Implications of exchange rate volatility on agricultural exports: [electronic resource] the case of Egypt

Includes bibliographic reference

Contributing to the empirical literature of exchange rate implications on foreign trade, the study analyzed the impact of Egyptian pound depreciation on the revenues from agricultural exports, using Engle-Granger approach and Error Correction Mechanism (ECM). The results indicated that the exchange rate has a vitally important role in boosting the value of agricultural exports. As regards the short term, the exchange rate positively affects agricultural exports returns. On the other hand, the results showed that the error correction term of the long-term impact is statistically-significant, and also has a negative sign, as well as, it reflects a high speed of adjustment (0.45). This implies that about 45% from the imbalance of the relationship between the exchange rate and the agricultural exports value are corrected within one year. Moreover, the results of diagnostic and stability tests showed that the estimated model is free from the problems of normality, serial correlation and heteroskedasticity, additionally, the stability of coefficients is proven over the study period, which proven the reliability of the study results. Finally, the study concluded with a set of recommendations which revolve around the necessity of taking the dynamics of Egyptian pound exchange rate into account when designing the trade polices in general.
Keywords: Exchange Rate, Agricultural Exports, Engle-Granger approach, Engle-Granger Causality, Error Correction Mechanism (ECM).

Summary in Arabic