بررسي تأثير نوسانات نرخ ارز بر ارزش صادرات محصولات كشاورزي (پرتقال، انگور، خرما)

Investigation the Impact of Exchange Rate Volatility on the Export of Agricultural Products

با توجه به اهمیت تجارت محصولات كشاورزی برای رهایی از اقتصاد تك‌محصولی، این مطالعه به بررسی ارتباط كوتاه ‌مدت و بلند مدت بین صادرات محصولات انگور، پرتغال، خرما و نوسانات نرخ ارز می‌پردازد. بدین منظور ابتدا شاخص نوسانات نرخ ارز با استفاده از الگوی واریانس ناهمسانی شرطی اتورگرسیو تعمیم‌ یافته (GARCH) محاسبه گردید. سپس به‌منظور بررسی رابطه میان نوسانات نرخ ارز و ارزش صادراتی محصولات كشاورزی از آزمون ریشه واحد و آزمون همجمعی مربوط به داده‌های تابلویی طی دوره 1391- 1348 استفاده ‌شده است. نتایج حاصل از برآورد مدل نشان می‌دهد كه نوسانات نرخ ارز در كوتاه ‌مدت اثر مثبت و در بلند مدت اثر منفی بر ارزش صادراتی انگور، پرتغال و خرما می‌گذارد. همچنین نوسانات نرخ ارز در بلند مدت، روی كالاهایی كه از ارزش صادراتی بیشتری برخوردارند، نسبت به كالاهایی كه ارزش صادراتی كمتری دارند، تأثیر منفی بیشتری می‌گذارد.

Introduction: Agricultural commodity export is a main attribute of developing countries and it is the basic force of development, however, developing countries have faced domestic and international instability in their markets and monetary and fiscal policies and these instabilities create a difficult condition for most of producers and exporters. Volatility in exchange market is one of the most important factor and vital concentrate for international trade especially agricultural commodity export. Because of this concern many studies have been conducted in this filed; (Aristotelous, 2001; Chen, 2009 and Sabuhoi and Piri, 2009) .Many of these studies has stated that exchange rate fluctuation has a negative impact on aggregated agricultural export; however, none of them has been focused on the effects of exchange rate fluctuation on exported value of important commodities in long run and short run. In recent years, exchange rate fluctuation has been raised about 6 percent since 2007 to 2010 and it seemed that this phenomenon has a negative impact on agricultural commodity export in Iran. To test this hypothesis exported value of three important commodity (date, orange and grape) and exchange rate volatility since 1970 to 2013 have been used. Material and Methods: In order to examine the relation between real exchange rate volatility and export values of date, orange and grapes, first GARCH method has been used to draw out exchange rate volatility; then, Panel unite root test has been used to check the level of integration. Since real exchange rate is not heterogeneous for different cross sections Levi-Lin and Chow unit root test has been used for this variable and IPS test has been applied to export value. Pederoni co-integration test has been used to check the integration between these variables. Finally, FMOLS (Fully Modified Ordinary Least Square) and DOLS (Dynamic Ordinary Least Square) methods have been used to estimate long run and short run coefficients. Results and Discussion: Main results showed that real exchange rate volatility and export value of selected commodities are Co-integrated. The coefficient estimation of FMOLS and DOLS methods are equal and statically significant; so, these methods aren’t statically different and they showed that real exchange rate volatility has a negative impact on exported value for whole panel. However, the specific coefficient for each commodity showed contradictory behavior in short run and long run; for example real exchange rate fluctuation has a negative and significant impact on all the commodities; but, in short run this variable has a positive and significant impact on exported value. Moreover, based on estimated results it seems that fluctuation in exchange market has a greater impact on more valuable commodities like date. Conclusion: Considering the importance of agricultural product trade and in order to overcome mono-product economy, this study investigated long term and short term relation between export of grape, orange, date and exchange rate volatilities. To this aim, first the index of exchange volatility using generated autoregressive conditional heteroscedasticity (GARCH) was calculated. In order to investigate the relation between exchange rate volatilities and export value of agricultural product, unit root test and cointegration test related to panel data were used during years 1971-2013. The results of model estimation showed that exchange rate volatilities in short term and long term have respectively positive and negative effects on the export value of orange, grape and date. In long term, the negative effects of Exchange rate volatilities on high-export-value products are more than its effects on low-export-value products. Based on the estimation results we can conclude that, in short run, exporters are willing to increase their interchange and gain profits of the volatility in exchange market; however, in long run exchange rate fluctuation has effect on their long run profit because of instability in price and production, especially for more valuable products. Moreover, these risks can be more harmful in long run because of its impact on investment and production and due to lack of production, most of Iranian exporters will lose their international markets, hence, their volume and values of agricultural commodities export will reduce gradually. Based on the results, Iranian government should create a stable economic condition in long run, present proper information about exchange market future trend and its fluctuation in long run and short run and create a better marketing condition in short run.