VOLATILITY AND IRISH EXPORTS

Authors

  • DON BREDIN,

    1. Bredin: Senior Lecturer in Finance, Centre for Financial Markets, Graduate School of Business, University College Dublin, Blackrock, Ireland. Phone +00 353 1 716 8833, Fax +00 353 1 283 5482, E-mail don.bredin@ucd.ie
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      The authors would like to thank Chris Baum, Mark Cassidy, Günter Edenharter, Liam Gallagher, Franc Klaassens, Michael McKenzie, Gerard O’ Reilly, Maurice Roche, and participants at the 2004 Irish Economics Association Conference in Belfast and a University College Dublin seminar for helpful discussions. We would also like to thank three anonymous referees for many helpful comments. Any errors are our own responsibility.

  • JOHN COTTER

    1. Cotter: Associate Professor in Finance, Centre for Financial Markets, Graduate School of Business, University College Dublin, Blackrock, Ireland. Phone +00 353 1 716 8900, Fax +00 353 1 283 5482, E-mail: john.cotter@ucd.ie
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    • *

      The authors would like to thank Chris Baum, Mark Cassidy, Günter Edenharter, Liam Gallagher, Franc Klaassens, Michael McKenzie, Gerard O’ Reilly, Maurice Roche, and participants at the 2004 Irish Economics Association Conference in Belfast and a University College Dublin seminar for helpful discussions. We would also like to thank three anonymous referees for many helpful comments. Any errors are our own responsibility.


Abstract

We analyze the impact of volatility per se on real exports for a small open economy concentrating on Irish trade with the United Kingdom and the United States. An important element is that we take account of the time lag between the trade decision and the actual trade or payments taking place by using a flexible lag approach. Rather than adopting a single measure of risk, we adopt a spectrum of risk measures and detail varied size characteristics and statistical properties. We find that the ambiguous results found to date may be due to not taking account of the timing effect, which varies substantially depending on which volatility measure is used. (JEL C32, C51, F14, F31)

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