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Corresponding Author:
Friday O. Alegwu, Department of Agricultural Economics, University of Agriculture, Makurdi, Nigeria

Corresponding Coauthors:
Goodness C. Aye, Department of Agricultural Economics, University of Agriculture, Makurdi, Nigeria
Benjamin C. Asogwa, Department of Agricultural Economics, University of Agriculture, Makurdi, Nigeria

Asymmetric Effect of Real Exchange Rate Volatility on Agricultural Products Export: A Case Study

(pp. 261-279)
JEL classification: C32, F10, F14, F31
Keywords: Real Exchange Rate Volatility, Asymmetry, Agricultural Products Export, Appreciation, Depreciation

Abstract

This paper investigates the asymmetric effects of real exchange rate volatility on agricultural products export using Nigeria as a case study. Annual time series data covering between 1970 and 2013 were used. Real exchange rate volatility is measured using GARCH (1, 1) and subsequently the VAR model was used for analyzing the relationship. This paper through the Augmented Dickey-Fuller (ADF) and Philip Perron (PP) unit root tests confirm that all variables were stationary in their first difference. Asymmetric effects test based on the Wald statistic shows that with exception of cotton exports, the effects of real exchange rate volatility shock during appreciation and depreciation on cocoa, coffee and rubber exports are significantly different. In particular, the study revealed that in Nigeria, real exchange rate volatility have significant effects on agricultural products export negative or positive in periods of appreciation or depreciation but the magnitude of the effect during appreciation or depreciation differ depending on the export product.


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Institute for International Economics
of the Genoa Chamber of Commerce


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