Are exports a monotonic function of exchange rate volatility? Evidence from disaggregated pork exports |
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| Authors: | Olivier Bonroy Jean-Philippe Gervais Bruno Larue |
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| Institution: | Department of Rural Economy and Management, Agrocampus of Rennes; Department of Agri-food Economics and Consumer Studies, Laval University; Department of Agri-food Economics and Consumer Studies, Laval University |
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| Abstract: | Abstract. Production and marketing lags in agri-food supply chains often force agricultural producers and food processors to commit to output targets before prices and exchange rates are realized. A theoretical model illustrates how the processor's degree of risk aversion and domestic sales may cause the relationship between volatility of the exchange rate and exports to be non-monotonic. The relationship between exchange rate volatility and Quebec pork exports to the United States and Japan is investigated using linear and non-linear estimation methods. The results support the hypothesis that the relationship between exports and volatility is non-monotonic. |
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