Real Exchange Rate Volatility And Its Effect On Trade Flows: New Evidence From South Africa

P Takaendesa · T Tsheole · Meshach Jesse Aziakpono

28 citations0/0 files storedStudies in Economics and Econometrics

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Global trade and economics Monetary Policy and Economic Impact Financial Risk and Volatility Modeling

Abstract

This paper empirically re-examines the impact of real exchange rate volatility on South Africa's export flows to the United States for the period 1992:1 - 2004:4, using the two-country model of international trade. The exponential generalised autoregressive conditional heteroscedasticity (EGARCH) model is used to measure real exchange rate volatility. Cointegration and error- correction models are used to obtain the estimates of the cointegrating relations and the short-run dynamics, respectively. Further, variance decomposition analysis is used to show the dynamic adjustments of real exports to shocks in the fundamentals and the proportion thereof. The results obtained in this paper summarily provide evidence that real exchange rate volatility has a negative effect on real exports.

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References

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2020Asymmetric effect of exchange rate volatility on trade in sub-Saharan African countries 2015The impact of exchange rate volatility on emerging market exports 2015DIŞ TİCARETİN DÖVİZ KURU DEĞİŞİMLERİNE DUYARLILIĞI: TÜRKİYE ÜZERİNE BİR İNCELEME 2019Türkiye Ekonomisinde Döviz Kuru Oynaklığının Dış Ticaret Üzerindeki Etkisinin Analizi 2014The relationship between the exchange rate and the trade balance in South Africa

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