Real exchange rate volatility impact on exports: A comparative study 1990-2013

Ronald Miranda and Gabriela Mordecki

No 15-18, Documentos de Trabajo (working papers) from Instituto de Economía - IECON

Abstract: Raw materials exports depend on global demand and prices, but the increasing volatility of real exchange rates (RER) introduces an additional factor which impact varies according to the situation and the country. Thus, this paper studies the RER volatility dynamics, estimated through GARCH and IGARCH models for Brazil, Chile, New Zealand and Uruguay during the period 1990-2013. Then, for each country, we study the potential impact of exchange rate volatility on total exports using Johansen's methodology and the analysis through impulse response functions, including proxies for global demand and international prices. The results suggest that exports depend positively on global demand and international prices; however conditional RER volatility resulted not significant for the group of selected countries, with the exception of Uruguay, where RER volatility affects negatively exports, in the short and long term.

Keywords: Exports; real exchange rate; GARCH; cointegration (search for similar items in EconPapers)
JEL-codes: C55 F31 F41 (search for similar items in EconPapers)
Pages: 47 pages
Date: 2015-12
New Economics Papers: this item is included in nep-lam
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https://hdl.handle.net/20.500.12008/29795

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Persistent link: https://EconPapers.repec.org/RePEc:ulr:wpaper:dt-18-15

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