Real Exchange Rate Volatility And Its Effect On Trade Flows: New Evidence From South Africa

P Takaendesa, T Tsheole and Meshach Aziakpono

Studies in Economics and Econometrics, 2006, vol. 30, issue 3, 79-97

Abstract: This paper empirically re-examines the impact of real exchange rate volatility on South Africa's export flows to the United States for the period 1992:1 - 2004:4, using the two-country model of international trade. The exponential generalised autoregressive conditional heteroscedasticity (EGARCH) model is used to measure real exchange rate volatility. Cointegration and error- correction models are used to obtain the estimates of the cointegrating relations and the short-run dynamics, respectively. Further, variance decomposition analysis is used to show the dynamic adjustments of real exports to shocks in the fundamentals and the proportion thereof. The results obtained in this paper summarily provide evidence that real exchange rate volatility has a negative effect on real exports.

Date: 2006
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/10800379.2006.12106418 (text/html)
Access to full text is restricted to subscribers.

Related works:
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:rseexx:v:30:y:2006:i:3:p:79-97

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rsee20

DOI: 10.1080/10800379.2006.12106418

Access Statistics for this article

Studies in Economics and Econometrics is currently edited by Willem Bester

More articles in Studies in Economics and Econometrics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().