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Exchange Volatility and Export Performance in Egypt: New Insights from Wavelet Decomposition and Optimal GARCH Model

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  • Bouoiyour, Jamal
  • Selmi, Refk

Abstract

This paper assesses the link between exchange volatility and exports in Egypt by combining wavelet analysis with an optimal GARCH model chosen among various extensions. The observed outcomes reveal that this relationship is complex and depends then widely to frequency-to-frequency variation and slightly to leverage effect and to switching regime. Indeed, it is well shown that at the low frequency, the coefficient associated to exchange rate volatility’s effect on trade performance is more intense than that at the high frequency and conversely when subtracting energy share from the total of exports. We attribute the apparently conflicting results to the financial speculation, the composition of trade partners and the choice of reference basket’s currencies.

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File URL: http://mpra.ub.uni-muenchen.de/49140/
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File URL: http://mpra.ub.uni-muenchen.de/50589/
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File URL: http://mpra.ub.uni-muenchen.de/53106/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 49140.

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Date of creation: Jan 2013
Date of revision: Jan 2013
Handle: RePEc:pra:mprapa:49140

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Keywords: Exchange volatility; exports; wavelet decomposition; optimal GARCH model.;

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References

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  1. Mohsen Bahmani-Oskooee, 2002. "Does black market exchange rate volatility deter the trade flows? Iranian experience," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 34(18), pages 2249-2255.
  2. John M. Maheu & Thomas H. McCurdy, 2003. "News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns," CIRANO Working Papers, CIRANO 2003s-38, CIRANO.
  3. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, Elsevier, vol. 1(1), pages 83-106, June.
  4. Rabah Arezki & Daniel Lederman & Hongyan Zhao, 2012. "The Relative Volatility of Commodity Prices: A re-appraisal," OxCarre Working Papers, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford 070, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
  5. Zakoian, Jean-Michel, 1994. "Threshold heteroskedastic models," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 18(5), pages 931-955, September.
  6. Alquist, Ron & Kilian, Lutz, 2007. "What Do We Learn from the Price of Crude Oil Futures?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6548, C.E.P.R. Discussion Papers.
  7. Bahattin Buyuksahin & Jeffrey H. Harris, 2011. "Do Speculators Drive Crude Oil Futures Prices?," The Energy Journal, International Association for Energy Economics, International Association for Energy Economics, vol. 0(Number 2), pages 167-202.
  8. Bassam Fattouh, Lutz Kilian, and Lavan Mahadeva, 2013. "The Role of Speculation in Oil Markets: What Have We Learned So Far?," The Energy Journal, International Association for Energy Economics, International Association for Energy Economics, vol. 0(Number 3).
  9. Lahcen Achy & Khalid Sekkat, 2003. "The European Single Currency and MENA's Exports to Europe," Review of Development Economics, Wiley Blackwell, Wiley Blackwell, vol. 7(4), pages 563-582, November.
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Cited by:
  1. 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.
  2. Bouoiyour, Jamal & Selmi, Refk, 2013. "Exchange rate uncertainty and export performance: what meta-analysis reveals?," MPRA Paper 49249, University Library of Munich, Germany, revised Aug 2013.
  3. Bouoiyour, Jamal & Selmi, Refk, 2013. "Nonlinearities and the nexus between inflation and inflation uncertainty in Egypt: New evidence from wavelets transform framework," MPRA Paper 52414, University Library of Munich, Germany.

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