This paper attempts to assess empirically the short-run dynamic between commodity price uncertainty and manufactured exports in Morocco and Tunisia. To this end, we propose a novel model Component with Multiple Threshold-GARCH (CMT-GARCH) that extends Weighted-GARCH of Bauwens and Storti (2008)....

This paper assesses the link between exchange volatility and exports in Egypt by combining wavelet analysis with an optimal GARCH model chosen among various extensions. The observed outcomes reveal that this relationship is complex and depends then widely to frequency-to-frequency variation and...

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...

This study addresses the robustness of the connection between exchange rate uncertainty and Tunisia’s exports along several econometric methods, acknowledging the complexity of this relationship. To this end, we apply conventional methods (OLS by threshold, instrumental variable by threshold...

The core focus of this paper is to analyze the dynamic interactions between changes in exchange rate (nominal and real terms) and exports to GDP ratio in Russia. To this end, we apply a new approach based on a time varying dynamic coherence function, called, evolutionary co-spectral analysis....

Several factors have been highlighted to explain the controversial effect of exchange rate uncertainty on international trade. However, the empirical evidence is rather mixed. The main focus of this paper is to reconcile the apparently conflicting results from 59 studies published between 1984...

To effectively assess the link between exchange rate uncertainty and exports performance in Egypt, this article relies on an optimal GARCH model among decomposed series on a scale-by-scale basis via wavelet approach. The observed outcomes reveal that the focal connection depends substantially on...

This paper tries to revisit the interaction between exchange uncertainty and exports in the Tunisian case. By using various GARCH extensions (i.e. Standard GARCH, Integrated GARCH, Exponential GARCH and Weighted GARCH) we show that the effect of exchange returns on changes in exports depends on...

In this study, we consider the generalized autoregressive conditional heteroscedastic approach in modeling real effective exchange rate in Egypt using monthly data from 1994 to 2009. Various GARCH extensions are performed here. The main results show that real effective exchange rate volatility...