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Exchange Rate Volatility in BRICS Countries

David Isaias Maradiaga, Hector O. Zapata and Aude Liliana Pujula

No 119726, 2012 Annual Meeting, February 4-7, 2012, Birmingham, Alabama from Southern Agricultural Economics Association

Abstract: This paper measures the impact of bilateral exchange rates, the world agricultural GDP and third-country exchange rate volatilities (Yen/USD and Euro/USD) on the BRICS agricultural exports using a vector autoregressive (VAR) model. Two measures of volatility are used: the standard deviation and the coefficient of variation of the rates of change of the real exchange rates. We found that most variables are integrated of order two except the third-country exchange rate volatilities which are stationary and thus considered as exogenous in the VAR models. The causality between I(2) variables was tested using the modified Wald test introduced by Toda and Yamamoto (1995). We found that both volatilities (Yen/USD and Euro/USD) Granger cause Brazilian agricultural exports and that the Yen/USD causes Chinese agricultural exports.

Keywords: International; Relations/Trade (search for similar items in EconPapers)
Pages: 18
Date: 2012
New Economics Papers: this item is included in nep-fmk and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:ags:saea12:119726

DOI: 10.22004/ag.econ.119726

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