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The controversial link between exchange rate volatility and exports: Evidence from Tunisian case

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  • Bouoiyour, Jamal
  • Selmi, Refk

Abstract

This 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 Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 49133.

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Date of creation: Feb 2013
Date of revision: Mar 2013
Handle: RePEc:pra:mprapa:49133

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Keywords: Exchange rate; exports; volatility; GARCH specifications.;

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  1. Luc, BAUWENS & G., STORTI, 2007. "A Component GARCH Model with Time Varying Weights," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques 2007012, Université catholique de Louvain, Département des Sciences Economiques.
  2. Chowdhury, Abdur R, 1993. "Does Exchange Rate Volatility Depress Trade Flows? Evidence from Error-Correction Models," The Review of Economics and Statistics, MIT Press, vol. 75(4), pages 700-706, November.
  3. McKenzie, Michael D, 1999. " The Impact of Exchange Rate Volatility on International Trade Flows," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 13(1), pages 71-106, February.
  4. Balázs Égert & Amalia Morales-Zumaquero, 2005. "Exchange Rate Regimes, Foreign Exchange Volatility and Export Performance in Central and Eastern Europe: Just Another Blur Project?," William Davidson Institute Working Papers Series wp782, William Davidson Institute at the University of Michigan.
  5. Serge Rey, 2006. "Effective Exchange Rate Volatility And Mena Countries Exports To The Eu," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, Chung-Ang Unviersity, Department of Economics, vol. 31(2), pages 23-54, December.
  6. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, Elsevier, vol. 14(1-2), pages 3-24, February.
  7. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, Elsevier, vol. 31(3), pages 307-327, April.
  8. Narayan, Paresh Kumar & Narayan, Seema & Prasad, Arti, 2008. "Understanding the oil price-exchange rate nexus for the Fiji islands," Energy Economics, Elsevier, Elsevier, vol. 30(5), pages 2686-2696, September.
  9. Zakoian, Jean-Michel, 1994. "Threshold heteroskedastic models," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 18(5), pages 931-955, September.
  10. Selmi, Refk & Bouoiyour, Jamal & Ayachi, Fethi, 2012. "Another Look at the Interaction Between Oil Price Uncertainty and Exchange Rate Volatility: The Case of Small Open Economies," MPRA Paper 49144, University Library of Munich, Germany, revised Oct 2012.
  11. Bélanger, Denis & Gutiérrez, Sylvia, 1990. "Impact de la variabilité des taux de change sur le commerce international," L'Actualité Economique, Société Canadienne de Science Economique, Société Canadienne de Science Economique, vol. 66(1), pages 65-83, mars.
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