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首页> 外文期刊>Journal of Financial Economic Policy >Exchange rate volatility and exports from India: a commodity-level panel data analysis
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Exchange rate volatility and exports from India: a commodity-level panel data analysis

机译：汇率波动和印度的出口：商品一级的面板数据分析

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Purpose - This study aims to examine the relationship between exchange rate risk and export at commodity level for the Indian case. Design/methodology/approach - The monthly panel data used for analysis are at a disaggregated level, which cover around 100 products, encompassing all merchandize sectors for the period spanning from 2012:12 to 2017:11. To measure the exchange rate volatility, the authors use real as well as nominal exchange rate concepts and predict the volatility of exchange rate using the autoregressive conditional heteroscedastic-based model. They use pooled mean group, mean group and common correlated effects mean group estimator that is suitable for the objectives and data frequency. Findings - The empirical analysis indicates both short- and long-term negative effects of exchange rate variations on exporting. Specifically, in the long run, real exchange rate as well as nominal exchange rate volatility has significant effects on export performance, yet, the effects of uncertainty of nominal exchange rate is much severe and intense. In the short run, it is the nominal exchange rate uncertainty that hurts exports from India. Nevertheless, the short-run effect is much lesser than the long-run, supporting the argument that the short-term exchange rate risk can be hedged, at least partially, through financial instruments; however, uncertainty of the long-term horizon cannot be hedged easily and cost-effectively. Practical implications - Reducing uncertainty and attaining stability in exchange rate and price level should be an important policy objective in developing countries such as India to achieve higher export growth, both in the short and long run. Originality/value - Unlike previous studies, this paper tests the relationship using micro-level data and uses advanced econometric techniques that are likely to provide more precise information regarding the association between exchange rate volatility and trade flows.
机译：目的-这项研究旨在检验印度案例中汇率风险与商品一级出口之间的关系。设计/方法/方法-用于分析的每月面板数据处于细分级别，涵盖大约100种产品，涵盖了从2012：12到2017：11的所有商品领域。为了衡量汇率的波动性，作者使用了实际汇率和名义汇率的概念，并使用基于自回归条件异方差的模型来预测汇率的波动性。他们使用适合目标和数据频率的合并均值组，均值组和常见相关效应均值组估计量。调查结果-实证分析表明汇率变化对出口的短期和长期负面影响。具体而言，从长远来看，实际汇率以及名义汇率的波动对出口绩效都有重大影响，然而，名义汇率不确定性的影响则非常严重。在短期内，名义汇率的不确定性会损害印度的出口。然而，短期效应远小于长期效应，这支持了可以通过金融工具至少部分地对冲短期汇率风险的论点。但是，长期前景的不确定性无法轻松，经济有效地进行对冲。实际意义-减少不确定性并实现汇率和价格水平的稳定应该是印度等发展中国家在短期和长期内实现更高出口增长的重要政策目标。原创性/价值-与以往的研究不同，本文使用微观数据测试了这种关系，并使用了先进的计量经济学技术，这些技术可能会提供有关汇率波动与贸易流量之间关系的更精确信息。

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