The controversial link between exchange rate volatility and exports: Evidence from Tunisian case
This paper tries to revisit the interaction between exchange uncertainty and exports in the Tunisian case. By using various GARCH extensions (i.e. Standard GARCH, Integrated GARCH, Exponential GARCH and Weighted GARCH) we show that the effect of exchange returns on changes in exports depends on time varying between low and high volatility in real terms (i.e. either structural breaks or shifts) and leverage effect (i.e. either good or bad news) in nominal terms. Our results also reveal that all considered links either in nominal or real terms are highly persistent, which means a great tendency to long memory process.
|Date of creation:||Feb 2013|
|Date of revision:||Mar 2013|
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