Are exports a monotonic function of exchange rate volatility? Evidence from disaggregated pork exports

Olivier Bonroy, Jean-Philippe Gervais () and Bruno Larue

Canadian Journal of Economics, 2007, vol. 40, issue 1, 127-154

Abstract: Production and marketing lags in agri-food supply chains often force agricultural producers and food processors to commit to output targets before prices and exchange rates are realized. A theoretical model illustrates how the processor's degree of risk aversion and domestic sales may cause the relationship between volatility of the exchange rate and exports to be non-monotonic. The relationship between exchange rate volatility and Quebec pork exports to the United States and Japan is investigated using linear and non-linear estimation methods. The results support the hypothesis that the relationship between exports and volatility is non-monotonic.

Date: 2007
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