EXCHANGE RATE VOLATILITY AND ITS EFFECTS ON BRAZILIAN EXPORTS TO THE US

ABSTRACT This paper investigated the influence of exchange-rate volatility on Brazilian exports to the US from January 1999 to February 2017. For this purpose, we used Pesaran’s bound test in an ARDL framework. Moreover, we built nonlinear measures for exchange-rate volatility to verify whether positive and negative exchange rate shocks affect equally on volatility. The proposed nonlinear measures indicated that positive exchange rate shocks imply greater volatility in the following periods. The results showed that long-term exchange rate volatility affected the exports similarly for the different measures. However, we found more positive relationships in the models using nonlinear measures than in those using linear ones. The sectors negatively affected were external capital-dependent products and manufactured or low value-added products. In contrast, the ones positively affected were products with no dependence on external capital or products with highly elastic demand.