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Effective Exchange Rate Volatility And Mena Countries Exports To The Eu

Author

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  • Serge Rey

    () (Department of Economics, University of Pau et Pays de l Adour)

Abstract

This paper investigates the impact of nominal and real effective exchange rate volatility on exports of six Middle Eastern and North Africa (MENA) countries to 15 member countries of the European Union (EU), for the period 1970Q1-2002Q4. Moving average standard deviation and conditional standard deviation at ARCH model are used to generate four different measures of volatility for each country. The cointegration results indicate a significant relationship, negative for four countries (Algeria, Egypt, Tunisia, and Turkey), positive for the last two (Israel and Morocco), between MENA exports and exchange rate volatility. The short run dynamics, using an error correction model, shows that the Granger, causality effects of the volatility on real exports are significant, whereas the effects of real exchange rate and the gross domestic product of EU are more contrasted. Indications on appropriate exchange rate regime are derived from these results.

Suggested Citation

  • Serge Rey, 2006. "Effective Exchange Rate Volatility And Mena Countries Exports To The Eu," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 31(2), pages 23-54, December.
  • Handle: RePEc:jed:journl:v:31:y:2006:i:2:p:23-54
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    References listed on IDEAS

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    1. Ghiath Shabsigh & Ilker Domaç, 1999. "Real Exchange Rate Behavior and Economic Growth; Evidence from Egypt, Jordan, Morocco, and Tunisia," IMF Working Papers 99/40, International Monetary Fund.
    2. McKenzie, Michael D. & Brooks, Robert D., 1997. "The impact of exchange rate volatility on German-US trade flows," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(1), pages 73-87, April.
    3. Christopher F Baum & Mustafa Caglayan, 2007. "Effects of Exchange Rate Volatility on the Volume and Volatility of Bilateral Exports," Money Macro and Finance (MMF) Research Group Conference 2006 64, Money Macro and Finance Research Group.
    4. Lahcen Achy & Khalid Sekkat, 2003. "The European Single Currency and MENA's Exports to Europe," Review of Development Economics, Wiley Blackwell, vol. 7(4), pages 563-582, November.
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    Citations

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    Cited by:

    1. Halmi Mirela, 2012. "The Correlation Between The Exchange Rate And The Direct Foreign Investments," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 809-815, July.
    2. Hyun Kook Shin & Byoung Hark Yoo, 2012. "The Volatility Of The Won-Dollar Exchange Rate During The 2008-9 Crisis," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 37(4), pages 61-77, December.
    3. Aihua Wang & Faruk Balli & Xiumin Li, 2015. "Possible Best Currency Basket Selection from the Perspective of Real Effective Exchange Rate," Pacific Economic Review, Wiley Blackwell, vol. 20(4), pages 635-650, October.
    4. Bouoiyour, Jamal & Selmi, Refk, 2013. "The controversial link between exchange rate volatility and exports: Evidence from Tunisian case," MPRA Paper 49133, University Library of Munich, Germany, revised Mar 2013.
    5. Huiran Pan, 2013. "Asset Revaluation And Trade Balance Under Liability Dollarization: The Case Of South Korea," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 38(3), pages 1-32, September.
    6. Cueyt SEVIM & Taylan Taner DOGAN, 2016. "Turkiye Ekonomisinde Ihracat ve Doviz Kuru Oynakligi Iliskisi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 16(2), pages 303-318.
    7. repec:taf:uitjxx:v:30:y:2016:i:4:p:263-294 is not listed on IDEAS
    8. masron, Tajul arrifin & Mohd naseem niaz, Ahmad, 2008. "Export, Economic Integration and Exchange Rate Volatility in Turkey and Malaysia," MPRA Paper 41519, University Library of Munich, Germany.
    9. Jamal Bouoiyour & Refk Selmi, 2016. "A Synthesis of the Effects of Exchange Rate Volatility on International Trade: A Meta-Regression Analysis," The International Trade Journal, Taylor & Francis Journals, vol. 30(4), pages 263-294, August.
    10. Jacques Jaussaud & Serge Rey, 2012. "Long‐Run Determinants Of Japanese Exports To China And The United States: A Sectoral Analysis," Pacific Economic Review, Wiley Blackwell, vol. 17(1), pages 1-28, February.
    11. V Polodoo & B Seetanah & Sannassee R. V, 2016. "Exchange rate volatility and manufacturing trade: Evidence from Africa," Journal of Developing Areas, Tennessee State University, College of Business, vol. 50(5), pages 241-256.
    12. Hall, Stephen & Hondroyiannis, George & Swamy, P.A.V.B. & Tavlas, George & Ulan, Michael, 2010. "Exchange-rate volatility and export performance: Do emerging market economies resemble industrial countries or other developing countries?," Economic Modelling, Elsevier, vol. 27(6), pages 1514-1521, November.
    13. Erdal Demirhan & Banu Demirhan, 2015. "The Dynamic Effect of ExchangeRate Volatility on Turkish Exports: Parsimonious Error-Correction Model Approach," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 62(4), pages 429-451, September.
    14. P., Srinivasan & M., Kalaivani, 2012. "Exchange Rate Volatility and Export Growth in India: An Empirical Investigation," MPRA Paper 43828, University Library of Munich, Germany.
    15. Bouoiyour, Jamal & Selmi, Refk, 2015. "A synthesis of the effects of exchange rate uncertainty on international trade via Meta-Regression analysis," MPRA Paper 65737, University Library of Munich, Germany.
    16. 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.

    More about this item

    Keywords

    Effective Exchange Rate; Volatility; Export; MENA Countries; GARCH Model; Cointegration; Error-Correction model;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements

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