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Asymmetric Effect of Real Exchange Rate Volatility on Agricultural Products Export: A Case Study

Author

Listed:
  • Alegwu, Friday O.

    (University of Agriculture, Makurdi, Nigeria)

  • Aye, Goodness C.

    (University of Agriculture, Makurdi, Nigeria)

  • Asogwa, Benjamin C.

    (University of Agriculture, Makurdi, Nigeria)

Abstract

This paper investigates the asymmetric effects of real exchange rate volatility on agricultural products export using Nigeria as a case study. Annual time series data covering between 1970 and 2013 were used. Real exchange rate volatility is measured using GARCH (1, 1) and subsequently the VAR model was used for analyzing the relationship. This paper through the Augmented Dickey-Fuller (ADF) and Philip Perron (PP) unit root tests confirm that all variables were stationary in their first difference. Asymmetric effects test based on the Wald statistic shows that with exception of cotton exports, the effects of real exchange rate volatility shock during appreciation and depreciation on cocoa, coffee and rubber exports are significantly different. In particular, the study revealed that in Nigeria, real exchange rate volatility have significant effects on agricultural products export negative or positive in periods of appreciation or depreciation but the magnitude of the effect during appreciation or depreciation differ depending on the export product. Effetti asimmetrici della volatilità del tasso di cambio reale sulle esportazioni di prodotti agricoli: studio di un caso Questo lavoro esamina gli effetti asimmetrici della volatilità del tasso di cambio reale sull’export dei prodotti agricoli analizzando il caso della Nigeria. Le serie di dati annuali considerate coprono il periodo 1970-2013. La volatilità del tasso di cambio reale è misurata tramite il modello GARCH (1, 1) e successivamente con il modello VAR per l’analisi della relazione. Attraverso l’utilizzo dei test Agumented Dickey-Fuller (ADF) e Phillip Perron (PP) lo studio conferma che tutte le variabili erano stazionarie nelle loro differenze prime. Test sugli effetti asimmetrici basati sulla statistica di Wald mostrano che gli effetti degli shock della volatilità del tasso di cambio reale sulle esportazioni sono significativamente differenti per le diverse tipologie di produzioni agricole.

Suggested Citation

  • Alegwu, Friday O. & Aye, Goodness C. & Asogwa, Benjamin C., 2017. "Asymmetric Effect of Real Exchange Rate Volatility on Agricultural Products Export: A Case Study," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 70(3), pages 261-279.
    • Handle: RePEc:ris:ecoint:0803
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    Cited by:

    1. Adedeji Daniel Gbadebo, 2023. "Does Exchange Rates Swings Affect Trade? Evidence from an Emerging Open Economy," International Journal of Economics and Financial Issues, Econjournals, vol. 13(1), pages 132-143, January.
    2. Goodness C. Aye & Laurence Harris, 2019. "The effect of real exchange rate volatility on income distribution in South Africa," WIDER Working Paper Series wp-2019-29, World Institute for Development Economic Research (UNU-WIDER).
    3. Mohsen Bahmani-Oskooee & Augustine C. Arize, 2020. "On the Asymmetric Effects of Exchange Rate Volatility on Trade Flows: Evidence from Africa," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(4), pages 913-939, March.

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    More about this item

    Keywords

    Real Exchange Rate Volatility; Asymmetry; Agricultural Products Export; Depreciation;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F10 - International Economics - - Trade - - - General
    • F14 - International Economics - - Trade - - - Empirical Studies of Trade
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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