2017, Volume 70 - Issue 3
RSS feed citation: At RePEc
Publication date: 01 August 2017
ASYMMETRIC EFFECT OF REAL EXCHANGE RATE VOLATILITY ON AGRICULTURAL PRODUCTS EXPORT: A CASE STUDYRead the article
FACTORS INFLUENCING INTER-REGIONAL LIVING-COST DIFFERENTIALS: PANEL DATA ANALYSIS FOR THE CASE OF THE U.S.Read the article
HOW MUCH INEQUALITY IS HARMFUL FOR GROWTH? THE GROWTH MAXIMIZING RATE OF INEQUALITY IN THE CONTEXT OF THE MEXICAN ECONOMYRead the article
PROCYCLICAL TENDENCIES IN A SMALL OIL EXPORTERRead the article
WHEN IS LOWER INFLATION LESS STABLE? EVIDENCE FROM EIGHT DEVELOPING ECONOMIESRead the article
INDIA'S BURGEONING FOOD SUBSIDIES: HOW MUCH CAN WE BLAME THE FOOD CORPORATION OF INDIA?Read the article
Otse F. ALEGWU, Department of Agricultural Economics, University of Agriculture, Makurdi, Nigeria
Benjamin C. ASOGWA, Department of Agricultural Economics, University of Agriculture, Makurdi, Nigeria
Goodness C. AYE, Department of Agricultural Economics, University of Agriculture, Makurdi, Nigeria
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.
C32, F10, F14, F31
Real Exchange Rate Volatility, Asymmetry, Agricultural Products Export, Appreciation, Depreciation
2. Literature review
3. Data and empirical models
4. Empirical results and discussion
5. Conclusion and policy implication
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