Real exchange rate volatility and exports: A study for four selected commodity exporting countries

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. Volatilnost realnog deviznog kursa i izvoz: studija o cetiri odabrane zemlje izvoznice robe Robni izvoz zavisi od globalne tražnje i cena, ali sve veca volatilnost realnih deviznih kurseva (RER) predstavlja dodatni faktor. U radu se proucava dinamika volatilnosti RER-a, ocenjena kroz GARCH i IGARCH model za Brazil, Cile, Novi Zeland i Urugvaj od 1990. do 2013. Ispitujemo uticaj nestabilnosti RER-a na ukupni izvoz primenom Johansenove metodologije, uvođenjem vestackih promenljivih za globalnu tražnju i međunarodne cene. Rezultati sugerisu da izvoz pozitivno zavisi od globalne tražnje i međunarodnih cena za sve zemlje; međutim, uslovna volatilnost RER-a bila je znacajna i negativna samo za Urugvaj, u kratkom i dugom roku. Kljucne reci: Izvoz, realni devizni kurs, GARCH, kointegracija.