A cointegration analysis of the impact of real exchange rate variations on U.S. agricultural exports

摘要

This study investigates the long- and short-run relationships between variations in the real exchange rate and US agricultural exports. A long-run analysis is undertaken within the confines of a cointegration testing framework. Error correction models (ECMs) are used to analyse the short-run dynamics departures from the long-run equilibrium relation under investigation. US agricultural exports and the real exchange rate are found to be cointegrated. The ECM estimates indicate the existence of a unidirectional causal flow from the real exchange rate to the volume of US agricultural exports. Consequently, the appreciation of the real exchange rate will reduce the volume of US agricultural exports in the short run.