Contents of the volume

2017, Volume 70 - Issue 3

ISSN: 2499-8265
RSS feed citation: At RePEc
Publication date: 01 August 2017

ASYMMETRIC EFFECT OF REAL EXCHANGE RATE VOLATILITY ON AGRICULTURAL PRODUCTS EXPORT: A CASE STUDY

Otse F. Alegwu, Benjamin C. Asogwa, Goodness C. Aye

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FACTORS INFLUENCING INTER-REGIONAL LIVING-COST DIFFERENTIALS: PANEL DATA ANALYSIS FOR THE CASE OF THE U.S.

Richard Cebula, John CONNAUGHTON , Caroline SWARTZ

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HOW MUCH INEQUALITY IS HARMFUL FOR GROWTH? THE GROWTH MAXIMIZING RATE OF INEQUALITY IN THE CONTEXT OF THE MEXICAN ECONOMY

Jorge Charles-Coll, Elisabeth L. MAYER-GRANADOS

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PROCYCLICAL TENDENCIES IN A SMALL OIL EXPORTER

Roger Hosein, Isaac DIALSINGH, Jaymieon JAGESSAR

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WHEN IS LOWER INFLATION LESS STABLE? EVIDENCE FROM EIGHT DEVELOPING ECONOMIES

Georgios Karras

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INDIA'S BURGEONING FOOD SUBSIDIES: HOW MUCH CAN WE BLAME THE FOOD CORPORATION OF INDIA?

Swaha Shome, Mala Lalvani

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ACHIEVING SUSTAINABLE ECONOMIC GROWTH AND DEVELOPMENT IN COMMUNITIES ACROSS THE UNITED STATES

Oluwole Owoye, Olugbenga A. Onafowora

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Genoa Chamber of Commerce
Economia Internazionale / International Economics

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Corresponding author

Otse F. ALEGWU, Department of Agricultural Economics, University of Agriculture, Makurdi, Nigeria

Co-authors

Benjamin C. ASOGWA, Department of Agricultural Economics, University of Agriculture, Makurdi, Nigeria

Goodness C. AYE, Department of Agricultural Economics, University of Agriculture, Makurdi, Nigeria

Asymmetric Effect of Real Exchange Rate Volatility on Agricultural Products Export: A Case Study

Pages

261-279

Abstract

This paper investigates the asymmetric effects of real exchange rate volatility on agricultural products export using Nigeria as a case study. Annual time series data covering between 1970 and 2013 were used. Real exchange rate volatility is measured using GARCH (1, 1) and subsequently the VAR model was used for analyzing the relationship. This paper through the Augmented Dickey-Fuller (ADF) and Philip Perron (PP) unit root tests confirm that all variables were stationary in their first difference. Asymmetric effects test based on the Wald statistic shows that with exception of cotton exports, the effects of real exchange rate volatility shock during appreciation and depreciation on cocoa, coffee and rubber exports are significantly different. In particular, the study revealed that in Nigeria, real exchange rate volatility have significant effects on agricultural products export negative or positive in periods of appreciation or depreciation but the magnitude of the effect during appreciation or depreciation differ depending on the export product.

JEL classification

C32, F10, F14, F31

Keywords

Real Exchange Rate Volatility, Asymmetry, Agricultural Products Export, Appreciation, Depreciation

Index

1. Introduction
2. Literature review
3. Data and empirical models
4. Empirical results and discussion
5. Conclusion and policy implication 

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