Advanced Search
MyIDEAS: Login

Effective Exchange Rate Volatility And Mena Countries Exports To The Eu

Contents:

Author Info

  • Serge Rey

    ()
    (Department of Economics, University of Pau et Pays de l Adour)

Abstract

This paper investigates the impact of nominal and real effective exchange rate volatility on exports of six Middle Eastern and North Africa (MENA) countries to 15 member countries of the European Union (EU), for the period 1970Q1-2002Q4. Moving average standard deviation and conditional standard deviation at ARCH model are used to generate four different measures of volatility for each country. The cointegration results indicate a significant relationship, negative for four countries (Algeria, Egypt, Tunisia, and Turkey), positive for the last two (Israel and Morocco), between MENA exports and exchange rate volatility. The short run dynamics, using an error correction model, shows that the Granger, causality effects of the volatility on real exports are significant, whereas the effects of real exchange rate and the gross domestic product of EU are more contrasted. Indications on appropriate exchange rate regime are derived from these results.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.jed.or.kr/full-text/31-2/2.pdf
Download Restriction: no

Bibliographic Info

Article provided by Chung-Ang Unviersity, Department of Economics in its journal Journal Of Economic Development.

Volume (Year): 31 (2006)
Issue (Month): 2 (December)
Pages: 23-54

as in new window
Handle: RePEc:jed:journl:v:31:y:2006:i:2:p:23-54

Contact details of provider:
Web page: http://www.jed.or.kr/
More information through EDIRC

Related research

Keywords: Effective Exchange Rate; Volatility; Export; MENA Countries; GARCH Model; Cointegration; Error-Correction model;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Lahcen Achy & Khalid Sekkat, 2003. "The European Single Currency and MENA's Exports to Europe," Review of Development Economics, Wiley Blackwell, vol. 7(4), pages 563-582, November.
  2. Ghiath Shabsigh & Ilker Domaç, 1999. "Real Exchange Rate Behavior and Economic Growth," IMF Working Papers 99/40, International Monetary Fund.
  3. Christopher F Baum & Mustafa Caglayan, 2007. "Effects of Exchange Rate Volatility on the Volume and Volatility of Bilateral Exports," Money Macro and Finance (MMF) Research Group Conference 2006 64, Money Macro and Finance Research Group.
  4. McKenzie, Michael D. & Brooks, Robert D., 1997. "The impact of exchange rate volatility on German-US trade flows," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(1), pages 73-87, April.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Bouoiyour, Jamal & Selmi, Refk, 2013. "The controversial link between exchange rate volatility and exports: Evidence from Tunisian case," MPRA Paper 49133, University Library of Munich, Germany, revised Mar 2013.
  2. P., Srinivasan & M., Kalaivani, 2012. "Exchange Rate Volatility and Export Growth in India: An Empirical Investigation," MPRA Paper 43828, University Library of Munich, Germany.
  3. Halmi Mirela, 2012. "The Correlation Between The Exchange Rate And The Direct Foreign Investments," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 809-815, July.
  4. Bouoiyour, Jamal & Selmi, Refk, 2014. "How Does Exchange Rate Uncertainty interact with International Trade? A Meta-Analysis Revisited," MPRA Paper 56201, University Library of Munich, Germany.
  5. masron, Tajul arrifin & Mohd naseem niaz, Ahmad, 2008. "Export, Economic Integration and Exchange Rate Volatility in Turkey and Malaysia," MPRA Paper 41519, University Library of Munich, Germany.
  6. Huiran Pan, 2013. "Asset Revaluation And Trade Balance Under Liability Dollarization: The Case Of South Korea," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 38(3), pages 1-32, September.
  7. Serge REY & Jacques JAUSSAUD, 2009. "Long-Run Determinants of Japanese Exports to China and the United States: A Sectoral Analysis," Working Papers 4, CATT - UPPA - Université de Pau et des Pays de l'Adour, revised Nov 2009.
  8. Hyun Kook Shin & Byoung Hark Yoo, 2012. "The Volatility Of The Won-Dollar Exchange Rate During The 2008-9 Crisis," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 37(4), pages 61-77, December.
  9. Hall, Stephen & Hondroyiannis, George & Swamy, P.A.V.B. & Tavlas, George & Ulan, Michael, 2010. "Exchange-rate volatility and export performance: Do emerging market economies resemble industrial countries or other developing countries?," Economic Modelling, Elsevier, vol. 27(6), pages 1514-1521, November.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:jed:journl:v:31:y:2006:i:2:p:23-54. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Changhui Kang).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.