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[경제] Effective Exchange Rate Volatility and MENA Countries' Exports to the EU

아프리카ㆍ중동 일반 국내연구자료 기타 Serge Rey Journal of Economic Development 발간일 : 2006-12-31 등록일 : 2017-08-11 원문링크

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This paper investigates the impact of nominal and real effective exchange rate volatility on exports of six Middle Eastern and North Africa (MENA) countries to 15 member countries of the European Union (EU), for the period 1970Q1-2002Q4. Moving average standard deviation and conditional standard deviation at ARCH model are used to generate four different measures of volatility for each country. The cointegration results indicate a significant relationship, negative for four countries (Algeria, Egypt, Tunisia, and Turkey), positive for the last two (Israel and Morocco), between MENA exports and exchange rate volatility. The short run dynamics, using an error correction model, shows that the Granger – causality effects of the volatility on real exports are significant, whereas the effects of real exchange rate and the gross domestic product of EU are more contrasted. Indications on appropriate exchange rate regime are derived from these results.

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