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International Financial Volatility and Commodity Exports: Evidence from the Thai Agricultural Sector
Author(s) -
May Justin B.
Publication year - 2010
Publication title -
american journal of agricultural economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.949
H-Index - 111
eISSN - 1467-8276
pISSN - 0002-9092
DOI - 10.1093/ajae/aap033
Subject(s) - volatility (finance) , economics , agriculture , foreign exchange , exchange rate , monetary economics , commodity , volatility swap , econometrics , implied volatility , finance , ecology , biology
Using 1981–2006 data from the Bank of Thailand, I estimate the effect of four measures of real exchange rate volatility on Thai exports of five key agricultural commodities, controlling for both the level of the real exchange rate and foreign incomes. Estimates of the effect of volatility on export volume are generally negative and often significant, lending support to a range of theoretical models that predict such an effect. No such relationship exists between lagged values of exchange rate volatility and agricultural production. The range of results obtained using various measures of volatility suggests caution in comparing studies using different measures.