Exchange Rate Variability and the Flow of International Trade
This study uses a GARCH (Generalized Autoregressive Conditional Heteroskedasticity) model to test if real exchange rate volatility has an adverse effect on the value of U.S. imports from Canada. We find that exchange rate uncertainty has a negative and statistically significant affect on trade flows.
Caporale, Tony and Doroodian, Khosrow, "Exchange Rate Variability and the Flow of International Trade" (1994). Economics and Finance Faculty Publications. 24.