TABLE OF CONTENTS

ACKNOWLEDGMENTS…………………………………..……………..………....iii

LIST OF TABLES……………......………………………………………………......vi

LIST OF FIGURES……………..…………………………………………………...vii

LIST OF ABBREVIATIONS……..………………………………………………….ix

ABSTRACT………………………..………………………………………………...xi

CHAPTER

1 INTRODUCTION ..................................................................................... xi
1.1 BRICS Background ............................................................................. 1
1.2 Empirical Research Background ......................................................... 6
1.3 Problem Statement ............................................................................ 10
1.4 Justification of the Study ................................................................... 11
1.5 An Overview of the Methodology .................................................... 13
1.5.1 Pretesting (Variable’s Processes Identification) ......................... 13
1.5.2 Unconditional exchange rate volatility does not cause exports. . 13
1.5.3 Conditional exchange rate volatility does not impact exports. ... 14
1.6 The Dissertation Structure................................................................. 14

2 LITERATURE REVIEW ..........................................................................15

3 METHODOLOGY ....................................................................................25
3.1 Economic Theory .............................................................................. 25
3.1.1 Summary of Trade Theory .......................................................... 25
3.1.2 Export Demand Model ................................................................ 28
3.1.3 Exchange Rate Risk in Exports ................................................... 30
3.1.4 Volatility Measures ..................................................................... 31
3.1.5 The Model ................................................................................... 32
3.2 Econometric Methods ....................................................................... 34
3.2.1 Granger Non-Causality Test (Hypothesis 1). .............................. 35
3.2.2 GARCH (Hypothesis 2) .............................................................. 39
3.2.3 Stationarity Definition ................................................................. 44
3.3 Data ................................................................................................... 47
3.3.1 Data Sources ................................................................................ 47
3.3.2 Computed Series ......................................................................... 48
3.3.3 Data Issues................................................................................... 50
3.3.4 Plots of the Series ........................................................................ 51

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