Research
Discussion Paper
PIERspectives
aBRIDGEd
PIER Blog
Events
Conferences
Research Workshops
Policy Forums
Seminars
Exchanges
Research Briefs
Community
PIER Research Network
Visiting Fellows
Funding and Grants
About Us
Our Organization
Announcements
PIER Board
Staff
Work with Us
Contact Us
TH
EN
Research
Research
Discussion Paper
PIERspectives
aBRIDGEd
PIER Blog
Exchange Rate Effects on Firm Performance: A NICER Approach
Latest discussion Paper
Exchange Rate Effects on Firm Performance: A NICER Approach
ผลกระทบของการขึ้นค่าเล่าเรียนต่อการตัดสินใจเรียนมหาวิทยาลัย
Latest aBRIDGEd
ผลกระทบของการขึ้นค่าเล่าเรียนต่อการตัดสินใจเรียนมหาวิทยาลัย
Events
Events
Conferences
Research Workshops
Policy Forums
Seminars
Exchanges
Research Briefs
Joint NSD-PIER Applied Microeconomics Research Workshop
Upcoming workshop
Joint NSD-PIER Applied Microeconomics Research Workshop
Special Economic Zones and Firm Performance: Evidence from Vietnamese Firms
Latest PIER Economics Seminar
Special Economic Zones and Firm Performance: Evidence from Vietnamese Firms
สถาบันวิจัยเศรษฐกิจป๋วย อึ๊งภากรณ์
Puey Ungphakorn
Institute for
Economic Research
Puey Ungphakorn Institute for Economic Research
Community
Community
PIER Research Network
Visiting Fellows
Funding and Grants
PIER Research Network
PIER Research Network
Funding & Grants
Funding & Grants
About Us
About Us
Our Organization
Announcements
PIER Board
Staff
Work with Us
Contact Us
Staff
Staff
Call for Papers: PIER Research Workshop 2025
Latest announcement
Call for Papers: PIER Research Workshop 2025
Discussion Paperdp
QR code
Year
2025
2024
2023
2022
...
9 August 2021
20211628467200000
No. 158

Exchange Rate Volatility and Cross–Border Travel: Theory and Empirics

Abstract

I develop a search-theoretic model to study how consumers' search behavior responds to exchange rate volatility. The model offers two main predictions. First, the number of cross-border travelers is increasing in exchange rate volatility. Second, the elasticity of cross-border travel with respect to exchange rate volatility is increasing in transportation cost. I use monthly Canadian traveler data from 2005 to 2012 to test the model's predictions. The estimate suggests that when exchange rate volatility increases by one standard deviation, the number of same-day travelers increases by 1.6 percent. When exchange rate volatility is measured by implied volatilities, the estimates increase to 2.1–2.5 percent. When the data is restricted to the subperiod before the 2008 financial crisis, the estimated coefficients of exchange rate volatility and implied volatilities increase to 4 percent and 7.3–10.7 percent, respectively. This paper concludes that cross-border shopping behavior responds to both ex ante and ex post exchange rate volatilities.

Download full text
JEL: F10F14F31
Tags: international price differencesexchange rateexchange rate volatilitycross-border shoppingimplied volatility
The views expressed in this workshop do not necessarily reflect the views of the Puey Ungphakorn Institute for Economic Research or the Bank of Thailand.
Wisarut Suwanprasert
Wisarut Suwanprasert
Middle Tennessee State University

Puey Ungphakorn Institute for Economic Research

273 Samsen Rd, Phra Nakhon, Bangkok 10200

Phone: 0-2283-6066

Email: pier@bot.or.th

Terms of Service | Personal Data Privacy Policy

Copyright © 2025 by Puey Ungphakorn Institute for Economic Research.

Content on this site is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 3.0 Unported license.

Creative Commons Attribution NonCommercial ShareAlike

Get PIER email updates

Facebook
YouTube
Email