Real exchange rate volatility and Argentine sectoral exports: evidence of a long-run relationship

Ignacio Warnes and Fernando Andrés Grosz

No 4700, Asociación Argentina de Economía Política: Working Papers from Asociación Argentina de Economía Política

Abstract: In this paper we analyze whether there is a long-run relation between real exchange rates, exchange rate volatility and total as well as sectoral Argentine exports. When we analyze each of the sectoral exports and real exchange rate volatility, we find a cointegrating vector that passes all diagnosis tests in three cases: total exports and volatility, hydrocarbons and volatility, and heavy industry and volatility. In these cointegrating vectors the coefficients of exchange rate volatility are significant and the sign coincides with most empirical findings, namely that more volatility will be associated with a decrease in exports in the corresponding sector. Nevertheless, these results are not robust to the introduction of the variable real exchange rate into the system, suggesting that more research should be performed. We also find that for the food sector there is a cointegrating vector relating sectoral exports, real exchange rate and its volatility measure.

JEL-codes: F10 F31 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2023-11
New Economics Papers: this item is included in nep-opm
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Persistent link: https://EconPapers.repec.org/RePEc:aep:anales:4700

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