EconPapers    
Economics at your fingertips  
 

Exchange volatility and trade performance in Morocco and Tunisia: what have we learned so far?

Jamal Bouoiyour () and Refk Selmi

Macroeconomics and Finance in Emerging Market Economies, 2015, vol. 8, issue 3, 244-274

Abstract: This paper attempts to assess two interesting issues for two small open economies (Morocco and Tunisia). First, it analyses the historical behaviour of nominal exchange rate, differential price and real exchange rate uncertainties. Second, it investigates the stability of the interaction between exchange volatility and exports in nominal and real terms. Our main results reveal that the effect of differential price volatility on exports exceeds that of nominal exchange rate by a large margin in terms of duration of persistence, ARCH and GARCH effects and intensity of shock. The relationship appears complex. In Morocco, it is negative and significant in 75.82% (as average) of cases in nominal terms and in 77.22% in real terms. This link is stronger in Tunisia with averages, respectively, equal to 85.88% and 89.99%. We associate the apparently mixed results to the differential price uncertainty itself sensitive to ups and down oil price movements, switching regime and leverage effects.

Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/17520843.2014.880150 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Exchange volatility and trade performance in Morocco and Tunisia: what have we learned so far ? (2014)
Working Paper: Exchange volatility and trade performance in Morocco and Tunisia: what have we learned so far? (2014) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:macfem:v:8:y:2015:i:3:p:244-274

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/REME20

DOI: 10.1080/17520843.2014.880150

Access Statistics for this article

Macroeconomics and Finance in Emerging Market Economies is currently edited by Subrata Sarkar and Ashima Goyal

More articles in Macroeconomics and Finance in Emerging Market Economies from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2025-03-22
Handle: RePEc:taf:macfem:v:8:y:2015:i:3:p:244-274