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The controversial link between exchange rate volatility and exports: Evidence from Tunisian case

  • Bouoiyour, Jamal
  • Selmi, Refk

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.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 49133.

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Date of creation: Feb 2013
Date of revision: Mar 2013
Handle: RePEc:pra:mprapa:49133
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  1. Narayan, Paresh Kumar & Narayan, Seema & Prasad, Arti, 2008. "Understanding the oil price-exchange rate nexus for the Fiji islands," Energy Economics, Elsevier, vol. 30(5), pages 2686-2696, September.
  2. Zakoian, Jean-Michel, 1994. "Threshold heteroskedastic models," Journal of Economic Dynamics and Control, Elsevier, vol. 18(5), pages 931-955, September.
  3. Balázs Égert & Amalia Morales-Zumaquero, 2005. "Exchange Rate Regimes, Foreign Exchange Volatility and Export Performance in Central and Eastern Europe: Just Another Blur Project?," William Davidson Institute Working Papers Series wp782, William Davidson Institute at the University of Michigan.
  4. Bélanger, Denis & Gutiérrez, Sylvia, 1990. "Impact de la variabilité des taux de change sur le commerce international," L'Actualité Economique, Société Canadienne de Science Economique, vol. 66(1), pages 65-83, mars.
  5. Giuseppe Storti & Luc Bauwens, 2006. "A component GARCH model with time varying weights," Computing in Economics and Finance 2006 388, Society for Computational Economics.
  6. 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.
  7. Serge Rey, 2006. "Effective Exchange Rate Volatility And Mena Countries Exports To The Eu," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 31(2), pages 23-54, December.
  8. McKenzie, Michael D, 1999. " The Impact of Exchange Rate Volatility on International Trade Flows," Journal of Economic Surveys, Wiley Blackwell, vol. 13(1), pages 71-106, February.
  9. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  10. Selmi, Refk & Bouoiyour, Jamal & Ayachi, Fethi, 2012. "Another Look at the Interaction Between Oil Price Uncertainty and Exchange Rate Volatility: The Case of Small Open Economies," MPRA Paper 49144, University Library of Munich, Germany, revised Oct 2012.
  11. Chowdhury, Abdur R, 1993. "Does Exchange Rate Volatility Depress Trade Flows? Evidence from Error-Correction Models," The Review of Economics and Statistics, MIT Press, vol. 75(4), pages 700-706, November.
  12. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
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