More specifically, the test lead us to conclude that real exchange rate volatility

between BRL vis-à-vis USD does cause Brazilian agricultural and total exports.

Likewise, we reject the null hypothesis for Chinese nominal agricultural and total

exports, Indian real total exports, Russian real agricultural exports, South Africa real

agricultural and total exports, and Turkish nominal agricultural exports.

The estimated VAR(p) models are presented in Table 4-7. To preserve space,

we present only models in which the null hypothesis of granger non-causality is

rejected. Because each VAR (p) model has at least four different variables, times

eight lags, times four equations resulting in 128 parameters, only the exports

equations along with volatility parameter estimates are shown. 19 The first column

“model” shows the export equation from VAR(p) models. The second column

“estimates” shows the statistical information: estimate (Est), standard error (SE),

Probt (Pt), and the significance (Sig) level at which the coefficients are statistically

significant. The next six columns are the lagged unconditional volatilities (M-STD) of

national currency per USD (NATUSDt-i). 20 The last column “Sum Est” is an

aggregated sum of only those statistically significant parameter estimates. The sign of

this aggregation may give a notion of the direction in which currency volatility causes

exports. The results show that real exchange rate volatility of BRL vis-à-vis USD

negatively impacts Brazilian real agricultural exports, and total exports.

19
Remember that in the VAR(p) model, as shown in the methodology (equation 3.28), first
equation is exports, followed by GDP, Bilateral Exchange Rate, and Volatility.
20
Notice that although the models are estimated with p=(dmax+k) lags, dmax lags are not
reported. Dmax lags are not even used for the causality tests, they only serve to fix the asymptotic
properties.

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