Does Exchange Rate Volatility Affect the Impact of Appreciation and Depreciation on the Trade Balance? A Nonlinear Bivariate Approach (dataset)
Description
Our study "Does Exchange Rate Volatility Affect the Impact of Appreciation and Depreciation on the Trade Balance? A Nonlinear Bivariate Approach" applies the nonlinear bivariate model of Rahman (2022) (GARCH-M [1,1] SVAR). The model allows asymmetric effects of exchange rates and volatility to be examined concurrently on the trade balance. We find that exchange rate volatility reduces the positive effects of an appreciation shock on the trade balance in developed countries in the short and long run. In developing nations, exchange rate volatility promotes the positive effects of a depreciation shock on the trade balance, both in the short and long run. Herein we provide the replication files and steps to reproduce the results. The data was obtained from the Federal Reserve Economic Data (FRED), IMF International Financial Statistics (IFS), Direction of Trade Statistics (DOTS), and Global Economic Monitor (GEM).
Files
Steps to reproduce
Kindly see the READ ME files.