 2 23 Negativeeffects of exchange rate uncertaintyon trade -ows are reported by
    Exact
    Cushman (1983, 1986, 1988), Akhtar and Hilton (1984),
    Suffix
    Thursby and Thursby (1987), Kenen and Rodrik (1986), and Peree and Steinherr (1989), among others, while Hooper and Kohlhagen (1978), Gotur (1985), Koray and Lastrapes (1989), and Gagnon (1993) -nd insigni-cant effects.

2
Anderson, T.G., Bollerslev, T., Diebold, F.X. and P. Labys (2001), Modeling and forecasting realized volatility, Technical report 8160, National Bureau of Economic Research, Cambridge, MA.
Total in-text references: 1
  1. In-text reference with the coordinate start=6187
    Prefix
    Our model uses a -exible Poisson lag speci-cation 4 andtrade-ows,seeFarelletal. (1983),IMF(1984),andWillett(1986)regardingtheliteraturethroughthemid-1980s, and Côté (1994) regarding more recentworks. Severalauthorsinthe-nanceliteraturehaveusedhighfrequencydatatoobtainvolatilitymeasures(e.g.,
    Exact
    Anderson et al. (2001), French et al. (1987)). Klaassen (1999),
    Suffix
    using G7 data, demonstrates that proxies obtained from both ARCH models and moving standard deviation measures have con-icting implications for the evolution of risk over time. 4 4 to allow the data to determine the appropriate dynamic speci-cation of the time form of explanatory variables- impacts.

4
Baron, D.P. (1976), Fluctuating exchange rates and pricing of exports, Economic Inquiry, 14, 425-438.
Total in-text references: 1
  1. In-text reference with the coordinate start=2132
    Prefix
    This volatility has often been cited bytheproponentsofmanaged or-xedexchangerates asdetrimental,sinceintheir view exchangerateuncertaintywillinevitablydepressthevolumeofinternationaltradebyincreasingtheriskinessoftradingactivityandnegativelyaffectingtheoptimalallocationof resources. Several theoretical studies
    Exact
    (Ethier (1973), Clark (1973), Baron (1976),
    Suffix
    Cushman (1986), Peree and Steinherr (1989) to mention a few) have shown that an increase in exchange rate volatilitywill haveadverseeffects on the volume of internationaltrade. Contrarily, other models (for example Franke (1991), Sercu and Vanhulle (1992)) have shown that exchange rate volatility may have a positive impact on international trade -ows, or ambiguous effects depending on aggregate ex

5
Bini-Smaghi, L. (1991), Exchange rate variability and trade: Why is it so difficult to -nd any empirical relationship? Applied Economics, 23, 927-936.
Total in-text references: 1
  1. In-text reference with the coordinate start=4827
    Prefix
    includes U.S., Canada, Germany,U.K., France, Italy, Japan, Finland, Netherlands, Norway,Spain, Sweden,andSwitzerland, consists ofbilateral real exports for the period 1980-1998 on a monthly basis in each direction. Hence it is possible to examine dozens of bilateral relationships,and avoidthe narrowfocus on U.S. or the G7 countries- data that has characterised muchof the literature. Second, as
    Exact
    Bini-Smaghi (1991)
    Suffix
    has stressed: there could be methodological problems, as all empirical analysis incorporates a proxy to capture exchange rate volatility. Most of the previous research uses a moving average standard deviation of the past monthly exchange rates, while others use variants of ARCH models.

6
Bloem, Adriaan M., Dippelsman, Robert J., and Nils O. Maehle (2001), Quarterly National AccountsManual: Concepts, DataSources, andCompilation, Washington: International Monetary Fund.
Total in-text references: 1
  1. In-text reference with the coordinate start=15456
    Prefix
    itself to generate such a proxy (as has often been done in the literature), we chose not to use industrial production in that context, since it provides a limited measure of overall economic activity. As an alternative, we apply the -proportional Dentonbenchmarkingtechnique toquarterly real GDP series in order to producemonthlyGDP estimates. The proportional Denton benchmarking technique
    Exact
    (Bloem et al., 2001)
    Suffix
    uses thehigher-frequencymovementsofanassociatedvariable-inourcase,monthlyindustrial production-asaninterpolatorwithinthequarter,whileenforcingtheconstraintthatthe sum of monthly GDP -ows equals the observed quarterly total.

7
Clark, P.B. (1973), Uncertainty, exchange risk, and the level of international trade, Western Economic Journal, 11, 302-313.
Total in-text references: 1
  1. In-text reference with the coordinate start=2132
    Prefix
    This volatility has often been cited bytheproponentsofmanaged or-xedexchangerates asdetrimental,sinceintheir view exchangerateuncertaintywillinevitablydepressthevolumeofinternationaltradebyincreasingtheriskinessoftradingactivityandnegativelyaffectingtheoptimalallocationof resources. Several theoretical studies
    Exact
    (Ethier (1973), Clark (1973), Baron (1976),
    Suffix
    Cushman (1986), Peree and Steinherr (1989) to mention a few) have shown that an increase in exchange rate volatilitywill haveadverseeffects on the volume of internationaltrade. Contrarily, other models (for example Franke (1991), Sercu and Vanhulle (1992)) have shown that exchange rate volatility may have a positive impact on international trade -ows, or ambiguous effects depending on aggregate ex

9
Cushman,D. O.(1983),Theeffectsofrealexchangerateriskoninternationaltrade, Journal of International Economics, 15, 45-63.
Total in-text references: 1
  1. In-text reference with the coordinate start=3309
    Prefix
    Theempirical results are, in general, sensitiveto the choicesof sample period, model speci-cation, form of proxies for exchange rate volatility, and countries considered (developed versus developing). , 2 23 Negativeeffects of exchange rate uncertaintyon trade -ows are reported by
    Exact
    Cushman (1983, 1986, 1988), Akhtar and Hilton (1984),
    Suffix
    Thursby and Thursby (1987), Kenen and Rodrik (1986), and Peree and Steinherr (1989), among others, while Hooper and Kohlhagen (1978), Gotur (1985), Koray and Lastrapes (1989), and Gagnon (1993) -nd insigni-cant effects.

10
Cushman, D. O. (1986), Has exchange rate risk depressed international trade? The impact ofthird-countryexchange risk, Journalof InternationalMoney andFinance, 5, 361-379.
Total in-text references: 1
  1. In-text reference with the coordinate start=3309
    Prefix
    Theempirical results are, in general, sensitiveto the choicesof sample period, model speci-cation, form of proxies for exchange rate volatility, and countries considered (developed versus developing). , 2 23 Negativeeffects of exchange rate uncertaintyon trade -ows are reported by
    Exact
    Cushman (1983, 1986, 1988), Akhtar and Hilton (1984),
    Suffix
    Thursby and Thursby (1987), Kenen and Rodrik (1986), and Peree and Steinherr (1989), among others, while Hooper and Kohlhagen (1978), Gotur (1985), Koray and Lastrapes (1989), and Gagnon (1993) -nd insigni-cant effects.

11
Cushman, D. O. (1988), U.S. bilateral trade -ows and exchange risk during the -oating period, Journal of International Economics, 24, 317-330.
Total in-text references: 1
  1. In-text reference with the coordinate start=3309
    Prefix
    Theempirical results are, in general, sensitiveto the choicesof sample period, model speci-cation, form of proxies for exchange rate volatility, and countries considered (developed versus developing). , 2 23 Negativeeffects of exchange rate uncertaintyon trade -ows are reported by
    Exact
    Cushman (1983, 1986, 1988), Akhtar and Hilton (1984),
    Suffix
    Thursby and Thursby (1987), Kenen and Rodrik (1986), and Peree and Steinherr (1989), among others, while Hooper and Kohlhagen (1978), Gotur (1985), Koray and Lastrapes (1989), and Gagnon (1993) -nd insigni-cant effects.

13
Ethier, W. (1973), International trade and the forward exchange market, American Economic Review, 63, 494-503.
Total in-text references: 1
  1. In-text reference with the coordinate start=2132
    Prefix
    This volatility has often been cited bytheproponentsofmanaged or-xedexchangerates asdetrimental,sinceintheir view exchangerateuncertaintywillinevitablydepressthevolumeofinternationaltradebyincreasingtheriskinessoftradingactivityandnegativelyaffectingtheoptimalallocationof resources. Several theoretical studies
    Exact
    (Ethier (1973), Clark (1973), Baron (1976),
    Suffix
    Cushman (1986), Peree and Steinherr (1989) to mention a few) have shown that an increase in exchange rate volatilitywill haveadverseeffects on the volume of internationaltrade. Contrarily, other models (for example Franke (1991), Sercu and Vanhulle (1992)) have shown that exchange rate volatility may have a positive impact on international trade -ows, or ambiguous effects depending on aggregate ex

15
Franke,G. (1991),Exchangerate volatilityandinternationaltrading strategy, Journal of International Money and Finance, 10, 292-307.
Total in-text references: 2
  1. In-text reference with the coordinate start=2391
    Prefix
    Several theoretical studies (Ethier (1973), Clark (1973), Baron (1976), Cushman (1986), Peree and Steinherr (1989) to mention a few) have shown that an increase in exchange rate volatilitywill haveadverseeffects on the volume of internationaltrade. Contrarily, other models (for example
    Exact
    Franke (1991), Sercu and Vanhulle (1992))
    Suffix
    have shown that exchange rate volatility may have a positive impact on international trade -ows, or ambiguous effects depending on aggregate exposure to currency risk (Viaene and deVries (1992)). Giventhesecontradictorytheoreticalpredictions,onemightappealtoempiricalanalysis to -nd out which outcome the data would support.

  2. In-text reference with the coordinate start=9572
    Prefix
    In our extension, we seek to capture the potential effect of the volatilities of exchange rates and foreign income on exporters- supply decisions. The strands of literature which consider entry/exit costs and evaluate -real options- to participate in export markets give rise to additional factors determining medium-runsupply (see, for example,
    Exact
    Franke (1991)).
    Suffix
    The value of a real option, like that of any option, is enhanced by volatility in the underlying relationship, and in this case exporters will be sensitive to both the volatility of foreign income and volatility of the exchange rate.

16
French, K.R., Schwert, G.W. and R. F. Stambaugh (1987), Expected stock returns and volatility, Journal of Financial Economics, 19, 3-29.
Total in-text references: 1
  1. In-text reference with the coordinate start=6187
    Prefix
    Our model uses a -exible Poisson lag speci-cation 4 andtrade-ows,seeFarelletal. (1983),IMF(1984),andWillett(1986)regardingtheliteraturethroughthemid-1980s, and Côté (1994) regarding more recentworks. Severalauthorsinthe-nanceliteraturehaveusedhighfrequencydatatoobtainvolatilitymeasures(e.g.,
    Exact
    Anderson et al. (2001), French et al. (1987)). Klaassen (1999),
    Suffix
    using G7 data, demonstrates that proxies obtained from both ARCH models and moving standard deviation measures have con-icting implications for the evolution of risk over time. 4 4 to allow the data to determine the appropriate dynamic speci-cation of the time form of explanatory variables- impacts.

17
Gagnon, J. E. (1993), Exchange rate variabilityand the level of international trade, Journal of International Economics, 34, 269-287. 27
Total in-text references: 1
  1. In-text reference with the coordinate start=3540
    Prefix
    exchange rate volatility, and countries considered (developed versus developing). , 2 23 Negativeeffects of exchange rate uncertaintyon trade -ows are reported by Cushman (1983, 1986, 1988), Akhtar and Hilton (1984), Thursby and Thursby (1987), Kenen and Rodrik (1986), and Peree and Steinherr (1989), among others, while Hooper and Kohlhagen (1978), Gotur (1985), Koray and Lastrapes (1989), and
    Exact
    Gagnon (1993)
    Suffix
    -nd insigni-cant effects. Kroner and Lastrapes (1993), using a multivariate GARCH-in-mean model, report that the reduced-formeffectsofvolatilityonexportvolumeandpricesvarywidely. TheestimatedeffectsofGARCHconditional variance of the nominal exchange rate on export-ows differ in sign and magnitude across the countriesstudied.

18
Goldstein, M. and M.S. Khan (1985), Income and price effects in foreign trade, in Handbook of InternationalEconomics, Volume II, R.W. Jones and P.B. Kenen, eds. Amsterdam: North-Holland.
Total in-text references: 1
  1. In-text reference with the coordinate start=10762
    Prefix
    Thus, we utilize for the exports of country to all trading partners. Per a reviewer-s suggestion,the dissimilarity of comovementsof exportprices and the general price level makes this approximationless damaging than would the application of a general price de-ator. As
    Exact
    Goldstein and Khan (1985)
    Suffix
    argue, the time lag betweenthe period in which trade decisions are made and the period when the actual trade takesplace implies that uncertaintycould affect internationaltrade -ows. Pixi.t 6 6 term pro-topportunities.

19
Gotur,D.(1985),Effectsofexchangeratevolatilityontrade: Somefurtherevidence, IMF Staff Papers, 32, 475-512.
Total in-text references: 1
  1. In-text reference with the coordinate start=3465
    Prefix
    the choicesof sample period, model speci-cation, form of proxies for exchange rate volatility, and countries considered (developed versus developing). , 2 23 Negativeeffects of exchange rate uncertaintyon trade -ows are reported by Cushman (1983, 1986, 1988), Akhtar and Hilton (1984), Thursby and Thursby (1987), Kenen and Rodrik (1986), and Peree and Steinherr (1989), among others, while
    Exact
    Hooper and Kohlhagen (1978), Gotur (1985),
    Suffix
    Koray and Lastrapes (1989), and Gagnon (1993) -nd insigni-cant effects. Kroner and Lastrapes (1993), using a multivariate GARCH-in-mean model, report that the reduced-formeffectsofvolatilityonexportvolumeandpricesvarywidely.

20
Greene, W. (2000), Econometric Analysis, fourth edition. New York: Prentice-Hall.
Total in-text references: 1
  1. In-text reference with the coordinate start=40364
    Prefix
    , in Table 6 we summarize the prevalence of these effects from the exporter-s perspective: that is, from each exporting country how many of the bilateral relations to importersexhibit sensitiv21 ˆ --. ijij -ˆ 0079 0235 , .,. ij i,j ,..., =1 13 18 testnl The test of this hypothesisfrom the estimated nonlinear model is computed by Stata-s procedure,which is based on a statistic described in
    Exact
    Greene (2000,
    Suffix
    p. 153-154). --,ijij ij ij ij ij ij ij ij ij 5. Estimation Results: Exporters G7 G7 nonG7 nonG7 ERM All Importers G7 nonG7 G7 nonG7 ERM All median 0.015 0.014 0.025 0.003 0.018 0.014 mean 0.103 0.144 0.296 0.041 0.251 0.157 std. error 0.060 0.084 0.089 0.062 0.130 0.040 95% conf. -0.019 -0.025 0.116 -0.086 -0.014 0.079 interval0.224 0.313 0.477 0.168 0.51

21
Hamilton,J.(1994).TimeSeriesAnalysis.Princeton,NJ:PrincetonUniversityPress.
Total in-text references: 1
  1. In-text reference with the coordinate start=20542
    Prefix
    daily data, to de-ne the risk measure: (5) ∈ ,. (1 5) √ ∑ tt T t d ttt s,t - tt t tt i iti t tt s&-s -s.s -s- - s-, ---s -[ ]=[] []-[] []= + (-[] ) -[ ] [] =1 -1 2 =1 ∑ wheretheparameters , , areestimatedfromtheempiricaldistribution ofthe 12 12 --s s,t - t values. A period-aheadforecast ofisthen computedbygeneratinga standard multi-period-ahead AR(2) forecast from equation (5), following
    Exact
    Hamilton (1994,
    Suffix
    pp. 80-81). 2.3 Modeling the dynamics of the export relationship Giventhattheinclusionofexchangeratevolatilityinequation(3)arisesduetotimelags betweenagents-decisionstopurchaseandthecompletion ofthattransaction,aneclectic exchange rates, which are in many cases much larger than monthly changes in consumer prices.

22
Hooper, P. and S. W. Kohlhagen (1978), The effect of exchange rate uncertaintyon the prices and volume of internationaltrade, Journal of International Economics, 8, 483-511.
Total in-text references: 1
  1. In-text reference with the coordinate start=3465
    Prefix
    the choicesof sample period, model speci-cation, form of proxies for exchange rate volatility, and countries considered (developed versus developing). , 2 23 Negativeeffects of exchange rate uncertaintyon trade -ows are reported by Cushman (1983, 1986, 1988), Akhtar and Hilton (1984), Thursby and Thursby (1987), Kenen and Rodrik (1986), and Peree and Steinherr (1989), among others, while
    Exact
    Hooper and Kohlhagen (1978), Gotur (1985),
    Suffix
    Koray and Lastrapes (1989), and Gagnon (1993) -nd insigni-cant effects. Kroner and Lastrapes (1993), using a multivariate GARCH-in-mean model, report that the reduced-formeffectsofvolatilityonexportvolumeandpricesvarywidely.

25
Klaassen, F. (1999), Why is it so difficult to -nd an effect of exchange rate risk on trade? Unpublished working paper, CentER.
Total in-text references: 2
  1. In-text reference with the coordinate start=5380
    Prefix
    Our study improves upon muchof the literature in its method of quantifying exchange rate volatility. We utilize daily spot exchange rates to compute one month-ahead exchange rate volatility (via amethod based on Merton (1980), which is also exploited by
    Exact
    Klaassen (1999)
    Suffix
    in the exchange rate context) from the intra-monthly variations in the exchange rate. This approach provides a more representative measure of the perceived volatility avoiding potentialproblems,suchasthehighpersistenceofrealexchangerateshockswhenmoving average representations are used, or low correlation in volatility when ARCH/GARCH models are applied to quantify exchange rate volatility.

  2. In-text reference with the coordinate start=6187
    Prefix
    Our model uses a -exible Poisson lag speci-cation 4 andtrade-ows,seeFarelletal. (1983),IMF(1984),andWillett(1986)regardingtheliteraturethroughthemid-1980s, and Côté (1994) regarding more recentworks. Severalauthorsinthe-nanceliteraturehaveusedhighfrequencydatatoobtainvolatilitymeasures(e.g.,
    Exact
    Anderson et al. (2001), French et al. (1987)). Klaassen (1999),
    Suffix
    using G7 data, demonstrates that proxies obtained from both ARCH models and moving standard deviation measures have con-icting implications for the evolution of risk over time. 4 4 to allow the data to determine the appropriate dynamic speci-cation of the time form of explanatory variables- impacts.

27
Kroner, K. and W. D. Lastrapes (1993), The impact of exchange rate volatility on international trade: Reduced form estimates using the GARCH-in-mean model, Journal of International Money and Finance, 12, 298-318.
Total in-text references: 1
  1. In-text reference with the coordinate start=3579
    Prefix
    considered (developed versus developing). , 2 23 Negativeeffects of exchange rate uncertaintyon trade -ows are reported by Cushman (1983, 1986, 1988), Akhtar and Hilton (1984), Thursby and Thursby (1987), Kenen and Rodrik (1986), and Peree and Steinherr (1989), among others, while Hooper and Kohlhagen (1978), Gotur (1985), Koray and Lastrapes (1989), and Gagnon (1993) -nd insigni-cant effects.
    Exact
    Kroner and Lastrapes (1993),
    Suffix
    using a multivariate GARCH-in-mean model, report that the reduced-formeffectsofvolatilityonexportvolumeandpricesvarywidely. TheestimatedeffectsofGARCHconditional variance of the nominal exchange rate on export-ows differ in sign and magnitude across the countriesstudied.

28
Merton, Robert (1980), On estimating the expected return to the market: An exploratory investigation. Journal of Financial Economics, 8, 323-361.
Total in-text references: 3
  1. In-text reference with the coordinate start=5339
    Prefix
    Our study improves upon muchof the literature in its method of quantifying exchange rate volatility. We utilize daily spot exchange rates to compute one month-ahead exchange rate volatility (via amethod based on
    Exact
    Merton (1980),
    Suffix
    which is also exploited by Klaassen (1999) in the exchange rate context) from the intra-monthly variations in the exchange rate. This approach provides a more representative measure of the perceived volatility avoiding potentialproblems,suchasthehighpersistenceofrealexchangerateshockswhenmoving average representations are used, or low correlation in volatility when ARCH/GARCH models are applied to

  2. In-text reference with the coordinate start=18327
    Prefix
    Although an export equation such as (3) must be estimated from monthly(or lower-frequency)data, we use (squared) intra-monthly changes in the exchange rate in order to capture that month-s volatility,asoriginallyproposedby
    Exact
    Merton(1980).
    Suffix
    Sincethismeasuremaybecalculated forrealexchangeratesbetweeneachpairofcountriesinourdataset,wemayfocusonthe riskfacedbycountry -sexporterssellinginthe thexportmarket,whichwillvaryacross and is quite distinct from the risk faced by country -s exporters selling to country .

  3. In-text reference with the coordinate start=46423
    Prefix
    We utilize a broader set of data, which allows us to independently examinedozensofbilateralrelationships,andemployanalternativemeasureforexchange rate uncertainty derived from daily spot exchange rates à la
    Exact
    Merton (1980) to
    Suffix
    work with a more plausible measure of perceived volatility. Most importantly, we entertain the idea that exchange rate uncertainty could indirectly impact trade -ows working throughincomevolatility,whichcouldbeconsideredaseitherinhibiting(throughrevenue 19ij--34ˆ-ˆˆ Notethattheprecision of (from equation(9))also dependsupontheestimatedcovariancebetween and . 25 uncertainty)or actually enhancing

29
Peree, E. and A. Steinherr (1989), Exchange rate uncertainty and foreign trade, European Economic Review, 33, 1241-1264.
Total in-text references: 2
  1. In-text reference with the coordinate start=2194
    Prefix
    This volatility has often been cited bytheproponentsofmanaged or-xedexchangerates asdetrimental,sinceintheir view exchangerateuncertaintywillinevitablydepressthevolumeofinternationaltradebyincreasingtheriskinessoftradingactivityandnegativelyaffectingtheoptimalallocationof resources. Several theoretical studies (Ethier (1973), Clark (1973), Baron (1976), Cushman (1986),
    Exact
    Peree and Steinherr (1989) to
    Suffix
    mention a few) have shown that an increase in exchange rate volatilitywill haveadverseeffects on the volume of internationaltrade. Contrarily, other models (for example Franke (1991), Sercu and Vanhulle (1992)) have shown that exchange rate volatility may have a positive impact on international trade -ows, or ambiguous effects depending on aggregate exposure to currency risk (Viaene and deVries (1

  2. In-text reference with the coordinate start=3418
    Prefix
    Theempirical results are, in general, sensitiveto the choicesof sample period, model speci-cation, form of proxies for exchange rate volatility, and countries considered (developed versus developing). , 2 23 Negativeeffects of exchange rate uncertaintyon trade -ows are reported by Cushman (1983, 1986, 1988), Akhtar and Hilton (1984), Thursby and Thursby (1987), Kenen and Rodrik (1986), and
    Exact
    Peree and Steinherr (1989),
    Suffix
    among others, while Hooper and Kohlhagen (1978), Gotur (1985), Koray and Lastrapes (1989), and Gagnon (1993) -nd insigni-cant effects. Kroner and Lastrapes (1993), using a multivariate GARCH-in-mean model, report that the reduced-formeffectsofvolatilityonexportvolumeandpricesvarywidely.

30
Sercu, P. and C. Vanhulle (1992), Exchange rate volatility, international trade, and the value of exporting -rm, Journal of Banking and Finance, 16, 152-182.
Total in-text references: 1
  1. In-text reference with the coordinate start=2391
    Prefix
    Several theoretical studies (Ethier (1973), Clark (1973), Baron (1976), Cushman (1986), Peree and Steinherr (1989) to mention a few) have shown that an increase in exchange rate volatilitywill haveadverseeffects on the volume of internationaltrade. Contrarily, other models (for example
    Exact
    Franke (1991), Sercu and Vanhulle (1992))
    Suffix
    have shown that exchange rate volatility may have a positive impact on international trade -ows, or ambiguous effects depending on aggregate exposure to currency risk (Viaene and deVries (1992)). Giventhesecontradictorytheoreticalpredictions,onemightappealtoempiricalanalysis to -nd out which outcome the data would support.

31
Thursby,J.G.andM.C.Thursby(1987),Bilateraltrade-ows,theLinderhypothesis and exchange rate risk, Review of Economics and Statistics, 488-495.
Total in-text references: 2
  1. In-text reference with the coordinate start=3374
    Prefix
    Theempirical results are, in general, sensitiveto the choicesof sample period, model speci-cation, form of proxies for exchange rate volatility, and countries considered (developed versus developing). , 2 23 Negativeeffects of exchange rate uncertaintyon trade -ows are reported by Cushman (1983, 1986, 1988), Akhtar and Hilton (1984), Thursby and
    Exact
    Thursby (1987),
    Suffix
    Kenen and Rodrik (1986), and Peree and Steinherr (1989), among others, while Hooper and Kohlhagen (1978), Gotur (1985), Koray and Lastrapes (1989), and Gagnon (1993) -nd insigni-cant effects. Kroner and Lastrapes (1993), using a multivariate GARCH-in-mean model, report that the reduced-formeffectsofvolatilityonexportvolumeandpricesvarywidely.

  2. In-text reference with the coordinate start=15869
    Prefix
    ) uses thehigher-frequencymovementsofanassociatedvariable-inourcase,monthlyindustrial production-asaninterpolatorwithinthequarter,whileenforcingtheconstraintthatthe sum of monthly GDP -ows equals the observed quarterly total. From the constructed monthlyGDP series, the volatility of foreign income is estimated for each countryusing amoving window technique similar to that employed by Thursby and
    Exact
    Thursby (1987,
    Suffix
    p.491) in which the logarithm of monthly real GDP is regressed on a quadratic trend for a six-month moving window. The root mean squared error of the moving-window regression over observationsis used as the estimate of income volatility for period Although this is an adaptive measure of volatility, we believe that it is appropriateforareal-sectorvolatilityseries, whichisobservedonlyinfrequentlycom

33
Willett, T.D. (1986), Exchange rate volatility, international trade, and resource allocation: A perspective on recent research, Journal of International Money and Finance, Supplement,5, S101-S112. 28 12345 0510 1
Total in-text references: 1
  1. In-text reference with the coordinate start=5997
    Prefix
    Third, there could be a problem of model misspeci-cation, such as inadequate dynamics and omitted variable bias. Our model uses a -exible Poisson lag speci-cation 4 andtrade-ows,seeFarelletal. (1983),IMF(1984),and
    Exact
    Willett(1986)
    Suffix
    regardingtheliteraturethroughthemid-1980s, and Côté (1994) regarding more recentworks. Severalauthorsinthe-nanceliteraturehaveusedhighfrequencydatatoobtainvolatilitymeasures(e.g.,Anderson et al. (2001), French et al. (1987)).