Doctor of Philosophy (PhD)


Agricultural Economics

Document Type



The leaders of the leading emerging economies Brazil, Russia, India, China, and South Africa (BRICS) claim that increased currency exchange rate volatility (CERV) from USD, EUR, and JPY (G-3) negatively impacts their exports, and expressed their desire for less trade dependence on these currencies. The literature on the impact of CERV on trade is vast. However, no consensus on the impact’s direction and significance has been reached yet. The motivation of this study was: first, to contribute to the existing empirical literature by using an alternative methodology; and second, to provide empirical evidence to the claim’s validity or nullity by focusing on the case of BRICS, Turkey and Honduras. To this end, two general null hypotheses (objectives) were tested: 1) Unconditional (constant) CERV does not Granger cause exports, and 2) Conditional (stochastic) CERV does not impact exports. To achieve the first objective, an export demand model was specified as a VAR dynamic system of exports, World GDP, relative prices, and own or third CERV. Quarterly time-series from 1973 to 2013 were used. Using a battery of unit root tests, including the latest developments, different orders of integration were identified. Therefore, to test this hypothesis it was opted for the Toda Yamamoto, and Dolado and Lütkepohl procedure. It consists in estimating an augmented VAR and test for Granger non-causality using MWald tests. In total 84 models were estimated. To accomplish the second objective, Bivariate VAR-GARCH(1,1)-M models of exports and exchange rates were estimated and the significance of the volatility coefficient was tested via t-tests. Data were log first-differenced as monthly exports and exchange rates were I(1) for the 1973 to 2013 period. In total, 42 estimations were performed. The major results provide empirical evidence that support the claim for some countries. Model results indicate that Brazilian agricultural and total exports have been significantly and negatively impacted by own and third country currency volatility, while Chinese and Honduran exports have been positively or not significantly affected. In the case of Turkey no significant effects were found. And the remaining countries Russia, India, and South Africa presented mixed results.



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Committee Chair

Kennedy, P. Lynn