IDEAS home Printed from https://ideas.repec.org/p/cwm/wpaper/65.html
   My bibliography  Save this paper

International Financial Volatility and Commodity Exports: Evidence from the Thai Agricultural Sector

Author

Listed:
  • Justin B. May

    (Department of Economics, College of William and Mary)

Abstract

While the demise of many tightly-managed exchange rate regimes has meant that exchange rate volatility has risen for most developing countries in the past few decades, there exists little consensus on the ramifications of that volatility for real sectoral performance. Using production and export data from the Bank of Thailand, this paper measures the effect of real exchange rate volatility on Thai production and export of five key agricultural commodities. I measure volatility as the moving average standard deviation of the daily real value of the baht, the residual of an ARMA(5,4) process of the monthly real value of the baht, the residual of an ARIMA(2,1,3) process of the daily real value of the baht, and as the conditional time variance of the GARCH(2,1) process of the monthly real value of the baht. I then estimate the effects of real currency fluctuations across the agricultural sectors, controlling for both the level of the real exchange rate and foreign incomes. Point estimates of the effect of real exchange rate volatility on the volume of exports are consistently negative and often statistically significant lending support to a range of theoretical models that predict such an effect. Further, I find no significant relationship between production and lagged values of real exchange rate volatility and the control variables, suggesting that volatility is not an important determinant of agricultural supply. These results are robust to the choice of any of the measures of volatility considered here.

Suggested Citation

  • Justin B. May, 2007. "International Financial Volatility and Commodity Exports: Evidence from the Thai Agricultural Sector," Working Papers 65, Department of Economics, College of William and Mary.
  • Handle: RePEc:cwm:wpaper:65
    as

    Download full text from publisher

    File URL: http://economics.wm.edu/wp/cwm_wp65.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Wesley, J.D. & Shen, Xuan & Li, Sheng & Wilson, Norbert L.W., 2012. "Agricultural Trade Bias in Exchange Rate Volatility Effect Estimation: An Application of Meta-Regression Analysis," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124870, Agricultural and Applied Economics Association.
    2. Raphaël Chiappini & Yves Jégourel, 2014. "Futures Market Volatility, Exchange Rate Uncertainty and Cereals Exports: Empirical Evidence from France," GREDEG Working Papers 2014-34, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
    3. Mittal, S & Hariharan, VK & Subash, SP, 2018. "Price volatility trends and price transmission for major staples in India," Agricultural Economics Research Review, Agricultural Economics Research Association (India), vol. 31(1).
    4. Dengjun Zhang & Henry W. Kinnucan, 2014. "Exchange Rate Volatility and US Import Demand for Salmon," Marine Resource Economics, University of Chicago Press, vol. 29(4), pages 411-430.

    More about this item

    Keywords

    Agriculture; Exchange Rate Volatility; Exports; Thailand; Trade;
    All these keywords.

    JEL classification:

    • F14 - International Economics - - Trade - - - Empirical Studies of Trade
    • O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products
    • O24 - Economic Development, Innovation, Technological Change, and Growth - - Development Planning and Policy - - - Trade Policy; Factor Movement; Foreign Exchange Policy

    NEP fields

    This paper has been announced in the following NEP Reports:

    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:cwm:wpaper:65. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Daifeng He or Alfredo Pereira (email available below). General contact details of provider: https://edirc.repec.org/data/decwmus.html .

    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.