The controversial link between exchange rate volatility and exports: Evidence from Tunisian case

Jamal Bouoiyour () and Refk Selmi

MPRA Paper from University Library of Munich, Germany

Abstract: This paper tries to revisit the interaction between exchange uncertainty and exports in the Tunisian case. By using various GARCH extensions (i.e. Standard GARCH, Integrated GARCH, Exponential GARCH and Weighted GARCH) we show that the effect of exchange returns on changes in exports depends on time varying between low and high volatility in real terms (i.e. either structural breaks or shifts) and leverage effect (i.e. either good or bad news) in nominal terms. Our results also reveal that all considered links either in nominal or real terms are highly persistent, which means a great tendency to long memory process.

Keywords: Exchange rate; exports; volatility; GARCH specifications. (search for similar items in EconPapers)
JEL-codes: E3 F1 F14 (search for similar items in EconPapers)
Date: 2013-02, Revised 2013-03
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:49133

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