Exchange Rate Volatility and Aggregate Exports: Evidence from Two Small Countries

Table 1

Phillips-Peron unit root test results.

Croatia				Cyprus
lnVEX	−7.1141*	−12.275*	−14.542*	lnVEX	−7.1775*	−10.358*	−11.259*
lnGDP	−2.8248	−7.7070*	−14.233*	lnGDP	−2.869	−7.5172*	−13.571*
𝑉1	−9.1703*	−20.558*	−31.843*	𝑉1	−6.075*	−13.327*	−21.997*
ln𝑃	−3.0787	−8.4785*	−18.235*	ln𝑃	−2.1747	−8.788*	−20.660*
ln𝑉2	−0.3383	−4.4482*	−11.305*	ln𝑉2	−2.2604	−7.2409*	−11.305*

Note: all tests are performed using the 5% level of significance; VEX is the logarithm of export quantity, GDP represents the logarithm of the real gross domestic product, 𝑉1 is volatility measured as the moving average of the standard deviation of the exchange rate, 𝑃 is the logarithm of relative prices of each country to the world price, and 𝑉2 is the amount of times the value of the exchange rate moves above and below its average value at predetermined intervals. All tests are performed to a maximum of three lags. The null hypothesis of a unit root is tested against the alternative. The asterisk denotes significance at least at 5% level.
Source: authors’ calculations.