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The impact of exchange rate uncertainty on exports: a panel VAR analysis

Author

Listed:
  • Leonel Muinelo-Gallo
  • Ronald Miranda Lescano
  • Gabriela Mordecki

Abstract

In this paper we analyze the impact of exchange rate uncertainty on export flows among a panel of 27 countries throughout the 1994/01-2014/12 period. In order to do this, we apply a panel vector autoregressive model approach. By dividing the panel into two subgroups that involve manufacturing-exporting and commodity-exporting economies, we observe a different effect of exchange rate uncertainty on exports. This has a negative impact in manufacturing-exporting countries, but does not affect commodity-exporting countries. This result appears to be explained by countries' economics characteristics, involving the flexibility or rigidities of the export adjustment arising exchange rate uncertainty.

Suggested Citation

  • Leonel Muinelo-Gallo & Ronald Miranda Lescano & Gabriela Mordecki, 2020. "The impact of exchange rate uncertainty on exports: a panel VAR analysis," Estudios de Economia, University of Chile, Department of Economics, vol. 47(2 Year 20), pages 157-192, December.
    • Handle: RePEc:udc:esteco:v:47:y:2020:i:2:p:157-192
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    More about this item

    Keywords

    Exchange rate uncertainty; exports; panel vector autoregressive; manufacture-exporting economies; commodity-exporting economies.;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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