Real exchange rate volatility and exports: A study for four selected commodity exporting countries

Commodity exports depend on global demand and prices, butthe increasing  volatility of realexchange rates (RER) introduces an additional factor. Thus, this paperstudies the RER volatility dynamics, estimated through GARCH and IGARCHmodels for Brazil, Chile, New Zealand, and Uruguay from 1990 to 2013. Westudy the impact of RER volatility on total exports using Johansen'smethodology, including proxies for global demand and internationalprices. The results suggest that exports depend positively on global demand andinternational prices for all countries; however, conditional RERvolatility resulted significant and negative only for Uruguay, in theshort and long run.