Real Exchange Rate Volatility and Exports: A Study for Four Selected Commodity Exporting Countries

Gabriela Mordecki () and Ronald Miranda

Panoeconomicus, 2019, vol. 66, issue 4, 411-437

Abstract: Commodity exports depend on global demand and prices, but the increasing volatility of real exchange rates (RER) introduces an additional factor. Thus, this paper studies the RER volatility dynamics, estimated through GARCH and IGARCH models for Brazil, Chile, New Zealand, and Uruguay from 1990 to 2013. We study the impact of RER volatility on total exports using Johansen's methodology, including proxies for global demand and international prices. The results suggest that exports depend positively on global demand and international prices for all countries; however, conditional RER volatility resulted significant and negative only for Uruguay, in the short and long run. Key words: Exports, Real exchange rate, GARCH, Co-integration.JEL: C55, F31, F41. Volatilnost realnog deviznog kursa i izvoz: studija o četiri odabrane zemlje izvoznice robe Robni izvoz zavisi od globalne tražnje i cena, ali sve veća volatilnost realnih deviznih kurseva (RER) predstavlja dodatni faktor. U radu se proučava dinamika volatilnosti RER-a, ocenjena kroz GARCH i IGARCH model za Brazil, Čile, Novi Zeland i Urugvaj od 1990. do 2013. Ispitujemo uticaj nestabilnosti RER-a na ukupni izvoz primenom Johansenove metodologije, uvođenjem veštačkih promenljivih za globalnu tražnju i međunarodne cene. Rezultati sugerišu da izvoz pozitivno zavisi od globalne tražnje i međunarodnih cena za sve zemlje; međutim, uslovna volatilnost RER-a bila je značajna i negativna samo za Urugvaj, u kratkom i dugom roku. Ključne reči: Izvoz, realni devizni kurs, GARCH, kointegracija.

Keywords: Exports; Real exchange rate; GARCH; Co-integration (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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