THE IMPACT OF DOLLAR-RAND VOLATILITY ON U.S. EXPORTS TO SOUTH AFRICA

E. M. Ekanayake and Ranjini Thaver

The International Journal of Business and Finance Research, 2011, vol. 5, issue 3, 73-85

Abstract: This study investigates the effects of exchange rate volatility on the top ten categories of exports by the United States to South Africa over a 20-year period from January 1990 to December 2009. The paper uses several measures of volatility to generate a measure of exchange rate volatility, which is then tested in a model of U.S. exports to South Africa. We employ sectoral trade data at the 2-digit HS level to evaluate these effects on the top ten individual commodities traded. Utilizing bounds testing cointegration, we estimate the short- and long-run impact of exchange-rate volatility on the US exports to South Africa. Our results suggest that while the effects of exchange rate volatility on exports is mixed in the short-run, in the long-run, exchange rate volatility exerts a negative effect on the U.S. exports to South Africa.

Keywords: exchange rates; volatility; exports; ARDL bounds testing; South Africa. (search for similar items in EconPapers)
JEL-codes: F14 F31 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ibf:ijbfre:v:5:y:2011:i:3:p:73-85

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