IDEAS home Printed from https://ideas.repec.org/a/gam/jecomi/v13y2025i9p247-d1730283.html
   My bibliography  Save this article

The Impact of Exchange Rate Volatility on South African Agricultural Exports

Author

Listed:
  • Ireen Choga

    (School of Economics Sciences, North-West University, Mafikeng 2745, South Africa)

  • Teboho Charles Mashao

    (School of Economics Sciences, North-West University, Potchefstroom 2520, South Africa)

Abstract

The South African exchange rate has been volatile in recent years affecting the competitiveness of commodities in the market. Consequently, South African agricultural exporters have faced lower profitability or entire losses. More South Africa is among the top agricultural exporters in Africa. Thus, the purpose of this study was to examine the effect of exchange rate volatility on agricultural exports in South Africa using the Exponential Generalized Autoregressive Conditional Heteroskedastic (EGARCH) model over the period extending from first quarter of 2013 to first quarter of 2024. The study finds that the exchange rate affects agricultural export negatively in South Africa. The findings display that the exchange rate is statistically significant in explaining agricultural exports in South Africa. In addition, this study finds interest rate affects agricultural exports negatively whereas investment and trade openness affect agricultural export positively in South Africa. This infers that agricultural exports in South Africa are explained by various economic factors. Therefore, this study proposes implementing currency stabilisation policies is a crucial strategy to reduce exchange rate volatility, thereby reducing the negative impact on agricultural exports in South Africa. The policymakers can use currency hedging as tool to lessen the negative impact associated with the exchange rate volatility.

Suggested Citation

  • Ireen Choga & Teboho Charles Mashao, 2025. "The Impact of Exchange Rate Volatility on South African Agricultural Exports," Economies, MDPI, vol. 13(9), pages 1-17, August.
    • Handle: RePEc:gam:jecomi:v:13:y:2025:i:9:p:247-:d:1730283
    as

    Download full text from publisher

    File URL: https://www.mdpi.com/2227-7099/13/9/247/pdf
    Download Restriction: no
    File URL: https://www.mdpi.com/2227-7099/13/9/247/
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    2. Nonhlanhla Mpungose & Mbongeni .Z Ngubane & Mashapa Sekome, 2023. "Revisiting the Effect of Exchange Rates on Imports and Exports in South Africa," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 19(4), pages 144-162, August.
    3. E. M. Ekanayake & Amila Dissanayake, 2022. "Effects of Real Exchange Rate Volatility on Trade: Empirical Analysis of the United States Exports to BRICS," JRFM, MDPI, vol. 15(2), pages 1-21, February.
    4. Cardebat, Jean-Marie & Figuet, Jean-Marc, 2019. "The Impact of Exchange Rates on French Wine Exports," Journal of Wine Economics, Cambridge University Press, vol. 14(1), pages 71-89, February.
    5. Alegwu, F. O. & Aye, G. C. & Asogwa, B. C., . "Effect of Real Exchange Rate Volatility on Agricultural Products Export in Nigeria," AGRIS on-line Papers in Economics and Informatics, Czech University of Life Sciences Prague, Faculty of Economics and Management, vol. 10(3).
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Han, Chulwoo & Park, Frank C., 2022. "A geometric framework for covariance dynamics," Journal of Banking & Finance, Elsevier, vol. 134(C).
    2. Tian, Maoxi & El Khoury, Rim & Alshater, Muneer M., 2023. "The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    3. Umar, Muhammad & Mirza, Nawazish & Rizvi, Syed Kumail Abbas & Furqan, Mehreen, 2023. "Asymmetric volatility structure of equity returns: Evidence from an emerging market," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 330-336.
    4. Shively, Gerald E., 2001. "Price thresholds, price volatility, and the private costs of investment in a developing country grain market," Economic Modelling, Elsevier, vol. 18(3), pages 399-414, August.
    5. Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tédongap, 2014. "Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty," Review of Finance, European Finance Association, vol. 18(1), pages 219-269.
    6. F. Durante & A. Gatto & F. Ravazzolo, 2024. "Understanding relationships with the Aggregate Zonal Imbalance using copulas," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 33(2), pages 513-554, April.
    7. Chang, Chia-Lin, 2015. "Modelling a latent daily Tourism Financial Conditions Index," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 113-126.
    8. Xu, Haifeng & Hamori, Shigeyuki, 2012. "Dynamic linkages of stock prices between the BRICs and the United States: Effects of the 2008–09 financial crisis," Journal of Asian Economics, Elsevier, vol. 23(4), pages 344-352.
    9. Norbert Funke & Akimi Matsuda, 2006. "Macroeconomic News and Stock Returns in the United States and Germany," German Economic Review, Verein für Socialpolitik, vol. 7(2), pages 189-210, May.
    10. Hassan Heidari & Arash Refah-Kahriz & Nayyer Hashemi Berenjabadi, 2018. "Dynamic Relationship between Macroeconomic Variables and Stock Return Volatility in Tehran Stock Exchange: Multivariate MS ARMA GARCH Approach," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 5(2), pages 223-250.
    11. Li, Yuming, 1998. "Expected stock returns, risk premiums and volatilities of economic factors1," Journal of Empirical Finance, Elsevier, vol. 5(2), pages 69-97, June.
    12. Bo-Hung Chiou & Shen-Ho Chang, 2020. "Influence of Investment Efficiency by Managers and Accounting Conservatism on Idiosyncratic Risks to Investors," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 10(1), pages 1-8.
    13. Geoffrey Ngene & Kenneth A. Tah & Ali F. Darrat, 2017. "Long memory or structural breaks: Some evidence for African stock markets," Review of Financial Economics, John Wiley & Sons, vol. 34(1), pages 61-73, September.
    14. Xilong Chen & Eric Ghysels, 2011. "News--Good or Bad--and Its Impact on Volatility Predictions over Multiple Horizons," The Review of Financial Studies, Society for Financial Studies, vol. 24(1), pages 46-81, October.
    15. Caroline Jardet & Gaelle Le Fol, 2010. "Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 316-330.
    16. Benjamin Born & Michael Ehrmann & Marcel Fratzscher, 2011. "How Should Central Banks Deal with a Financial Stability Objective? The Evolving Role of Communication as a Policy Instrument," Chapters, in: Sylvester Eijffinger & Donato Masciandaro (ed.), Handbook of Central Banking, Financial Regulation and Supervision, chapter 9, Edward Elgar Publishing.
    17. Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premium and Macroeconomic Volatilities in the UK," Discussion Papers 07/13, Department of Economics, University of York.
    18. Alagidede, Paul & Panagiotidis, Theodore, 2009. "Modelling stock returns in Africa's emerging equity markets," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 1-11, March.
    19. Chang, Chia-Lin & Hsu, Hui-Kuang, 2013. "Modelling Volatility Size Effects for Firm Performance: The Impact of Chinese Tourists to Taiwan," MPRA Paper 45691, University Library of Munich, Germany.
    20. Chen Tong & Peter Reinhard Hansen & Ilya Archakov, 2024. "Cluster GARCH," Papers 2406.06860, arXiv.org.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jecomi:v:13:y:2025:i:9:p:247-:d:1730283. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.