Conditional Exchange-Rate Volatility and the Volume of International Trade: Evidence from the Early 1900s
利用1900-1940年英国对美国的出口数据，采用滚动标准差和GARCH模型两种方法衡量汇率不确定性，发现实际汇率波动加剧会减少贸易量。
Exports from Britain to the United States from 1900 to 1940 are examined to ascertain the effect of exchange-rate volatility on the volume of trade. In addition to using a rolling standard deviation measure of exchange-rate uncertainty, the conditional variance of the exchange-rate series modeled.as a generalized autoregressive conditional heteroskedastic process is used to generate an alternative measure of exchange-rate uncertainty. The results of estimation using the two measures of exchange-rate volatility suggest that increases in the volatility of the real exchange rate reduce the volume of trade. Copyright 1992 by MIT Press.