Refk Selmi

Exchange volatility and export performance in Egypt: New insights from wavelet decomposition and optimal GARCH model

To assess the link between exchange rate uncertainty and exports performance in Egypt, this article relies on an optimal GARCH model chosen by information criteria among decomposed series on a scale-by-scale basis (wavelet decomposition). The observed outcomes reveal that this relationship depends intensely on the frequency-to-frequency variation and slightly on the leverage effect and switching regime. Indeed, it is well shown that at the low frequency, the coefficient associated to exchange rate volatilitys effect on exports is greater than that at the high frequency and conversely when subtracting energys share. We attribute the apparently conflicting results to the co-movement between energy prices and those of other commodities, the excessive speculation and the composition of trade partners.

Exchange volatility and trade performance in Morocco and Tunisia: what have we learned so far?

This paper attempts to assess two interesting issues for two small open economies (Morocco and Tunisia). First, it analyses the historical behaviour of nominal exchange rate, differential price and real exchange rate uncertainties. Second, it investigates the stability of the interaction between exchange volatility and exports in nominal and real terms. Our main results reveal that the effect of differential price volatility on exports exceeds that of nominal exchange rate by a large margin in terms of duration of persistence, ARCH and GARCH effects and intensity of shock. The relationship appears complex. In Morocco, it is negative and significant in 75.82% (as average) of cases in nominal terms and in 77.22% in real terms. This link is stronger in Tunisia with averages, respectively, equal to 85.88% and 89.99%. We associate the apparently mixed results to the differential price uncertainty itself sensitive to ups and down oil price movements, switching regime and leverage effects.

GCC countries and the nexus between exchange rate and oil price: What wavelet decomposition reveals?

We employ wavelet decomposition and nonlinear causality test to investigate the nexus between the real oil price and the real effective exchange rate in three GCC countries: Qatar, Saudi Arabia and UAE. We find strong evidence in favour of a feedback hypothesis in Qatar and UAE and of a neutrality hypothesis in Saudi Arabia. The first observation outcome means that Qatar and UAE should reinforce the downward effect of oil price on real exchange rate by improving diversification policy. The second one implies that the behaviour of Saudi Arabia as a price taker may allow it to maintain a quick recovery under oil shocks.

Testing for Frequency Causality between Oil Price and BRICS Stock Markets: A Comparative Analysis

This article explores the strength and extent of causal relationship between BRICS (Brazil, Russia, India, China and South Africa) stock returns and real oil price using frequency domain approach of Breitung and Candelon (2006). This technique offers an appropriate alternative tool by investigating the causality in frequency domain, while standard causality tests focus only on the time domain. Using 1998-2015 quarterly data, we show that the impact of oil price on stock returns is not uniform across the investigated countries. Even though the slowly (quickly) fluctuating components of oil price exert a significant influence on real stock returns in Brazil and Russia (India and South Africa), medium and long term hidden factors were found as potential contributors of Chinese share market. The oil dependence profile, the distribution of market share between companies, the financial system efficiency and the effectiveness of regulation in securities markets have been offered to explain the heterogeneous responses of BRICS equities.

A Synthesis of the Effects of Exchange Rate Volatility on International Trade: A Meta-Regression Analysis

ABSTRACT This article surveys literature that investigates the effects of exchange rate volatility on international trade. We perform meta-regression analysis on 41 studies with 807 estimates. We show that the empirical works exhibit substantial publication selection and show a significant genuine exchange rate volatility effect on trade flows after correction of publication bias. In addition, the literature reveals a pronounced heterogeneity with respect to model specifications, samples, time horizons, and countries’ characteristics. These findings are supported by separate assessment of primary studies with, respectively, total exports and sectoral exports as the dependent variable.