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
Date Written: 2011
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: Suggested Citation