scholarly journals Real exchange rate volatility and exports: A study for four selected commodity exporting countries

2019 ◽  
Vol 66 (4) ◽  
pp. 411-437
Author(s):  
Gabriela Mordecki ◽  
Ronald Miranda
Keyword(s):  
Exchange Rate ◽  
New Zealand ◽  
Exchange Rates ◽  
Real Exchange Rates ◽  
Exchange Rate Volatility ◽  
Long Run ◽  
International Prices ◽  
Global Demand ◽  
The Impact ◽  
Real Exchange Rate Volatility

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.

scholarly journals THE RESPONSE OF ZIMBABWE TOBACCO EXPORTS TO REAL EXCHANGE RATES VOLATILITY

2020 ◽  
Vol 56 (2) ◽  
Author(s):  
Knowledge Mutodi ◽  
Tinashe Chuchu ◽  
Eugine Tafadzwa Maziriri
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Real Exchange Rate ◽  
Real Exchange Rates ◽  
Exchange Rate Volatility ◽  
Response Model ◽  
The Real ◽  
Long Run ◽  
Exchange Rates Volatility ◽  
Real Exchange Rate Volatility

The focus of this study was on investigating the response of tobacco exports to real exchange rates and real exchange rate volatility and other factors in Zimbabwe using secondary data spanning from 1980 to 2019. Bilateral nominal exchange rates and time-variant weights of Zimbabwe’s 10 major trading partners were calculated and used to compute the real exchange rate index. The time-dependent weighting system was used to better represent the evolution of trade patterns in the index. The arithmetic method was employed for computing the index. Generalized autoregressive conditional heteroskedasticity (GARCH) and autoregressive conditional heteroscedasticity (ARCH) models were used to generate the real exchange rate volatility index. The export response function was adopted as the tobacco exports response model. The variables in the tobacco exports response model were the realworld Gross Domestic Product (GDP), real exchange rate, terms of trade, real exchange rate volatility and dollarization. A vector error correction model (VECM) was used to estimate the response of tobacco exports to real exchange rate, real exchange rate volatility and other factors. The VECM results indicated that real world GDP was insignificant in both the short and long run. In the long run, the real exchange rate appreciation had a negative impact on tobacco exports. Conversely, in the short run, the depreciation of real exchange rate had a positive impact on tobacco exports. Hence, the government has to adopt other mechanisms that reduce uncertain movements of exchange rates.

Real Exchange Rate Behavior under Peg: Evidence from the Chinese RMB and Malaysian MYR

2009 ◽  
Vol 12 (01) ◽  
pp. 141-158 ◽  
Author(s):  
Yongjian E ◽  
Anthony Yanxiang Gu ◽  
Chau-Chen Yang
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Real Exchange Rate ◽  
Real Exchange Rates ◽  
Exchange Rate Volatility ◽  
The Us ◽  
Rate Behavior ◽  
Japanese Yen ◽  
Chinese Yuan ◽  
Real Exchange Rate Volatility

The exchange-rate behavior of the Chinese yuan (RMB) and the Malaysian ringgit (MYR) indicates that the real exchange rate volatility of both the pegged currency/the anchor currency (the US dollar), and the pegged currency/the non-anchor currencies (Japanese yen and British pound) are lower under the pegged regime. The dynamic behavior of the pegged currencies' real exchange rates is consistent with the anchor currency as the speed of convergence of the Big Mac real exchange rates of the RMB, MYR, and the dollar against the floating currencies are almost identical during the pegged period. This may be due to similar inflation rate movements in the related economies. These results do not support the opinion that China has manipulated the value of its currency.

scholarly journals The relationship between exchange rates and international trade: a literature review

2013 ◽  
Vol 12 (3) ◽  
pp. 577-605 ◽  
Author(s):  
MARC AUBOIN ◽  
MICHELE RUTA
Keyword(s):  
International Trade ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Small Firms ◽  
Exchange Rate Volatility ◽  
Production Networks ◽  
Global Production Networks ◽  
Long Run ◽  
The Impact ◽  
The Relationship

AbstractThis paper surveys a wide body of economic literature on the relationship between exchange rates and trade. Specifically, two main issues are investigated: the impact of exchange rate volatility and of currency misalignments on international trade flows. On average, exchange rate volatility has a negative (even if not large) impact on trade. The extent of this effect depends on a number of factors, including the existence of hedging instruments, the structure of production (e.g. the prevalence of small firms), and the degree of economic integration across countries. The second issue involves exchange rate misalignments, which are predicted to have short-run effects in models with price rigidities. However, the exact impact depends on a number of features, such as the pricing strategy of firms engaging in international trade and the importance of global production networks. Trade effects of currency misalignments are predicted to disappear in the long-run, unless an economy is characterized by other relevant distortions. Empirical results broadly confirm these theoretical predictions.

The effects of real exchange rate volatility on sectoral export flows under intermediate and flexible exchange rate regimes: Empirical evidence from Turkey

2018 ◽  
Vol 4 (10) ◽  
pp. 172-184
Author(s):  
Bahar Erdal
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Exchange Rate Regime ◽  
Exchange Rate Regimes ◽  
Exchange Rate Volatility ◽  
Flexible Exchange Rate ◽  
Long Run ◽  
Short Run ◽  
The Impact ◽  
Real Exchange Rate Volatility

The aim of this paper is to analyse empirically the effects of real exchange rate volatility on sectoral exports in Turkey under intermediate and flexible exchange rate regimes. The cointegration test and error correction models are used to test the long-run relationship and short-run effects, respectively. The estimation results show that the real exchange rate volatility has negative and significant effects on sectoral exports in both intermediate and flexible exchange rate regimes. These empirical results are consistent with the theory. However, the impact of real exchange rate and foreign income appeared to be quite different for the two exchange rate regimes. Further, research is required to analyse the impacts of real exchange rate and foreign income on sectoral exports. Keywords: Real exchange rate volatility, real exchange rate, intermediate exchange rate regime, flexible exchange rate regime, sectoral export.

scholarly journals EFFECT OF EXCHANGE RATE VOLATILITY ON UGANDA'S TRADE BALANCE

2021 ◽  
Vol 8 (5) ◽  
pp. 532-574
Author(s):  
Qianling Shen ◽  
Henry Orach ◽  
Pu Chen ◽  
Shiying Wei ◽  
Hassan Ssewajje ◽  
...  
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Real Exchange Rate ◽  
Trade Balance ◽  
Real Exchange Rates ◽  
Exchange Rate Volatility ◽  
Data Generation ◽  
Long Run ◽  
Short Run ◽  
Adf Test

This study examines the long-run and the short-run relationship between the real exchange rate, GDP, FDI, inflation (INF), gross capital formation (GCF), Net official's development assistance (NODA), GNI, and trade balance in Uganda for the period 1994-2018. We used an Augmented Dickey-Fuller (ADF) test for the stationarity test, and we use the Johannsen cointegration approach to prove the existence of cointegration. The ADF tests show that the series was non-stationary in level but became stationary after the first difference. The Johannsen cointegration test indicates the long and short-run relationship between all the explanatory and trade balance in Uganda. Under such circumstances, a Vector Error Correction Model (VECM) is employed since the results offer more information than other data generation processes. Our findings are as follows: Real exchange rates, FDI, GCF and have a positive relationship with Trade balance. It means that Uganda can depreciate the Exchange rate to improve its Trade balance. The results proved the J-Curve effect's existence (i.e., the long-term impact of exchange rate on trade balance). The recommendations from this study are - Uganda's monetary policy management should emphasize more efforts on the stability and minimization of the volatility of exchange rates of the shillings since its movements affect international prices both negatively and positively, leading to either a decline or trade boost. Keywords: Trade balance; Real exchange rate; Net official's development assistances; GNI; VECM model; Uganda

A hybrid approach to exchange rates

2016 ◽  
Vol 33 (1) ◽  
pp. 50-68 ◽  
Author(s):  
Guangfeng Zhang ◽  
Ian Marsh ◽  
Ronald MacDonald
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Real Time ◽  
Private Information ◽  
Hybrid Approach ◽  
Exchange Rate Volatility ◽  
Content Type ◽  
Macro News ◽  
The Impact ◽  
Exchange Rates Volatility

Purpose – This study aims to investigate the impact of information, both public macro news and private information, on exchange rate volatility in an integrated framework. Design/methodology/approach – The authors apply real-time data of macro announcements and high-frequency trading data (German Deutsche Mark to US dollar, DEM/USD, from 1 May to 31August 1996) to GARCH models and examine various model specifications. Findings – Data analysis demonstrates real-time macro news and market makers’ private information both have a significant impact on exchange rate volatility, but there is no interaction between macro and micro information in the information transmission process. Originality/value – This study contributes to empirical hybrid studies of examining exchange rates volatility, which is in line with literature that combine both macro and micro fundamentals in examining exchange rates variation. Particularly, a key element of this study is to use a microstructure fundamental variable, namely, order flow, to capture private information in an exchange rate volatility study.

scholarly journals Exchange Rate Volatility and Trade Flows: Evidence from China, Pakistan and India

2015 ◽  
Vol 7 (11) ◽  
pp. 121 ◽  
Author(s):  
Sarfaraz Ahmed Shaikh ◽  
Ouyang Hongbing
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
Trade Flows ◽  
Series Data ◽  
General Level ◽  
Negatively Associated ◽  
Long Run ◽  
Short Run ◽  
The Exchange Rate ◽  
The Impact

This study examines the impact of exchange rate fluctuations on trade flows in case of China, Pakistan and India by using the time series data from 1980 to 2013. Most of the researchers have advocated that exchange rate volatility is negatively associated with general level of trade. In this study we have used the standard deviation of the moving average of the logarithm of the exchange rate as a proxy for volatility. And to investigate this relationship, we have applied the Autoregressive Distributive Lag (ARDL) approach for co-integration which estimates the short and long run relationship among the variables for the said period. The results of this empirical work have suggested that exchange rate volatility is negatively associated with Chinese exports in short run while positively associated in long run. However, in the case of Pakistan and India both in the short run and long run, the exchange rate volatility is negatively associated with total volume of trade.

scholarly journals Does Export Led Growth Hypothesis Hold Under World Crisis Recovery Regime in Malaysia?

2019 ◽  
Vol 10 (5) ◽  
pp. 9
Author(s):  
Asmawi Hashim ◽  
Norimah Rambeli ◽  
Norasibah Abdul Jalil ◽  
Normala Zulkifli ◽  
Emilda Hashim ◽  
...  
Keyword(s):  
Economic Growth ◽  
International Trade ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Data Series ◽  
World Crisis ◽  
Long Run ◽  
The Impact ◽  
Growth Hypothesis

This paper examines empirically the nature of the impact of the exchange rate on import, export and economic growth in Malaysia from 2009 until 2018. The objective of this study is to investigate the long-term and short-term relationship between endogenous and exogenous variables and also to identify the effects of exchange rates on dependent variables including imports, exports and the Gross Domestic Product (DGP) that represent the productivity of the country. This study further focuses on investigating the impact or the role of export in drive the county economic growth. In achieving these objectives, the Augmented Dickey-Fuller (ADF) testing procedure is used to test the presence of unit root. In order to investigate the incidence of long run relationship between the data series, the Johansen Juselius Cointegration Vector is utilized. The Granger Causality in Vector Error Correction Model (VECM) framework is employed to differentiate between short run and long run causal effects in examining the led growth determinants. The result shows that there is causality between exchange rate, import, export and GDP. Moreover, this study shows that exchange rates responded positively to import and export and negatively to GDP. The result further support for export led growth hypothesis in this study. Thus, confirm for the role of export in motivating the economic growth productivity in after World Crisis regime in year 2008. However, Malaysia must not only relay on international trade to generate income for the country. This is because Malaysia is fortunate to have survived the negative effects of the global crisis; the international trade is exposed to exchange rate instability. If Malaysia wants to succeed in international trade, it may be able to focus on food and services trade. As alternative Malaysia may focuses on agriculture sector by improving the research and development and be a champion on food supply for the world.

Does exchange rate volatility influence import commodities of India-US? Evidence from ARDL approach

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mohini Gupta ◽  
Sakshi Varshney
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Real Exchange Rate ◽  
Global Financial Crisis ◽  
Exchange Rate Volatility ◽  
Content Type ◽  
Long Run ◽  
Short Run ◽  
The Empirical Analysis ◽  
Real Exchange Rate Volatility

PurposeThe aim the study is to explore the impact of real exchange rate volatility and other macroeconomic variable such as price of import, industrial production and real exchange rate on 45 import commodities, considering global financial crisis period on India's import from the US. The empirical analysis at disaggregate level of import indicates the existence of both short-run and long-run effect in one-third importing commodities. The results show both positive and negative effect and causality among variables.Design/methodology/approachThe study uses E-GARCH model to gage the real exchange rate volatility, an autoregressive distributive lag (ARDL) bound test technique to discover the adequate short- and long-run relationships and Toda-Yamamoto causality method to analyze the causality among variables. The study uses the time period from 2002:M09 to 2019:M06.FindingsThe empirical analysis at disaggregate level of import indicates the existence of both short-run and long-run effect in one-third importing commodities. The results show both positive and negative effects and causality among variables.Practical implicationsThe finding of the study suggests that macroeconomic variables have significant role and could be important to undertake the small and medium scale industries in policymaking. Government may need to make decision for micro, small and medium enterprises (MSMEs) as their performance can bring change in the trade to compete globally by increasing and controlling the price of the import and defending the domestic competitiveness.Originality/valueThe study uses additional variable namely price of import and includes the global financial crisis period to measure dampening effect on each commodity by using robust econometric technique in context of emerging nation like India.

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