volatility.

Their approach was to test for co-integrating relations and then estimate

error correction models. The conclusion was that Turkish real exports are negatively

affected by real exchange rate volatility. Koray and Lastrapes (1989) using a VAR

model including several macroeconomic variables found a very weak effect between

real exchange rate volatility and US imports. Kroner and Lastrapes (1990) used

GARCH model (and its extensions) to investigate the relationship between exchange

rate volatility and trade on the premise that exchange rates show up in clusters of

periods of high and low volatility (i.e. time-varying conditional volatility). They

found a small but significant effect of exchange rate volatility on trade and observed

that this effect varies across countries. Pujula (2013) estimated a Multivariate

GARCH-M model with the mean equation specified as a VAR model of two

variables exports and exchange rates. The author found positive own country

volatility effects and negative third country volatility effects (EUR/USD) on

Ghanaian total exports. Similarly, Grier and Smallwood (2013) applied a Multivariate

GARCH-M and specified the mean equation with three variables growth rates of

exports, foreign income, and the real exchange rate. Their findings support negative

effects of real exchange rate volatility on exports from both developed and

developing countries.

It is surprising that the new unit root test developments (e.g., Elliott-

Rothenberg-and-Stock -ERS- (1996), and Ng and Perron -NP- (2001)) which

improves upon ADF and PP, are rarely used in assessing the time series properties of

exchange rates, exports, exchange rate volatility variables, and economic activity

proxies. In identifying the time series properties of exports and exchange rates from

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