Do the export reactions to exchange rate and exchange rate volatility differ depending on technology intensity? New evidences from the panel SVAR analysis

Caglayan Aslan () and Ferdi Akpiliç ()
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Caglayan Aslan: OSTIM Technical University
Ferdi Akpiliç: Republic of Turkey Ministry of Treasury and Finance

Empirical Economics, 2024, vol. 66, issue 4, No 6, 1587-1631

Abstract: Abstract This paper investigates the impact of exchange rate and exchange rate volatility on export performance by considering technological classification in addition to total exports. The study utilizes a panel SVAR methodology introduced by Pedroni P (2013) Structural panel vars. Econometrics 1(2):180–206. and analyzes panel data covering 58 countries and 48 quarters from the period of 2010Q1 to 2021Q4. Although the results suggest no precise evidence that exchange rate and exchange rate volatility shocks affect total export volumes, they exhibit heterogeneity across countries and vary in terms of technological density. Countries that have more flexible exchange rate policies and use large volumes of imported materials to produce export products demonstrate, on average, higher sensitivity to exchange rate volatility. Additionally, as the share of exports crossing more than one country border in total exports increases, the exposure of export to exchange rate volatility also rises. Countries described as commodity exporters and large energy consumers tend to be less responsive to exchange rate levels in their exports.

Keywords: Export; Exchange rate; Exchange rate volatility; Panel structural VAR (search for similar items in EconPapers)
JEL-codes: C32 F13 F14 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s00181-023-02497-5

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