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Commodity price uncertainty and manufactured exports in Morocco and Tunisia: Some insights from a novel GARCH model

Author

Listed:
  • Jamal Bouoiyour

    (University of Pau)

  • Refk Selmi

    (Business School of Tunis)

Abstract
This paper attempts to assess empirically the short-run dynamic between commodity price uncertainty and manufactured exports in Morocco and Tunisia. To this end, we propose a novel model Component with Multiple Threshold-GARCH (CMT-GARCH) that extends Weighted-GARCH of Bauwens and Storti (2008). Our results clearly show a positive and significant connection between commodity price volatility and manufactured exports, which is transitory for Morocco and Tunisia (except the impact of manufactured commodity price on Moroccan manufacturing sector, which is permanent).We attribute the transitory effect to the co-movements between exporters economic conditions and commodity price cycles, and the permanent effect to the low technological content of manufactured products and to the lack of innovative capacity.

Suggested Citation

  • Jamal Bouoiyour & Refk Selmi, 2014. "Commodity price uncertainty and manufactured exports in Morocco and Tunisia: Some insights from a novel GARCH model," Economics Bulletin, AccessEcon, vol. 34(1), pages 220-233.
    • Handle: RePEc:ebl:ecbull:eb-13-00149
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Jamal Bouoiyour & Refk Selmi, 2017. "Ether: Bitcoin's competitor or ally?," Working Papers hal-01567277, HAL.
    2. Bouoiyour, Jamal & Selmi, Refk & Tiwari, Aviral Kumar & Shahbaz, Muhammad, 2015. "The nexus between oil price and Russia's real exchange rate: Better paths via unconditional vs conditional analysis," Energy Economics, Elsevier, vol. 51(C), pages 54-66.
    3. Nikolaos A. Kyriazis, 2021. "A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets," JRFM, MDPI, vol. 14(7), pages 1-46, June.
    4. Bouoiyour, Jamal & Selmi, Refk, 2014. "How Robust is the Connection between Exchange Rate Uncertainty and Tunisia’s Exports?," MPRA Paper 57505, University Library of Munich, Germany.
    5. Jamal Bouoiyour & Refk Selmi, 2016. "Bitcoin: a beginning of a new phase?," Economics Bulletin, AccessEcon, vol. 36(3), pages 1430-1440.
    6. Bouoiyour, Jamal & Miftah, Amal & Selmi, Refk, 2014. "Do Financial Flows raise or reduce Economic growth Volatility? Some Lessons from Moroccan case," MPRA Paper 57258, University Library of Munich, Germany.
    7. Delbianco, Fernando & Fioriti, Andrés, 2018. "External cycles and commodities in Latin America and the Caribbean: a cointegration analysis with breaks," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 88, pages 51-76, January.
    8. Jamal Bouoiyour & Refk Selmi, 2014. "The Nexus between Inflation and Inflation Uncertainty via wavelet approach: Some Lessons from Egyptian case," Economics Bulletin, AccessEcon, vol. 34(4), pages 2093-2106.
    9. Bouoiyour, Jamal & Selmi, Refk & Tiwari, Aviral Kumar & Shahbaz, Muhammad, 2015. "The nexus between oil price and Russia's real exchange rate: Better paths via unconditional vs conditional analysis," Energy Economics, Elsevier, vol. 51(C), pages 54-66.
    10. Bouoiyour, jamal & Selmi, Refk, 2014. "Exchange Rate Impact on Russia’s Exports: Some Evidence from an Evolutionary Co-spectral Analysis," MPRA Paper 59368, University Library of Munich, Germany.
    11. Bouoiyour, Jamal & Selmi, Refk, 2015. "Bitcoin Price: Is it really that New Round of Volatility can be on way?," MPRA Paper 65580, University Library of Munich, Germany.

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    More about this item

    Keywords

    Commodity price uncertainty; manufactured exports; CMT-GARCH.;
    All these keywords.

    JEL classification:

    • F0 - International Economics - - General
    • F1 - International Economics - - Trade

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