Exchange volatility and export performance in Egypt: New insights from wavelet decomposition and optimal GARCH model

Jamal Bouoiyour () and Refk Selmi

The Journal of International Trade & Economic Development, 2015, vol. 24, issue 2, 201-227

Abstract: To assess the link between exchange rate uncertainty and exports performance in Egypt, this article relies on an optimal GARCH model chosen by information criteria among decomposed series on a scale-by-scale basis (wavelet decomposition). The observed outcomes reveal that this relationship depends intensely on the frequency-to-frequency variation and slightly on the leverage effect and switching regime. Indeed, it is well shown that at the low frequency, the coefficient associated to exchange rate volatility's effect on exports is greater than that at the high frequency and conversely when subtracting energy's share. We attribute the apparently conflicting results to the co-movement between energy prices and those of other commodities, the excessive speculation and the composition of trade partners.

Date: 2015
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Related works:
Working Paper: 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 (2013)
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DOI: 10.1080/09638199.2014.889740

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