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Exchange Rate Uncertainty and Cereal Exports: A Panel VAR Approach

Author

Listed:
  • Ronald Miranda

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

  • Leonel Muinelo-Gallo

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

Abstract

This paper investigates empirically the effect of exchange rate uncertainty on cereal export flows for a broad sample of countries during the period 2010/01 – 2016/12. To do this, we first estimate the exchange rate volatility using the moving standard deviation of the real effective exchange rate (REER), and then, we estimate the cereal export demand by using a panel data model with autoregressive vectors (P-VAR). This strategy of analysis is applying over different groups of countries, which are obtained by cluster analysis based on the level of REER volatility and the level of cereal export volume. In general, the empirical results suggested a significative negative effect of exchange rate uncertainty on cereal exports in countries characterized by high and persistent REER volatility or high volume of cereal exports (i.e. with market power).

Suggested Citation

  • Ronald Miranda & Leonel Muinelo-Gallo, 2019. "Exchange Rate Uncertainty and Cereal Exports: A Panel VAR Approach," Documentos de Trabajo (working papers) 19-29, Instituto de Economía - IECON.
    • Handle: RePEc:ulr:wpaper:dt-29-19
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    File URL: https://hdl.handle.net/20.500.12008/23156
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    More about this item

    Keywords

    Exchange rate uncertainty; Cereal exports; Panel data; Vector Autoregressive; Cluster analysis;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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