Real depreciations and exports

While I wasn't looking, my latest paper with my friend and Matlab coding genius Aaron Smallwood appeared in the JIMF:

Exchange rate shocks and trade: A multivariate GARCH-M approach
Kevin Grier & Aaron Smallwood.
Journal of International Money and Finance, Volume 37, October 2013, Pages 282–305

(ungated version available here)

We show that while positive shocks to the real exchange rate almost uniformly reduce exports in our 27 country sample, the effect is not symmetric. That is, negative shocks do not always create increases in exports and when they do the positive effect is notably smaller than the negative effect from increases in the RER.

Because we are using a non-linear model, a traditional, symmetric, impulse response function is not appropriate, so we use generalized IRFs to obtain these results.