Munich Personal RePEc Archive

Exchange Volatility and Export Performance in Egypt: New Insights from Wavelet Decomposition and Optimal GARCH Model

Bouoiyour, Jamal and Selmi, Refk (2013): Exchange Volatility and Export Performance in Egypt: New Insights from Wavelet Decomposition and Optimal GARCH Model. Forthcoming in: The Journal of International Trade & Economic Development (2014)

This is the latest version of this item.

[img]
Preview
PDF
MPRA_paper_50589.pdf

Download (1MB) | Preview

Abstract

This paper assesses the link between exchange volatility and exports in Egypt by combining wavelet analysis with an optimal GARCH model chosen among various extensions. The observed outcomes reveal that this relationship is complex and depends then widely to frequency-to-frequency variation and slightly to leverage effect and to switching regime. Indeed, it is well shown that at the low frequency, the coefficient associated to exchange rate volatility’s effect on trade performance is more intense than that at the high frequency and conversely when subtracting energy share from the total of exports. We attribute the apparently conflicting results to the financial speculation, the composition of trade partners and the choice of reference basket’s currencies.

Available Versions of this Item

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.