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This study examines the effects of real exchange rate volatility on agricultural products export in Nigeria using annual time series data from1970 to 2013. The long run, short run and causal effects of real exchange rate volatility on agricultural products export were evaluated. VECM was used to evaluate the effects of real exchange rate volatility on agricultural products export. The Augmented Dickey-Fuller (ADF) and Philip Perron (PP) unit root tests confirm that all variables were stationary in their first difference. Further investigation based on the Johansen co-integration tests indicates that one co-integration exists between exchange rate volatility and each of the agricultural products export while controlling for other variables. Exchange rate volatility has negative long run effect on all agricultural exports studied with the effect being strongest for coffee followed by rubber. The results based on Vector Error Correction Model (VECM) show evidence of negative but insignificant short run effects of real exchange rate volatility on agricultural products export. From the Granger causality test, there exists bidirectional causality between cocoa and real exchange rate volatility. The implications of these findings are drawn.
Alegwu et al. (Tue,) studied this question.
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