Exchange Rate Volatility in BRICS Countries
This paper measures the impact of bilateral exchange rates, the world agricultural GDP and third-country exchange rate volatilities (Yen/USD and Euro/USD) on the BRICS agricultural exports using a vector autoregressive (VAR) model. Two measures of volatility are used: the standard deviation and the coefficient of variation of the rates of change of the real exchange rates. We found that most variables are integrated of order two except the third-country exchange rate volatilities which are stationary and thus considered as exogenous in the VAR models. The causality between I(2) variables was tested using the modified Wald test introduced by Toda and Yamamoto (1995). We found that both volatilities (Yen/USD and Euro/USD) Granger cause Brazilian agricultural exports and that the Yen/USD causes Chinese agricultural exports.
|Date of creation:||2012|
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- O. Cushman, David, 1986. "Has exchange risk depressed international trade? The impact of third-country exchange risk," Journal of International Money and Finance, Elsevier, vol. 5(3), pages 361-379, September.
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- Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
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