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Exchange volatility and export performance in Egypt: New insights from wavelet decomposition and optimal GARCH model

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  • Jamal Bouoiyour
  • Refk Selmi

Abstract

To assess the link between exchange rate uncertainty and exports performance in Egypt, this article relies on an optimal GARCH model chosen by information criteria among decomposed series on a scale-by-scale basis (wavelet decomposition). The observed outcomes reveal that this relationship depends intensely on the frequency-to-frequency variation and slightly on the leverage effect and switching regime. Indeed, it is well shown that at the low frequency, the coefficient associated to exchange rate volatility's effect on exports is greater than that at the high frequency and conversely when subtracting energy's share. We attribute the apparently conflicting results to the co-movement between energy prices and those of other commodities, the excessive speculation and the composition of trade partners.

Suggested Citation

  • Jamal Bouoiyour & Refk Selmi, 2015. "Exchange volatility and export performance in Egypt: New insights from wavelet decomposition and optimal GARCH model," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 24(2), pages 201-227, March.
    • Handle: RePEc:taf:jitecd:v:24:y:2015:i:2:p:201-227
    DOI: 10.1080/09638199.2014.889740
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    Cited by:

    1. Osama M. Badr & Ahmed F. El-khadrawi, 2018. "Exchange Rate Volatility and Trade: An Empirical Investigation from the Egyptian Economy," Applied Economics and Finance, Redfame publishing, vol. 5(4), pages 140-149, July.
    2. Jamal Bouoiyour & Refk Selmi, 2016. "A Synthesis of the Effects of Exchange Rate Volatility on International Trade: A Meta-Regression Analysis," The International Trade Journal, Taylor & Francis Journals, vol. 30(4), pages 263-294, August.
    3. Bouoiyour, Jamal & Selmi, Refk, 2013. "Nonlinearities and the nexus between inflation and inflation uncertainty in Egypt: New evidence from wavelets transform framework," MPRA Paper 52414, University Library of Munich, Germany.
    4. Kaijian He & Rui Zha & Jun Wu & Kin Keung Lai, 2016. "Multivariate EMD-Based Modeling and Forecasting of Crude Oil Price," Sustainability, MDPI, vol. 8(4), pages 1-11, April.
    5. Bouoiyour, Jamal & Selmi, Refk, 2013. "Exchange rate uncertainty and export performance: what meta-analysis reveals?," MPRA Paper 49249, University Library of Munich, Germany, revised Aug 2013.
    6. He, Kaijian & Chen, Yanhui & Tso, Geoffrey K.F., 2018. "Forecasting exchange rate using Variational Mode Decomposition and entropy theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 15-25.
    7. Bouoiyour, jamal & Selmi, Refk, 2014. "Exchange Rate Impact on Russia’s Exports: Some Evidence from an Evolutionary Co-spectral Analysis," MPRA Paper 59368, University Library of Munich, Germany.
    8. Ramesh C. Paudel & Resham Thapa-Parajuli & Majed Alharthi, 2020. "Electricity Consumption and Export Performance: Evidence from Nepal," International Journal of Energy Economics and Policy, Econjournals, vol. 10(6), pages 529-535.
    9. Jamal Bouoiyour & Refk Selmi, 2016. "A Synthesis of the Effects of Exchange Rate Volatility on International Trade: A Meta-Regression Analysis," The International Trade Journal, Taylor & Francis Journals, vol. 30(4), pages 263-294, August.
    10. Bouoiyour, Jamal & Selmi, Refk, 2014. "How Robust is the Connection between Exchange Rate Uncertainty and Tunisia’s Exports?," MPRA Paper 57505, University Library of Munich, Germany.
    11. Charline Uwilingiyimana & Abdou Kâ Diongue, 2020. "Rwanda Currency Market Risk Analysis: Evidence From Asymmetry Effects," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 9(2), pages 1-2.
    12. Bouoiyour, Jamal & Selmi, Refk, 2015. "A synthesis of the effects of exchange rate uncertainty on international trade via Meta-Regression analysis," MPRA Paper 65737, University Library of Munich, Germany.
    13. Bouoiyour, Jamal & Selmi, Refk, 2014. "How Does Exchange Rate Uncertainty interact with International Trade? A Meta-Analysis Revisited," MPRA Paper 56201, University Library of Munich, Germany.

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    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • F1 - International Economics - - Trade
    • F14 - International Economics - - Trade - - - Empirical Studies of Trade

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