["Australian Economic Papers, EarlyView. ", "\nABSTRACT\nThe present study explores how changes in exchange rates effect trade between Mexico and the United States, factoring in both exchange rate volatility and the impact of a third country's currency (the Chinese Yuan). Exports and imports of 10 industries between Mexico and the U.S. were unified utilizing the autoregressive distributed lag (ARDL) methodology. Our analysis indicates that Mexico's main export sectors exhibit high responsiveness to the bilateral exchange rate, its volatility, and third‐country effects over both the long and short term. By contrast, Mexico's imports are primarily affected by variations in these same three factors. Additionally, income levels in both countries are found to significantly impact bilateral trade flows across both time horizons.\n"]