The controversial link between exchange rate volatility and exports: Evidence from Tunisian case
AbstractThis paper tries to revisit the interaction between exchange uncertainty and exports in the Tunisian case. By using various GARCH extensions (i.e. Standard GARCH, Integrated GARCH, Exponential GARCH and Weighted GARCH) we show that the effect of exchange returns on changes in exports depends on time varying between low and high volatility in real terms (i.e. either structural breaks or shifts) and leverage effect (i.e. either good or bad news) in nominal terms. Our results also reveal that all considered links either in nominal or real terms are highly persistent, which means a great tendency to long memory process.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 49133.
Date of creation: Feb 2013
Date of revision: Mar 2013
Exchange rate; exports; volatility; GARCH specifications.;
Find related papers by JEL classification:
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
- F1 - International Economics - - Trade
- F14 - International Economics - - Trade - - - Empirical Studies of Trade
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