Version 1
: Received: 21 November 2023 / Approved: 22 November 2023 / Online: 22 November 2023 (13:48:53 CET)
How to cite:
Pamba, D. Impact of Exchange Rate Volatility on South Africa's Exports: New Evidence from NARDL and STR Models. Preprints2023, 2023111435. https://doi.org/10.20944/preprints202311.1435.v1
Pamba, D. Impact of Exchange Rate Volatility on South Africa's Exports: New Evidence from NARDL and STR Models. Preprints 2023, 2023111435. https://doi.org/10.20944/preprints202311.1435.v1
Pamba, D. Impact of Exchange Rate Volatility on South Africa's Exports: New Evidence from NARDL and STR Models. Preprints2023, 2023111435. https://doi.org/10.20944/preprints202311.1435.v1
APA Style
Pamba, D. (2023). Impact of Exchange Rate Volatility on South Africa's Exports: New Evidence from NARDL and STR Models. Preprints. https://doi.org/10.20944/preprints202311.1435.v1
Chicago/Turabian Style
Pamba, D. 2023 "Impact of Exchange Rate Volatility on South Africa's Exports: New Evidence from NARDL and STR Models" Preprints. https://doi.org/10.20944/preprints202311.1435.v1
Abstract
This research paper aimed to examine the impact of exchange rate volatility on South Africa's exports from 1994 Q1 to 2023 Q2. The study used the Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) tests to test for stationarity. The nonlinear autoregressive distributed lag (NARDL) model and smooth threshold regression (STR) are employed to analyse the relationship between exchange rate volatility and exports. The GARCH (1.1) technique is used to construct the exchange rate volatility data. The results of the stationarity tests reveal that variables are either integrated in order I(0) or I(1). This implies that the variables used in this study are stationary, which is crucial for conducting accurate analyses. Moreover, the NARDL test approach provided insights into the long-run effects of exchange rate volatility on South Africa's exports. Based on the NARDL test, positive shocks have a greater but statistically insignificant effect on exports than negative shocks. Therefore, a greater level of exchange rate volatility may lead to increased exports from South Africa. Furthermore, the STR also reveals that the impact of exchange rate volatility is insignificant. These findings provide valuable insights for policymakers and firms to make informed decisions regarding exchange rate management and export strategies in South Africa.
Copyright:
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
