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Effective Exchange Rate Volatility And Mena Countries Exports To The Eu

  • Serge Rey

    ()

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

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.

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Article provided by Chung-Ang Unviersity, Department of Economics in its journal Journal Of Economic Development.

Volume (Year): 31 (2006)
Issue (Month): 2 (December)
Pages: 23-54

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Handle: RePEc:jed:journl:v:31:y:2006:i:2:p:23-54
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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. 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.
  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. 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.
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