Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
2018 | vol. 14, iss. 3 | 542--560
Tytuł artykułu

Examining the Nexus Between Exchange Rate Volatility and Export Performance: Empirical Evidence from the Egyptian Experience

Warianty tytułu
Języki publikacji
This paper investigates the relationship between exchange rate volatility and export performance of the Egyptian economy for the period (1980-2016). Moving average standard deviation and conditional standard deviation from GARCH model are used to generate two different measures of exchange rate volatility. The co-integration results indicate the existence of a unique long-run relationship between the real value of non-petroleum exports (as well as the volume of total exports) and the GARCH measure of exchange rate volatility. Using a Vector Error Correction Model, it is found that the volatility of the real effective exchange rate has a significant negative effect on real exports, whereas the effect of the level of real effective exchange rate itself, is not found to be statistically significant. Relevant policy implications are derived from these results. (original abstract)
Opis fizyczny
  • Cairo University, Egypt
  • Cairo University, Egypt
  • Abdel-Khalek, G. (2001). Stabilization and adjustment in Egypt: Reform or de-industrialization, Edward Elgar Publishing, UK.
  • Ahmed, I. (2012). Effect of exchange rate regime of Egyptian Pound against US Dollar on price index and inflation rates for consumers and producers basket of livestock goods. The Business and Management Review, 3(1), 233-238.
  • Alam, S., Ahmed, Q. M., & Shahbaz, M. (2017). Exchange rate volatility and Pakistan's exports to major markets: A sectoral analysis. Global Business Review, 18(6), 1507-1519.
  • Altintas, H., Cetin, R., & Oz, B. (2011). The impact of exchange rate volatility on Turkish export: 1993-2009. South East European Journal of Economics and Business, 6(2), 67-78.
  • Al-Mashat, R. (2008). Monetary policy in Egypt: A retrospective and preparedness for inflation targeting (ECES Working Paper No. 134). Retrieved May 10, 2018, from Publication.aspx?Id=18
  • Al-Mashat, R., & Billmeier, A. (2008). The monetary transmission mechanism in Egypt (ERF Working Paper No. 411). Retrieved May 10, 2018, from
  • Arize, A., Osang, T., & Slottje, D. (2000). Exchange rate volatility and foreign trade: Evidence from thirteen LDCs. Journal of Business and Economic Statistics, 18(1), 10-17.
  • Baak, S. J., Al-Mahmood, M. A., & Vixathep, S. (2007). Exchange rate volatility and exports from East Asian countries to Japan and the USA. Applied Economics, 39(8), 947-959.
  • Bahmani-Oskooee M., Iqbal, J. and Salam, M. (2016). Short run and long run effects of exchange rate volatility on commodity trade between Pakistan and Japan. Economic Analysis and Policy, 52, 131-142.
  • Calvo, G., & Reinhart, C. (2000). Fear of floating (NBER Working Paper No. W7993). National Bureau of Economic Research.
  • Central Bank of Egypt. Annual report, Various issues. Website:
  • Central Bank of Egypt. (2015/2016). Economic Review, 56(4). Retrieved may 15, 2018, from
  • Chit, M. M., Rizov, M., & Willenbockel, D. (2010). Exchange rate volatility and exports: New empirical evidence from the emerging East Asian economies. The World Economy, 33(2), 239-263.
  • Chit, M. M. (2008). Exchange rate volatility and exports: Evidence from the ASEAN-China Free Trade Area. Journal of Chinese Economic and Business Studies, 6(3), 261-277.
  • De Grauwe, P. (1988). Exchange rate variability and the slowdown in growth of international trade. International Monetary Fund Staff Papers, 35(1), 63-84.
  • Demirhan, E., & Demirhan, B. (2015). The dynamic effect of exchange-rate volatility on Turkish exports: Parsimonious error-correction model approach. PANOECONOMICUS, 62(4), 429-451.
  • Doganlar, M. (2002). Estimating the impact of exchange rate volatility on exports: Evidence from Asian Countries. Applied Economics Letters, 9(13), 859-863.
  • Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987-1007.
  • Fischer, S. (2001). Exchange rate regimes: Is the bipolar view correct? In: Distinguished lecture on economics in government: Meetings of the American Economic Association.
  • Fleissig, A., & Grennes, T. (1994). The real exchange rate conundrum: The case of Central America. World Development, 22(1), 115-128.
  • Fountas, S., & Bredin, D. (1998). Exchange rate volatility and exports: the case of Ireland. Applied Economics Letters, 5(5), 301-304.
  • Galal, A. (2003). To float or not to float: That is no longer the question for Egypt (ECES Policy Viewpoint, 13).
  • Hall, S., Hondroyiannis, G., Swamy, P. A. V. B., Tavlas, G., & Ulan, M. (2010). Exchange-rate volatility and export performance: Do emerging market economies resemble industrial countries or other developing countries?., Economic Modelling, 27(6), 1514-1521.
  • Hassan, M. (2003). Can monetary policy play an effective role in Egypt (ECES Working Paper No. 84).
  • Handy, H. (2001). Monetary policy and financial sector reform in Egypt: The record and the challenges ahead (Working Paper No. 51). Egyptian Center for Economic Studies.
  • Hosni, R. (2015). An assessment of the real exchange rate misalignment in Egypt: A structural VAR approach. Applied Economics and Finance, 2(3), 37-50.
  • Hondroyiannis, G., Swamy, P.A.V.B., Tavlas, G., & Ulan, M. (2008). Some further evidence on exchange-rate volatility and exports. Review of World Economics, 144(1), 151-180.
  • Hussein, K., & Nos'hy, A. (2000). What caused the liquidity crisis in Egypt?, International Center for Economic Growth (ICEG).
  • Isard, P. (2007). Equilibrium exchange rates: Assessment methodologies, IMF Working Paper No. 296 (Washington: International Monetary Fund).
  • Hayakawa, K., & Kimura, F. (2009). The effect of exchange rate volatility on international trade in East Asia, Journal of the Japanese and International Economies, 23(4), 395-406.
  • Khodeir, A. N. (2012). Towards inflation targeting in Egypt: The relationship between exchange rate and inflation, South African Journal of Economic and Management Sciences, 15(3), 325-332.
  • Mead, D. (2014). Analyzing alternatives to export price indexes. Beyond the Numbers, 3(27), U.S. Bureau of Labor Statistics.
  • McKenzie, M. D. (1997). ARCH modelling of Australian Bilateral Exchange Rate Data. Applied Financial Economics, 7(2), 147-164.
  • McKenzie, M. D. (1999), The Impact of Exchange rate volatility on international trade flows. Journal of Economic Surveys, 13(1), pp. 71-106.
  • Moursi, T., El Mossallamy, M., & Zakareya, E. (2007). Effects of some recent changes in the Egyptian monetary policy: Measurement and evaluation, ECES Working Paper No. 122.
  • Moursi, T., & El Mossallamy, M. (2010). Monetary policy response to exchange rate movements: The case of Egypt, ECES Working Paper No. 158.
  • Noureldin, D. (2008). Relative price adjustment and inflation dynamics: The case of Egypt,, ECES Working Paper No. 133.
  • Onafowra, O. A., & Owoye, O. (2008). Exchange rate volatility and export growth in Nigeria. Applied Economics, 40(12), 1547-1556.
  • Panizza, U. (2001). Macroeconomic policies in Egypt: An interpretation of the past and options for the future, ECES Working Paper No. 61.
  • Pino, G., Tas, D., & Sharma, S. C. (2016). An investigation of the effects of exchange rate volatility on exports in East Asia. Applied Economics, 48(26), 2397-2411.
  • Rahman, S., & Serletis A. (2009). The effects of exchange rate uncertainty on exports. Journal of Macroeconomics, 31(6), 500-507.
  • Raddatz, C. (2008). Exchange rate volatility and trade in South Africa. The World Bank Development Research Group, Macroeconomics and Growth Team, Washington, DC.
  • Ramli, N. & Podivinsky, Jan. M. (2011). The effects of exchange rate volatility on exports: Some new evidence for regional ASEAN countries, The Economic and Social Data Service (ESDS), International Annual Conference Institute of Materials, London.
  • Ramzan, S., Ramzan, S. & Zahid, F.M. (2012). Modeling and forecasting exchange rate dynamics in Pakistan using ARCH family of models. Journal of Applied Statistical Analysis, 5(1), 15-29.
  • Rey, S. (2006). Effective exchange rate volatility and MENA countries' exports to the EU. Journal of Economic Development, 31(2), 23-54.
  • Sauer, C., & Bohara, A. K. (2001). Exchange rate volatility and exports: Regional differences between developing and industrialized countries. Review of International Economics, 9(1), 133-152.
  • Selim, H. (2012). Has Egypt's exchange rate policy changed after the float? Middle East Development Journal, 4(1), 1-27.
  • Sharaf, M. F. (2015). Inflation and inflation uncertainty revisited: Evidence from Egypt. Economies, 3(3), 128-146.
  • Usman, S., & Aliyu, R. (2010). Exchange rate volatility and export trade in Nigeria: An empirical investigation. Applied Financial Economics, 20(13), 1071-1084.
  • Vieira, F. V., & MacDonald, R. (2016). Exchange rate volatility and exports: A panel data analysis. Journal of Economic Studies, 43(2), 203-221.
  • Weerasekera, Y. M. W. B. (1992). Nominal and real effective exchange rates for the SEACEN countries (Staff Paper No. 42). The South East Asian Central Banks Research and Training Center.
  • Wong, H. T. (2016). Exchange rate volatility and bilateral exports of Malaysia to Singapore, China, Japan, the USA and Korea. Empirical Economics, 53(2), 459-492
Typ dokumentu
Identyfikator YADDA

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.