Exchange-rate volatility and trade flows in an emerging market : some evidence from a GARCH process

A. F. Darrat; S. R. Hakim

In this paper the authors have investigated the response of exports in Morocco to exchange-rate volatility using the recently developed cointegration and error-correction techniques. In measuring volatility, many previous studies have used a moving-average standard-deviation. The authors argue that such a measure appears very deficient relative to the recent GARCH approach. (DSE/DÜI)

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Year of publication:	2000
Authors:	Darrat, Ali F. ; Hakim, Sam R.
Published in:	Savings and development : quarterly review. - Bergamo : Bergamo Univ. Press, ISSN 0393-4551, ZDB-ID 429599-7. - Vol. 24.2000, 3, p. 287-302
Subject:	Wechselkurs \| Exchange rate \| Volatilität \| Volatility \| Internationale Wirtschaft \| International economy \| ARCH-Modell \| ARCH model \| Marokko \| Morocco \| Kointegration \| Cointegration

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Notes:	Zsfassung in franz. Sprache
Source:	ECONIS - Online Catalogue of the ZBW

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