20 Years of Arnoldshain Seminar
“20 Years of Challenges for Integration, Globalization, and Development”
September 14 – 18, 2015
Frankfurt and Arnoldshain / Taunus

Mordecki, Gabriela    
AbstracttitleImpact of real exchange rate volatility on exports: A comparative study 1990-2013
Coco-authored with Ronald Miranda
ShortabstractRaw materials exports of exporting countries depend on global demand and prices, but the increasing volatility of real exchange rates (RER) introduces an influence which impact varies according to the situation. Thus, this paper studies the dynamics of RER volatility, 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 analysis of impulse response functions, including also 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.