Real Exchange Rate Volatility and Exports: A Study for Four Selected Commodity Exporting Countries

  • Gabriela Mordecki Universidad de la República, Facultad de Ciencias Económicas y de Administración, Instituto de Economía, Uruguay
  • Ronald Miranda Universidad de la República, Facultad de Ciencias Económicas y de Administración, Instituto de Economía, Uruguay

Abstract

Commodity exports depend on global demand and prices, but the increasing volatility of real exchange rates (RER) introduces an additional factor. Thus, this paper studies the RER volatility dynamics, estimated through GARCH and IGARCH models for Brazil, Chile, New Zealand, and Uruguay from 1990 to 2013. We study the impact of RER volatility on total exports using Johansen's methodology, including proxies for global demand and international prices. The results suggest that exports depend positively on global demand and international prices for all countries; however, conditional RER volatility resulted significant and negative only for Uruguay, in the short and long run.


Key words: Exports, Real exchange rate, GARCH, Co-integration.
JEL: C55, F31, F41.

How to Cite
Mordecki G., & Miranda R. (2018). Real Exchange Rate Volatility and Exports: A Study for Four Selected Commodity Exporting Countries. Panoeconomicus, Advance online publication. doi:10.2298/PAN160927010M
Section
Original scientific paper