Real exchange rate volatility and exports: A study for four selected commodity exporting countries
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 2...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Economists' Association of Vojvodina
2019-01-01
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| Series: | Panoeconomicus |
| Subjects: | |
| Online Access: | http://www.doiserbia.nb.rs/img/doi/1452-595X/2019/1452-595X1700010M.pdf |
| _version_ | 1818694254556348416 |
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| author | Mordecki Gabriela Miranda Ronald |
| author_facet | Mordecki Gabriela Miranda Ronald |
| author_sort | Mordecki Gabriela |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-17T13:26:39Z |
| format | Article |
| id | doaj.art-438508fe206a4185ac946e8772546b82 |
| institution | Directory Open Access Journal |
| issn | 1452-595X 2217-2386 |
| language | English |
| last_indexed | 2024-12-17T13:26:39Z |
| publishDate | 2019-01-01 |
| publisher | Economists' Association of Vojvodina |
| record_format | Article |
| series | Panoeconomicus |
| spelling | doaj.art-438508fe206a4185ac946e8772546b822022-12-21T21:46:42ZengEconomists' Association of VojvodinaPanoeconomicus1452-595X2217-23862019-01-0166441143710.2298/PAN160927010M1452-595X1700010MReal exchange rate volatility and exports: A study for four selected commodity exporting countriesMordecki Gabriela0Miranda Ronald1Universidad de la República, Facultad de Ciencias Económicas y de Administración, Instituto de Economía, UruguayUniversidad de la República, Facultad de Ciencias Económicas y de Administración, Instituto de Economía, UruguayCommodity 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.http://www.doiserbia.nb.rs/img/doi/1452-595X/2019/1452-595X1700010M.pdfexportsreal exchange rategarchco-integration |
| spellingShingle | Mordecki Gabriela Miranda Ronald Real exchange rate volatility and exports: A study for four selected commodity exporting countries Panoeconomicus exports real exchange rate garch co-integration |
| title | Real exchange rate volatility and exports: A study for four selected commodity exporting countries |
| title_full | Real exchange rate volatility and exports: A study for four selected commodity exporting countries |
| title_fullStr | Real exchange rate volatility and exports: A study for four selected commodity exporting countries |
| title_full_unstemmed | Real exchange rate volatility and exports: A study for four selected commodity exporting countries |
| title_short | Real exchange rate volatility and exports: A study for four selected commodity exporting countries |
| title_sort | real exchange rate volatility and exports a study for four selected commodity exporting countries |
| topic | exports real exchange rate garch co-integration |
| url | http://www.doiserbia.nb.rs/img/doi/1452-595X/2019/1452-595X1700010M.pdf |
| work_keys_str_mv | AT mordeckigabriela realexchangeratevolatilityandexportsastudyforfourselectedcommodityexportingcountries AT mirandaronald realexchangeratevolatilityandexportsastudyforfourselectedcommodityexportingcountries |