检验汇率波动与出口业绩之间的关系：来自埃及经验的经验证据

Business and Economic Horizons Pub Date : 2018-07-19 DOI:10.15208/BEH.2018.39

Heidi Aly, R. Hosni

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引用次数: 1

摘要

本文调查了1980-2016年期间埃及经济汇率波动与出口绩效之间的关系。GARCH模型的移动平均标准差和条件标准差用于生成两种不同的汇率波动度量。协整结果表明，非石油出口的实际价值（以及总出口量）与GARCH衡量汇率波动性之间存在独特的长期关系。使用向量误差修正模型，发现实际有效汇率的波动对实际出口有显著的负面影响，而实际有效汇率水平本身的影响在统计上并不显著。这些结果产生了相关的政策影响。

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Examining the nexus between exchange rate volatility and export performance: Empirical evidence from the Egyptian experience

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.

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Business and Economic Horizons ECONOMICS-

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期刊介绍： The Business and Economic Horizons (BEH) is an international peer-reviewed journal that publishes high quality theoretical, empirical, and review papers covering the broad spectrum of research in areas of economics, business, management, and finance. The journal aim is to bridge the gap between the theory and the observed data in these constantly developing domains. BEH Editorial Board welcomes the high-quality original research articles and review papers that verify the well-grounded and the emerging theories by employing the econometric, statistical methods or other relevant empirical methods in theoretical and applied economic analysis. BEH does not discriminate articles utilizing the non-mainstream approaches such as experimental research, institutional analysis, other variations of heterodox and developmental economic studies. Therefore, the submissions in any field of micro- and macroeconomics, business ethics, economic policy or finance are appropriate for this journal. We hope, the provided contributions will help to understand the contemporary challenges faced by the private and public sector and will establish an international forum of empirical research.