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Real Exchange Rate Volatility and Exports: A Study for Four Selected Commodity Exporting Countries

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  • Gabriela Mordecki
  • Ronald Miranda

Abstract

Commodity exports depend on global demand and prices, but the increasing volatility of real exchange rates (RER) introduces an additional factor. Thus, this paper studies the RER volatility dynamics, estimated through GARCH and IGARCH models for Brazil, Chile, New Zealand, and Uruguay from 1990 to 2013. We study the impact of RER volatility on total exports using Johansen's methodology, including proxies for global demand and international prices. The results suggest that exports depend positively on global demand and international prices for all countries; however, conditional RER volatility resulted significant and negative only for Uruguay, in the short and long run. Key words: Exports, Real exchange rate, GARCH, Co-integration.JEL: C55, F31, F41. Volatilnost realnog deviznog kursa i izvoz: studija o četiri odabrane zemlje izvoznice robe Robni izvoz zavisi od globalne tražnje i cena, ali sve veća volatilnost realnih deviznih kurseva (RER) predstavlja dodatni faktor. U radu se proučava dinamika volatilnosti RER-a, ocenjena kroz GARCH i IGARCH model za Brazil, Čile, Novi Zeland i Urugvaj od 1990. do 2013. Ispitujemo uticaj nestabilnosti RER-a na ukupni izvoz primenom Johansenove metodologije, uvođenjem veštačkih promenljivih za globalnu tražnju i međunarodne cene. Rezultati sugerišu da izvoz pozitivno zavisi od globalne tražnje i međunarodnih cena za sve zemlje; međutim, uslovna volatilnost RER-a bila je značajna i negativna samo za Urugvaj, u kratkom i dugom roku. Ključne reči: Izvoz, realni devizni kurs, GARCH, kointegracija.

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  • Gabriela Mordecki & Ronald Miranda, 2019. "Real Exchange Rate Volatility and Exports: A Study for Four Selected Commodity Exporting Countries," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 66(4), pages 411-437.
    • Handle: RePEc:voj:journl:v:66:y:2019:i:4:p:411-437:id:412
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    Cited by:

    1. Didarul Islam & Mohammad Abdullah Al Faisal, 2024. "Determinants of Uruguay's Real Effective Exchange Rate: A Mundell-Fleming Model Approach," Papers 2403.16452, arXiv.org.

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    More about this item

    Keywords

    Exports; Real exchange rate; GARCH; Co-integration;
    All these keywords.

    JEL classification:

    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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