Exchange Volatility and Export Performance in Egypt: New Insights from Wavelet Decomposition and Optimal GARCH Model

Jamal Bouoiyour () and Refk Selmi

MPRA Paper from University Library of Munich, Germany

Abstract: This paper assesses the link between exchange volatility and exports in Egypt by combining wavelet analysis with an optimal GARCH model chosen among various extensions. The observed outcomes reveal that this relationship is complex and depends then widely to frequency-to-frequency variation and slightly to leverage effect and to switching regime. Indeed, it is well shown that at the low frequency, the coefficient associated to exchange rate volatility’s effect on trade performance is more intense than that at the high frequency and conversely when subtracting energy share from the total of exports. We attribute the apparently conflicting results to the financial speculation, the composition of trade partners and the choice of reference basket’s currencies.

Keywords: Exchange volatility; exports; wavelet decomposition; optimal GARCH model. (search for similar items in EconPapers)
JEL-codes: C1 F1 F14 (search for similar items in EconPapers)
Date: 2013-01, Revised 2013-01
New Economics Papers: this item is included in nep-ara and nep-int
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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https://mpra.ub.uni-muenchen.de/49140/1/MPRA_paper_49140.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/50589/1/MPRA_paper_50589.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/53106/1/MPRA_paper_50589.pdf revised version (application/pdf)

Related works:
Journal Article: Exchange volatility and export performance in Egypt: New insights from wavelet decomposition and optimal GARCH model (2015)
Working Paper: Exchange Volatility and Export Performance in Egypt: New Insights from Wavelet Decomposition and Optimal GARCH Model (2015)
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