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/Revue canadienne d'économique, 2007, vol. 40, issue 1, 127-154

Abstract: 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. Le décalage entre les décisions de production et de commercialisation dans les filières agroalimentaires force souvent les producteurs et les entreprises de transformation à prendre leurs décisions sous incertitude. Un modèle théorique illustre comment le niveau d'aversion au risque du transformateur et les ventes locales influencent la relation entre la volatilité du taux de change et les exportations. La relation entre les exportations canadiennes de viande porcine vers les États‐Unis et le Japon et la volatilité du taux de change est étudiée en utilisant des méthodes d'estimation linéaires et non linéaires. Les résultats supportent l'hypothèse que la relation est non monotone.

Date: 2007
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Citations: View citations in EconPapers (13)

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https://doi.org/10.1111/j.1365-2966.2007.00402.x

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Persistent link: https://EconPapers.repec.org/RePEc:wly:canjec:v:40:y:2007:i:1:p:127-154

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