Exchange rate uncertainty and cereals exports: A panel VAR approach

Palabras clave:

Incertidumbre del tipo de cambio, exportaciones de cereales, datos de panel, vectores auto-regresivos, análisis de conglomerados.

Agencias de apoyo

Comisión Sectorial de Investigación Científica (CSIC) de Uruguay

Resumen

En el presente documento se investiga empíricamente el efecto de la incertidumbre del tipo de cambio en los flujos de exportación de cereales para una amplia muestra de 75 países durante el período 2010/01 - 2016/12. Para ello, primero estimamos la volatilidad del tipo de cambio, y luego, estimamos la demanda de exportación de cereales utilizando un modelo de datos de panel con vectores auto-regresivos (P-VAR). Esta estrategia de análisis se aplica a diferentes grupos de países, que se obtienen mediante un análisis de conglomerados basado en el nivel de volatilidad del tipo de cambio y el volumen de las exportaciones de cereales. Los resultados empíricos sugieren un efecto negativo de la incertidumbre del tipo de cambio en las exportaciones de cereales en aquellos países caracterizados por una alta y persistente volatilidad del tipo de cambio o un elevado volumen de exportaciones de cereales.

Descargas

La descarga de datos todavía no está disponible.

Altmetrics

Biografía del autor/a

Ronald Miranda, Instituto de Economía (Universidad de la República) y Universitat Autònoma de Barcelona.
Asistente de investigación del Instituto de Economía (Universidad de la República) y PhD candidato en Economía Aplicada de la Universitat Autònoma de Barcelona.
Leonel Muinelo-Gallo, Instituto de Economía (Universidad de la República)
Profesor agregado del Instituto de Economía (Universidad de la República)

Citas

Avalos, F. (2014). Do oil prices drive food prices? The tale of a structural break. Journal of International Money and Finance, 42, 253–271. https://doi.org/10.1016/j.jimonfin.2013.08.014

Abrigo, M., & Love, I. (2016). Estimation of panel vector autoregression in STATA: a package of programs (Working paper 201602; 1–28). University of Hawaii. http://paneldataconference2015.ceu.hu/Program/Michael-Abrigo.pdf

Akhtar, M. A., & Hilton, R. S. (1984). Effects of exchange rate uncertainty on German and U.S. trade. Federal Reserve Bank of New York Quarterly Review, 9, 7–16.

Arellano, M., & Bover, O. (1995). Another look at the instrumental variable estimation of error-components models. Journal of Econometrics, 68(1), 29–51. https://doi.org/10.1016/0304-4076(94)01642-D

Arize, A. C., & Malindretos, J. (1998). The long-run and short-run effects of exchange-rate volatility on exports: The case of Australia and New Zealand. Journal of Economics and Finance, 22(2), 43–56. https://doi.org/10.1007/BF02771475

Arize, Augustine C. (1997). Conditional exchange-rate volatility and the volume of foreign trade: Evidence from seven industrialized countries. Southern Economic Journal, 64(1), 235–254. JSTOR. https://doi.org/10.2307/1061049

Arize, Augustine C., Osang, T., & Slottje, D. J. (2008). Exchange-rate volatility in Latin America and its impact on foreign trade. International Review of Economics & Finance, 17(1), 33–44. https://doi.org/10.1016/j.iref.2006.01.004

Bahmani-Oskooee, M., & Hegerty, S. W. (2007). Exchange rate volatility and trade flows: A review article. Journal of Economic Studies, 34(3), 211–255. https://doi.org/10.1108/01443580710772777

Bayar, G. (2018). Estimating export equations: A survey of the literature. Empirical Economics, 54(2), 629–672. https://doi.org/10.1007/s00181-016-1220-3

Bems, R., & Johnson, R. C. 2017. Demand for value added and value-added exchange rates. American Economic Journal: Macroeconomics, 9(4), 45–90. https://doi.org/10.1257/mac.20150216

Bouoiyour, J., & Selmi, R. (2016). A synthesis of the effects of exchange rate volatility on international trade: A meta-regression analysis. International Trade Journal, 30(4), 263. https://doi.org/10.1080/08853908.2016.1194789

Broll, U., & Eckwert, B. (1999). Exchange rate volatility and international trade. Southern Economic Journal, 66(1), 178–185. https://doi.org/10.2307/1060843

Canova, F., & Ciccarelli, M. (2013). Panel vector autoregressive models: A survey. In VAR models in macroeconomics—New development and applications: Essays in honor of Christopher A.

Sims (Vol. 32, pp. 205–246). Emerald Group Publishing Limited.

Census Bureau US. (2011). X-12-ARIMA reference manual, version 0.3 (pp. 1–249). https://www.census.gov/ts/x12a/v03/x12adocV03.pdf

Census Bureau US. (2017). X-13ARIMA-SEATS reference manual, version 1.1. http://www.census.gov/srd/www/x13as/

Cho, G., Sheldon, I. M., & McCorriston, S. (2002). Exchange rate uncertainty and agricultural trade. American Journal of Agricultural Economics, 84(4), 931–942. https://doi.org/10.1111/1467-8276.00044

Chowdhury, A. (1993). Does exchange rate variability depress trade flows ? Evidence from error correction models. The Review of Economics and Statistics, 75(4), 700–706. https://doi.org/10.2307/2110025

Clark, P. B. (1973). Uncertainty, exchange risk, and the level of international trade. Economic Inquiry, 11(3), 302. https://doi.org/10.1111/j.1465-7295.1973.tb01063.x

Coric, B., & Pugh, G. (2010). The effects of exchange rate variability on international trade: A meta-regression analysis. Applied Economics, 42(20), 2631–2644. https://doi.org/10.1080/00036840801964500

Cushman, D. o. (1983). The effects of real exchange rate risk on international trade. Journal of International Economics, 15(1–2), 45–63. https://doi.org/10.1016/0022-1996(83)90041-7

Dawson, P. J. Agricultural exports and economic growth in less developed countries. Agricultural Economics, 33, 145–152. https://doi.org/10.1111/j.1574-0862.2005.00358.x

De Grauwe, P. (1988). Exchange rate variability and the slowdown in growth of international trade. Staff Papers (International Monetary Fund), 35(1), 63–84. https://doi.org/10.2307/3867277

Estrades, C., Flores, M., & Lezama, G. (2017). The Role of Export Restrictions in Agricultural Trade (p. 53). International Agricultural Trade Research Consortium.

Ethier, W. (1973). International trade and the forward exchange market. The American Economic Review, 63(3), 494–503.

Everitt, B. S., & Dunn, G. (2013). Cluster Analysis. In Applied Multivariate Data Analysis (pp. 125–160). John Wiley & Sons, Ltd. https://doi.org/10.1002/9781118887486.ch6

Gevorkyan, A. V. (2019). Exchange market pressure and primary commodity – exporting emerging markets. Applied Economics, 51(22), 2390–2412, https://doi.org/10.1080/00036846.2018.1545077

Giles, J. A. & Williams, C. L. (2000a). Export-led growth: A survey of the empirical literature and some non-causality results. Part 1. Journal of International Trade and Economic Development, 9, 261–337. https://doi.org/10.1080/09638190050086177

Giles, J. A. & Williams, C. L. (2000b). Export-led growth: A survey of the empirical literature and some non-causality results. Part 2. Journal of International Trade and Economic Development, 9, 445–470. https://doi.org/10.1080/096381900750056867

Gotur, P. (1985). Efectos de la inestabilidad de los tipos de cambio en el comercio internacional: Alguna evidencia adicional. Staff Papers, 32(3), 475–512. https://doi.org/10.2307/3866807

Granger, C. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37(3), 424–438. https://doi.org/10.2307/1912791

Grier, K. B., & Smallwood, A. D. (2007). Uncertainty and export performance: Evidence from 18 countries. Journal of Money, Credit and Banking, 39(4), 965–979. https://doi.org/10.1111/j.1538-4616.2007.00053.x

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. https://doi.org/10.1016/j.econmod.2010.01.014

Hooper, P., & Kohlhagen, S. (1978). The effect of exchange rate uncertainty on the prices and volume of international trade. Journal of International Economics, 8(4), 483–511. https://doi.org/10.1016/0022-1996(87)90001-8

Kandilov, I. T. (2008). The effects of exchange rate volatility on agricultural trade. American Journal of Agricultural Economics, 90(4), 1028–1043. https://doi.org/10.1111/j.1467-8276.2008.01167.x

Kang, H. (2015). Agricultural exports and economic growth: Empirical evidence from the major rice exporting countries. Agriculture Economics, 61, 81-87. https://doi.org/10.17221/99/2014-AGRICECON

Kroner, K. F., & Lastrapes, W. D. (1993). The impact of exchange rate volatility on international trade: Reduced form estimates using the GARCH-in-mean model. Journal of International Money and Finance, 12(3), 298–318. https://doi.org/10.1016/0261-5606(93)90016-5

Love, I., & Zicchino, L. (2006). Financial development and dynamic investment behavior: Evidence from panel VAR. The Quarterly Review of Economics and Finance, 46(2), 190–210. https://doi.org/10.1016/j.qref.2005.11.007

Marin, D. (1992). Is the export-led growth hypothesis valid for industrialized countries? The Review of Economics and Statistics, 74(4), 678-688. doi:10.2307/2109382

McKenzie, M. D. (1999). The impact of exchange rate volatility on international trade flows. Journal of Economic Surveys, 13(1), 71–106. https://doi.org/10.1111/1467-6419.00075

Miranda, R., & Mordecki, G. (2019). Real exchange rate volatility and exports: A study for four selected commodity exporting countries. Panoeconomicus, 66(4), 411–437. https://doi.org/10.2298/PAN160927010M

Miranda, R., Muinelo, L., & Mordecki, G. (2020). The impact of exchange rate uncertainty on exports: A panel VAR analysis. Estudios de Economia, 47(2),157–192.

Ozturk, I. (2006). Exchange rate volatility and trade: A literature survey. International Journal of Applied Econometrics and Quantitative Studies, 3(1), 85–102.

Pick, D. H. (1990). Exchange Rate Risk and U.S. Agricultural Trade Flows. American Journal of Agricultural Economics, 72(3), 694–700. JSTOR. https://doi.org/10.2307/1243039

Sanjuán-López, A. I. & Dawson P. J. (2010). Agricultural exports and economic growth in developing countries: A panel cointegration approach. Journal of Agricultural Economics, 61, 565–583. https://doi.org/10.1111/j.1477-9552.2010.00257.x

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. https://doi.org/10.1111/1467-9396.00269

Selmi, R., & Bouoiyour, J. (2014). How does exchange rate uncertainty interact with international trade? A meta-analysis revisited [MPRA Paper]. https://mpra.ub.uni-muenchen.de/56419/

Sercu, P. (1992). Exchange risk, exposure, and the option to trade. Journal of International Money and Finance, 11(6), 579–593. https://doi.org/10.1016/0261-5606(92)90005-I

Serenis, D., & Tsounis, N. (2013). Exchange rate volatility and foreign trade: The case for Cyprus and Croatia. Procedia Economics and Finance, 5, 677–685. https://doi.org/10.1016/S2212-5671(13)00079-8

Situ, J. (2015). The impact of real exchange rate volatility on exports to U.S.: A comparison between developed and export-oriented less developed countries. International Journal of Business and Management, 10(5), 214–221. https://doi.org/10.5539/ijbm.v10n5p214

Vilela, F., & MacDonald, R. (2016). Exchange rate volatility and exports: A panel data analysis. Journal of Economic Studies, 43(2), 203–221. https://doi.org/10.1108/JES-05-2014-0083

Publicado
2021-09-09
Cómo citar
Miranda, R., & Muinelo-Gallo, L. (2021). Exchange rate uncertainty and cereals exports: A panel VAR approach. Revista de Economía Mundial, (59). https://doi.org/10.33776/rem.v0i59.4903