ui̇i̇i̇d Uluslararası İktisadi ve İdari İncelemeler Dergisi 1307-9832 1307-9859 Kenan ÇELİK 10.18092/ulikidince.469174 THE IMPACT OF EXCHANGE RATE VOLATILITY ON EXPORT FLOWS IN DEVELOPING COUNTRIES THE IMPACT OF EXCHANGE RATE VOLATILITY ON EXPORT FLOWS IN DEVELOPING COUNTRIES https://orcid.org/0000-0002-1935-0858 Tumturk Oğuz ORDU ÜNİVERSİTESİ, ÜNYE İKTİSADİ VE İDARİ BİLİMLER FAKÜLTESİ 04 09 2019 23 79 94 10 10 2018 12 31 2018 Copyright © 2008, Uluslararası İktisadi ve İdari İncelemeler Dergisi 2008 Uluslararası İktisadi ve İdari İncelemeler Dergisi

This article investigates the long run impacts of exchange ratevolatilities on export volumes in six developing countries, Turkey, Indonesia,Brazil, Mexico, Poland, and Chile. The exchange rate volatility is estimated byboth ARCH/GARCH and moving sample standard deviation-based volatility proxies.Error correction representation of the long run export model reveals that thereis not cointegration relationship for Brazil, Indonesia, and Chile while theresults support the cointegration relationship for Turkey, Mexico, andPoland. Second, world income is majordeterminant driving export volumes in Turkey, Mexico, and Poland. Third, thereis a significant negative relationship between exchange rate level and exportvolumes in Turkey and Mexico in line with theory. Finally, the measure ofexchange rate volatility carries a significant negative coefficient in the caseof Poland but a significant positive coefficient in the case of Turkey.

.Bu çalışma döviz kuru oynaklığınınihracat akımları üzerindeki uzun dönem etkisini Türkiye, Endonezya, Brezilya,Meksika, Polonya ve Şili gelişmekte olan ülkeleri özelinde incelemektedir.Döviz kuru oynaklığı, hem ARCH/GARCH modeli hem de hareketli standart sapmalarbazlı ölçümlerle elde edilmiştir. Hata düzeltme modeli sonuçları Brezilya,Endonezya ve Şili özelinde bir eşbütünleşme ilşkisinin varlığını tespitedemezken diğer ülkelerde eşbütünleşme ilişkisi bulunmuştur. İkinci olarak, dışdünya gelir düzeyi Türkiye, Meksika ve Polonya’da ihracat akımlarını etkileyenen etkili değişkendir. Üçüncü olarak, Türkiye ve Meksika’da teorik beklentilereuygun şekilde reel döviz kuru düzeyi ile ihracat akımları arasında anlamlınegatif ilişkiler bulunmuştur. Son olarak ise, döviz kuru oynaklığı Polonya’daihracat akımlarını olumsuz etkilerken, Türkiye’de ihracat üzerinde anlamlıpozitif ilişkiler üretmektedir.

 Real exchange rate exchange rate volatility export long run equilibrium Reel Döviz Kuru döviz kuru oynaklığı ihracat uzun dönem denge Akaike, H. (1973). Information Theory and an Extension of the Maximum Likelihood Principle. Second International Symposium on Information Theory, Budapest: Academiai Kiado. Arize, A. C. (1995). The Effects of Exchange-rate Volatility on U.S. Exports: An Empirical Investigation, Southern Economic Journal, 62(1), 34-43. Arize, A.C., Malindretos, J. and Kasibhatla, K.M. (2003). Does Exchange Rate Volatility Depress Flows: The Case of LDCs. International Advances in Economic Research, 9(1), 7–19. Arize, A.C., Osang, T. and Slottje D.J. (2000). Exchange- Rate Volatility and Foreign Trade: Evidence From Thirteen LDCs. Journal of Business & Economic Statistics, 18:1, 10-17. Arize, A.C., Osang, T. and Slottje D.J. (2008). Exchange-rate Volatility in Latin America and Its Impact on Foreign Trade. International Review of Economics and Finance, 17(1), 33–44. Asteriou, D., Masatci, K. and Pilbeam, K. (2016). Exchange Rate Volatility and International Trade: International Evidence from the MINT Countries. Economic Modelling, 58, 133-140. Baek, J., Koo Won, W. (2009). Assessing the Exchange Rate Sensitivity of US Bilateral Agriculture Trade. Canadian Journal of Agriculture Economics, 57, p. 187-203. Bahmani-Oskooee, M. and Gelan, A. (2018). Exchange-rate Volatility and International Trade Performance: Evidence from 12 African Countries. Economic Analysis and Policy, 58, 14-21. Bahmani-Oskooee, M. and Ratha, A. (2004). Dynamics of the US Trade with Developing Countries. Journal of Developing Areas, 37(2), 1-11. Baron, D.P. (1976). Fluctuating Exchange Rates and Pricing of Exports, Economic Inquiry, 14(3), 425-38 Baum, C.F. and Caglayan, M. (2010). On the Sensitivity of the Volume and Volatility of Bilateral Trade Flows to Exchange Rate Uncertainty. Journal of International Money and Finance, 29(1), 79–93. Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroscedasticity. Journal of Econometrics, 31, 307–32. Chowdhury, A. R. (1993). Does Exchange Rate Volatility Depress Trade Flows? Evidence from Error-Correction Model. Review of Economics and Statistics, 75(4), 700-706. De Grauwe, P. (1988). Exchange Rate Variability and the Slowdown in Growth of International Trade, IMF Staff Papers, 35(1), 63-84 Dellas, H. and Zilberfarb, B.Z. (1993). Real Exchange Rate Volatility and International Trade: A Re-Examination of the Theory. Southern Economic Journal, 59(4), 64-647. Dickey, D.A. and Fuller, W.A. (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74, 427–431. Doganlar, M. (2002). Estimating the Impact of Exchange Rate Volatility on Exports Evidence from Asian Countries. Applied Economics Letters, 9, 859–863. Doroodian, K. (1999). Does Exchange Rate Volatility Deter International Trade in Developing Countries? Journal of Asian Economics, 10, 465–474. Ethier, W. (1973). International Trade and the Forward Exchange Market. The American Economic Review, 63(3), 494-503. Engle, R.F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987–1007. Engle, R. F. and Granger, C.W.J. (1987). Co-integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2), 251–276. Franke, G. (1991). Exchange Rate Volatility and International Trading Strategy. Journal of International Money and Finance, 10(2), 292-307. Gagnon, J.E. (1993). Exchange Rate Variability and the Level of International Trade. Journal of International Economics, 34, 269-287. Hall, S., Hondroyiannis, G., Swamy, P.A.V.B., Tavlas, G. and Ulan, M. (2010). Exchange-Rate Volatility And Export Performance: Do Emerging Market Economies Resemble Industrial Countries or Other Developing Countries? Economic Modelling, 27, 1514–1521. Hsieh, D. A. (1989). Modeling Heteroscedasticity in Daily Exchange Rates. Journal of Business and Economic Statistics, 7(3), 307–317. Hooper, P. and Kohlhagen, S. W. (1978). The Effect of Exchange Rate Uncertainty on the Prices and Volume of International Trade. Journal of lnternational Economics, 8, 483-511. Huchet-Bourdon, M. and Korinek, J. (2011). To What Extent Do Exchange Rates and Their Volatility Affect Trade? OECD Trade Policy Papers, No. 119, OECD Publishing, Paris. http://dx.doi.org/10.1787/5kg3slm7b8hg-en Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254 Kenan, P. T. and Rodrik, D. (1986). Measuring and Analyzing the Effects of Short-term Volatility in Real Exchange Rates. Review of Economics and Statistics, 68, 311-315.Kripfganz, S. and Schneider D.C. (2016). ARDL: Stata Module to Estimate Autoregressive Distributed Lag Models. [PowerPoint slides], Retrieved from:https://www.stata.com/meeting/chicago16/slides/chicago16_kripfganz.pdf Kroner, K.F. and Lastrapes, W.D. (1993). The Impact of Exchange Rate Volatility on International Trade: Reduced Form Estimates Using The GARCH-In-Mean Model. Journal of International Money and Finance, 12, 298-318. Mandelbrot, B.B. (1963), The Variation of Certain Speculative Prices. The Journal of Business, 36(4), 394-419. Mckenzie, M.D. (1998). The Impact of Exchange Rate Volatility on Australian Trade Flows. Journal of International Financial Markets, Institutions and Money, 8, 21-38. McKenzie, M.D. and Brooks, R.D. (1997). The Impact of Exchange Rate Volatility on German–US Trade Flows. Journal of International Financial Markets, Institutions and Money, 7, 73–87. Newey, W. K. and West, K.D. (1987). A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica, 55, 703–708. Nicita, A. (2013). Exchange Rates, International Trade and Trade Policies. International Economics, 135–136, 47-61. Perée, E. and Steinherr, A. (1989). Exchange Rate Uncertainty and Foreign Trade, European Economic Review, 33, 1241–1264. Pagan, A and Ullah, A. (1988), The Econometric Analysis of Models with Risk Terms. Journal of Applied Econometrics, 3, 87-105. Pesaran, M. H. and Shin, Y. (1998). An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis. In Econometrics and Economic Theory in the 20th Century. The Ragnar Frisch Centennial Symposium, ed. S. Strøm, chap. 11, 371–413. Cambridge: Cambridge University Press. Pesaran, M.H., Shin, Y. and Smith, R.J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16, 289–326. Phillips, P. C. B. and Perron P. (1988). Testing For a Unit Root in Time Series Regression. Biometrika, 75: 335–346 Pozo, S. (1992). Conditional Exchange Rate Volatility and the Volume of International Trade: Evidence from the Early 1900s. Review of Economics and Statistics, 74(2), 325-329. Rahmatsyah, T., Rajaguru, G. and Siregar, R.Y. (2002). Exchange-Rate Volatility, Trade and “Fixing For Life” In Thailand. Japan and World Economy, 14, 445–470. Ramsey, J. B. (1969). Tests for Specification Errors in Classical Linear Least Squares Regression Analysis. Journal of the Royal Statistical Society, Series B., 31(2), 350–371 Rey, S. (2006). Effective Exchange Rate Volatility and MENA Countries' Exports to the EU. Journal of Economic Development, 31, 23–54. Sauer, C. and Bohara, A.K. (2001). Exchange Rate Volatility and Exports: Regional Differences between Developing and Industrialized Countries. Review of International Economics, 9(1), 133–152. Schwarz, G.E. (1978). Estimating the Dimension of a Model. Annals of Statistics, 6(2): 461–464 Shapiro, S. S. and Wilk M. B. (1965). An Analysis of Variance Test for Normality (Complete Samples). Biometrika, 52, 591–611. Simsek, M. and Kadılar, C. (2006). Döviz Kurundaki Değişkenliğin Türkiye’nin İhracatına Uzun Dönemli Etkisi. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 24(1), 45-68. Viaene, J.M. and De Vries, C.G. (1992). International Trade and Exchange Rate Volatility. European Economic Review, 36(6), 1311-1321. Wang, K.L. and Barrett, C.B. (2007). Estimating the Effects of Exchange Rate Volatility on Export Volumes. Journal of Agricultural and Resource Economics, 32(2), 225-255. Westerfield, J. (1977). An Examination of Foreign Exchange Risk under Fixed and Floating Rate Regimes. Journal of International Economics, 7(2), 181-200. White, H. (1980). A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity. Econometrica. 48 (4): 817–838 Wolf, A. (1995). Import and Hedging Uncertainty in International Trade. Journal of Futures Markets, 15, 101-110.