Export Performance and Exchange Rate Volatility: Evidence from the Wamz (original) (raw)
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Some Further Evidence on Exchange-Rate Volatility and Exports
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The relationship between exchange-rate volatility and aggregate export volumes for 12 industrial economies is examined using a model that includes real export earnings of oil-producing economies as a determinant of industrial-country export volumes. A supposition underlying the model is that, given their levels of economic development, oil-exporters' income elasticities of demand for industrial-country exports might differ from those of industrial countries. Five estimation techniques, including a generalized method of moments (GMM) and random coefficient (RC) estimation, are employed on panel data covering the estimation period 1977:1-2003:4 using three measures of volatility. In contrast to recent studies employing panel data, we do not find a single instance in which volatility has a negative and significant impact on trade.
Review of International Economics, 2001
This study uses a large panel of industrialized and developing countries to investigate the link between exchange rate volatility and exports. Although the empirical literature on this relationship is extensive, a clear consensus about its nature and importance is yet to emerge. Using fixed-and random-effects models to capture cross-country differences, pooled export equations are estimated for the entire panel and various subsets of countries. The results, which are robust across different volatility measures, indicate that negative effects exist for LDC exports, especially from Latin America and Africa, but not for exports from Asian LDCs or industrialized countries. . We would like to thank King Banaian, Volker Clausen, and two anonymous referees for their insightful comments and suggestions. We also wish to acknowledge Pingo Wang for preparing the substantial database and Lou Ann Lora-Platt for editorial assistance. Any remaining errors or omissions are our responsibility.
2010
ABSTRACT Authors who do not distinguish between Emerging Market Economies (EMEs) and other developing countries, find evidence of negative and significant effects of exchange-rate volatility on trade. We investigate the effects of real exchange-rate volatility on exports of ten EMEs and eleven other developing countries that were not classified as EMEs over our estimation period. We use panel-data sets that cover the periods 1980:Q1-2006:Q4 for the EMEs and 1980:Q1-2005:Q4 for the other developing countries. We use two estimation methods -- generalized method of moments (GMM) estimation and time-varying-coefficient (TVC) estimation. The TVC procedure removes specification biases from the coefficients, revealing the underlying stable parameters of interest. We obtain similar results as previous authors for only the eleven non-EME developing countries we consider. In contrast, our results for the EMEs do not show a negative and significant effect of exchange-rate volatility on the exports of the countries considered. Our findings suggest that the open capital markets of EMEs may have reduced the effects of exchange-rate fluctuations on exports compared with those effects in the cases of other developing countries.
Effects of Exchange Rate Volatility on Non-Traditional Exports in Ghana
Purpose – The government of Ghana has implemented a number of policies to strengthen the production and export of non-traditional products as a way of diversifying exports in Ghana with very little success. Foremost among these policies is the liberalisation of exchange rate. Meanwhile, the exchange rate has been very volatile. The study therefore examines the effects of exchange rate volatility on non-traditional exports in Ghana. Design/Methodology/ approach-This study employed Autoregressive Distributed Lag (ARDL) cointegration estimation technique for the investigation. Findings-The results indicate that exchange rate volatility negatively impacts Ghana's non-traditional exports. Also, the effect is greater in the long run than it is in the short run. Other results also show that world income, growth rate of the economy and Treasury bill rate promote non-traditional exports but real effective exchange rate does not. Originality/ value – The value of the paper lies in the discussion of the short run and long run effects of exchange rate volatility on non-traditional exports in the Ghanaian context.
Exchange rate volatility and export performance: a cointegrated VAR approach
During the last decades Norwegian exporters have-despite various forms of exchange rate targeting-faced a rather volatile exchange rate which may have influenced their behaviour. Recently, the shift to inflation targeting and a freely floating exchange rate has brought about an even more volatile exchange rate. We examine the causal link between export performance and exchange rate volatility across different monetary policy regimes within the cointegrated Vector Autoregression (VAR) framework using the implied conditional variance from a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model as a measure of volatility. Although treating the volatility measure as either a stationary or a nonstationary variable in the VAR, we are not able to find any evidence suggesting that export performance has been significantly affected by exchange rate uncertainty. We find, however, that volatility changes proxied by blip dummies related to the monetary policy change from a fixed to a managed floating exchange rate and the Asian financial crises during the 1990s enter significantly in a dynamic model for export growth-in which the level of relative prices and world market demand together with the level of exports constitute a significant cointegration relationship. A forecasting exercise on the dynamic model rejects the hypothesis that increased exchange rate volatility in the wake of inflation targeting in the monetary policy has had a significant impact on export performance.
Export Growth and Volatility of Exchange Rate: A Panel Data Analysis
EDITORIAL BOARD, 2011
The impact of exchange rate volatility on exports has long been debated in economic literature: some supporting the negative relation whereas others supporting a positive relation. In this backdrop, this study applies a fixed effects model selected on the basis of hausman (1978) specification test to ascertain the impact of exchange rate volatility on exports growth of 16 latin american countries over the period 1980 to 2008. The study finds a negative significant effect of exchange rate volatility on export growth. This finding is consistent with the findings of many earlier studies. The issue can be further explored using intra-regional trade or disaggregated approach i.e. Considering comparative advantage products.