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Jamal Bouoiyour and Refk Selmi
''Commodity price uncertainty and manufactured exports in Morocco and Tunisia: Some insights from a novel GARCH model''
( 2014, Vol. 34 No.1 )
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.
Keywords: Commodity price uncertainty, manufactured exports, CMT-GARCH.
F1 - Trade: General
Manuscript Received : Feb 28 2013 Manuscript Accepted : Feb 04 2014

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