Testing J-Curve Hypothesis and Analysing the Effect of Exchange Rate Volatility on the Balance of Trade in India

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Title Testing J-Curve Hypothesis and Analysing the Effect of Exchange Rate Volatility on the Balance of Trade in India
Author Singh, Tarlok
Journal Name Empirical Economics
Year Published 2004
Place of publication Austria
Publisher Springer-Verlag
Abstract This study estimates the balance of trade model similar to Rose (1991) to test the J-curve hypothesis and analyse the effect of conditional exchange rate volatility on the balance of trade in India. The model is estimated on quarterly data from 1975:02 to 1996:03 and the exchange rate is measured alternatively in terms of the trade and export weighted real effective exchange rate. The model variables are tied together in a long run equilibrium relationship. The study does not find any evidence for the presence of the J-curve effect in the balance of trade. The study finds the presence of weak ARCH but strong GARCH effects in the exchange rate series. But this exchange rate volatility does not play any significant role in affecting the balance of trade in India.
Peer Reviewed Yes
Published Yes
Volume 29
Issue Number 2
Edition May
Page from 227
Page to 245
ISSN 0377-7332
Date Accessioned 2006-07-21
Date Available 2008-02-14T08:21:21Z
Language en_AU
Research Centre Griffith Asia Institute
Faculty Griffith Business School
Subject International Economics and International Finance
URI http://hdl.handle.net/10072/16818
Publication Type Journal Articles (Refereed Article)
Publication Type Code c1x

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