The controversial link between exchange rate volatility and exports: Evidence from Tunisian case
作者： Refk Selmi , Jamal Bouoiyour
DOI:
关键词: Leverage effect 、 Autoregressive conditional heteroskedasticity 、 Nominal terms 、 Monetary economics 、 Long memory 、 Volatility (finance) 、 Exchange rate volatility 、 Economics 、 Exchange rate
摘要: This paper tries to revisit the interaction between exchange uncertainty and exports in Tunisian case. By using various GARCH extensions (i.e. Standard GARCH, Integrated Exponential Weighted GARCH) we show that effect of returns on changes depends time varying low high volatility real terms either structural breaks or shifts) leverage good bad news) nominal terms. Our results also reveal all considered links are highly persistent, which means a great tendency long memory process.
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