Effective Exchange Rate Volatility and MENA Countries' Exports to the EU

다국어 초록 (Multilingual Abstract)

This paper investigates the impact of nominal and real effective exchange rate volatility on exports of six Middle Eastern and North Africa (MENA) countries to 15 member countries of the European Union (EU), for the period 1970Q1-2002Q4. Moving average standard deviation and conditional standard deviation at ARCH model are used to generate four different measures of volatility for each country. The cointegration results indicate a significant relationship, negative for four countries (Algeria, Egypt, Tunisia, and Turkey), positive for the last two (Israel and Morocco), between MENA exports and exchange rate volatility. The short run dynamics, using an error correction model, shows that the Granger – causality effects of the volatility on real exports are significant, whereas the effects of real exchange rate and the gross domestic product of EU are more contrasted. Indications on appropriate exchange rate regime are derived from these results.

참고문헌 (Reference)

1 "？The Econometric Analysis of Models with Risk Terms ？ Journal of Ap" 1988

2 "？Testing the Null Hypothesis of Stationarity Against the AThat Economic Time Series Have a Unit Root ？ Journal of econometrics" 159-78, 1992

3 "？Symptoms of an OveBelgium Franc ？ in De Cecco ed." North-Holland 1983

4 "？Modeling Persistence in Conditional Variances" 51-56, 1986

5 "？Effects of Exchange Rate Volatility on Trade" 475-512, 1985

6 "？Does Exchange Rate Volatility Depress Trade Flows? Evidence from Error-Correction Model" 1993

7 "？ Bank of Canada Working Paper" 1994

8 "the Prices and Volume of International Trade" 8 (8):

9 "of Turkey" the Central Bank of the Republic of Turkey (March) :

10 "and the Level of International Trade" 302-313, 1973

11 "Why is it so Difficult to Find Trade" (23) : 817-839, 2004

12 "Volatility in Natural Gas and Oil Markets" Massachusetts Institute of Technology (03/12) : 2003

13 "The Impact of Exchange Rate Volatility on Australian Trade Flows" Institutions and Money (8) : 21-38, 1997

14 "The Impact of Exchange Rate Volatilit German-US Trade Flows Bank of the Republic of Turkey." Institutions and Money 7 : 1997

15 "The Economics of Monetary Integration" Oxford University Press. 1994

16 "The Decline of Traditional Sectors in Israel The Role of the SERGE REY 52 Exchange Rate and the Minimum Wage" (167) : 1998

17 "Stochastic Optimal Control" Oxford University Press. 2006

18 "Statistical Analysis of Cointegration Vectors" 1998

19 "Should MENA Countries Float or Peg" Finance and D 2003

20 "Real Exchange Rate and Economic Growth: Evidence from Egypt Jordan Morocco and Tunisia" 1999

21 "Nonlinear Structural Models" 4 : 653-665,

22 "Nonlinear Effects of Exchange Rate Volatility on the Volume of Bilateral Expo" 19 (19): 1-23, 2004

23 "Impact of Exchange Rate Volatility on Indonesia？s Trade Performance in the 1990s" (18) : 218-240, 2004

24 "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics" 15 (15): 2001

25 "Exchange-Rate Management and Manufactured Exports in SSaharan Africaub-" OECD Development Center 1998

26 "Exchange rate misalignme measurement for developing countries" Oxford University Press 1999

27 "Exchange Rate Volatility in Turkey and its Effect on Trade Flows" 2002

28 "Exchange Rate Volatility in Latin America and its Impact on Foreign Trade" (September) : 2005

29 "Exchange Rate Volatility and Trade Flows - Some New Evidence" 2004

30 "Exchange Rate Volatility and International Trade: A General Equilibrium Analysis" 2003

31 "Exchange Rate Volatility and Exports in South Africa" South Afric 2005

32 "Exchange Rate Policy in Developing Countries" MIT Press. 1989

33 "Euro: our currency" 2006

34 "Choosing Exchange Regimes in the Middle East and North Africa" IMF publication 2003

35 "CATS in RATS manual Cointegration Analysis of Time Series" University of Cope cointegration analysis of time series : 1995

36 "Are Exports a Monotonic Function of ExchangeJournal of Economics" 2006

37 "A de Facto Classification of Exchange Rate Regimes: A Methodological Note" Universidad Torcuato Di Tella 2002