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Real exchange rate volatility impact on exports: A comparative study 1990-2013

Author

Listed:
  • Ronald Miranda

    (Universidad de la República (Uruguay). Facultad de Ciencias Económicas y de Administración. Instituto de Economí­a)

  • Gabriela Mordecki

    (Universidad de la República (Uruguay). Facultad de Ciencias Económicas y de Administración. Instituto de Economí­a)

Abstract

Raw materials exports depend on global demand and prices, but the increasing volatility of real exchange rates (RER) introduces an additional factor which impact varies according to the situation and the country. Thus, this paper studies the RER volatility dynamics, estimated through GARCH and IGARCH models for Brazil, Chile, New Zealand and Uruguay during the period 1990-2013. Then, for each country, we study the potential impact of exchange rate volatility on total exports using Johansen's methodology and the analysis through impulse response functions, including proxies for global demand and international prices. The results suggest that exports depend positively on global demand and international prices; however conditional RER volatility resulted not significant for the group of selected countries, with the exception of Uruguay, where RER volatility affects negatively exports, in the short and long term.

Suggested Citation

  • Ronald Miranda & Gabriela Mordecki, 2015. "Real exchange rate volatility impact on exports: A comparative study 1990-2013," Documentos de Trabajo (working papers) 15-18, Instituto de Economía - IECON.
    • Handle: RePEc:ulr:wpaper:dt-18-15
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    File URL: https://hdl.handle.net/20.500.12008/29795
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    More about this item

    Keywords

    Exports; real exchange rate; GARCH; cointegration;
    All these keywords.

    JEL classification:

    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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