Fang, Wen Shwo; Thompson, Henry - In: Pacific Economic Review 9 (2004) 2, pp. 117-129
The effect of exchange rate risk on export revenue in Taiwan between 1979 and 2001 is investigated in a bivariate GARCH-M model that simultaneously estimates time-varying risk. Depreciation is found to stimulate export revenue in domestic currency, but the quantitative impact is small and any...