Asymmetric Effect of Real Exchange Rate Volatility on Agricultural Products Export: A Case Study

Friday O. Alegwu, Goodness C. Aye and Benjamin C. Asogwa
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Friday O. Alegwu: University of Agriculture, Makurdi, Nigeria
Goodness C. Aye: University of Agriculture, Makurdi, Nigeria
Benjamin C. Asogwa: University of Agriculture, Makurdi, Nigeria

Economia Internazionale / International Economics, 2017, vol. 70, issue 3, 261-279

Abstract: This paper investigates the asymmetric effects of real exchange rate volatility on agricultural products export using Nigeria as a case study. Annual time series data covering between 1970 and 2013 were used. Real exchange rate volatility is measured using GARCH (1, 1) and subsequently the VAR model was used for analyzing the relationship. This paper through the Augmented Dickey-Fuller (ADF) and Philip Perron (PP) unit root tests confirm that all variables were stationary in their first difference. Asymmetric effects test based on the Wald statistic shows that with exception of cotton exports, the effects of real exchange rate volatility shock during appreciation and depreciation on cocoa, coffee and rubber exports are significantly different. In particular, the study revealed that in Nigeria, real exchange rate volatility have significant effects on agricultural products export negative or positive in periods of appreciation or depreciation but the magnitude of the effect during appreciation or depreciation differ depending on the export product. Effetti asimmetrici della volatilità del tasso di cambio reale sulle esportazioni di prodotti agricoli: studio di un caso Questo lavoro esamina gli effetti asimmetrici della volatilità del tasso di cambio reale sull’export dei prodotti agricoli analizzando il caso della Nigeria. Le serie di dati annuali considerate coprono il periodo 1970-2013. La volatilità del tasso di cambio reale è misurata tramite il modello GARCH (1, 1) e successivamente con il modello VAR per l’analisi della relazione. Attraverso l’utilizzo dei test Agumented Dickey-Fuller (ADF) e Phillip Perron (PP) lo studio conferma che tutte le variabili erano stazionarie nelle loro differenze prime. Test sugli effetti asimmetrici basati sulla statistica di Wald mostrano che gli effetti degli shock della volatilità del tasso di cambio reale sulle esportazioni sono significativamente differenti per le diverse tipologie di produzioni agricole.

Keywords: Real Exchange Rate Volatility; Asymmetry; Agricultural Products Export; Depreciation (search for similar items in EconPapers)
JEL-codes: C32 F10 F14 F31 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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