The Impact of Dollar-Rand Volatility on U.S. Exports to South Africa

International Journal of Business and Finance Research, Vol. 5, No. 3, pp. 73-85, 2011

13 Pages Posted: 7 Jul 2011

See all articles by E. M. Ekanayake

E. M. Ekanayake

Bethune-Cookman University

Ranjini L. Thaver

Stetson University

Date Written: 2011

Abstract

This study investigates the effects of exchange rate volatility on the top ten categories of exports by the United States to South Africa over a 20-year period from January 1990 to December 2009. The paper uses several measures of volatility to generate a measure of exchange rate volatility, which is then tested in a model of U.S. exports to South Africa. We employ sectoral trade data at the 2-digit HS level to evaluate these effects on the top ten individual commodities traded. Utilizing bounds testing cointegration, we estimate the short- and long-run impact of exchange-rate volatility on the US exports to South Africa. Our results suggest that while the effects of exchange rate volatility on exports is mixed in the short-run, in the long-run, exchange rate volatility exerts a negative effect on the U.S. exports to South Africa.

Keywords: exchange rates, volatility, exports, ARDL bounds testing, South Africa

JEL Classification: F14, F31

Suggested Citation

Ekanayake, E. M. and Thaver, Ranjini L., The Impact of Dollar-Rand Volatility on U.S. Exports to South Africa (2011). International Journal of Business and Finance Research, Vol. 5, No. 3, pp. 73-85, 2011, Available at SSRN: https://ssrn.com/abstract=1879422

E. M. Ekanayake (Contact Author)

Bethune-Cookman University ( email )

Ranjini L. Thaver

Stetson University ( email )

421 N Woodland Blvd
Deland, FL 32724
United States
386.822.7573 (Phone)
386.822.7569 (Fax)

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