scholarly journals Exchange rate volatility response to macroeconomic news during the global financial crisis

2017 ◽  
Vol 52 ◽  
pp. 130-143 ◽  
Author(s):  
Walid Ben Omrane ◽  
Tanseli Savaşer
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Global Financial Crisis ◽  
Exchange Rate Volatility ◽  
Macroeconomic News ◽  
The Global Financial Crisis

The effects of the global financial crisis on the asymmetric relationship between exchange rate volatility and trade flows

2021 ◽  
Vol 39 (2) ◽  
Author(s):  
Bisharat Hussain Chang ◽  
Niaz Ahmed Bhutto ◽  
Farhan Ahmed ◽  
Zahida Abro ◽  
Nadia Anjum
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Global Financial Crisis ◽  
Exchange Rate Volatility ◽  
Trade Flows ◽  
Nonlinear Ardl ◽  
Nonlinear Ardl Model ◽  
The Global Financial Crisis ◽  
The Relationship ◽  
Country Specific

Recent literature has shifted to examining whether the relationship between exchange rate volatility and trade flows is symmetric or asymmetric. However, this literature does not provide consistent findings. We extend the existing literature by examining whether the asymmetric relationship between exchange rate volatility and trade flows changes as a result of the global financial crisis. For this purpose, we use a nonlinear ARDL model on both the pre and the post-crisis period data. The pre-crisis and post-crisis periods cover the data from January 1986 to August 2008 and September 2008 to January 2018 respectively. Results indicate that the relationship changes as a result of global financial crisis however, this relationship is country specific as well on the type of model (export or import) selected.

The effects of the global financial crisis on the asymmetric relationship between exchange rate volatility and trade flows

2021 ◽  
Vol 39 (1) ◽  
Author(s):  
Bisharat Hussain Chang ◽  
Niaz Ahmed Bhutto ◽  
Farhan Ahmed ◽  
Zahida Abro ◽  
Nadia Anjum
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Global Financial Crisis ◽  
Exchange Rate Volatility ◽  
Trade Flows ◽  
Nonlinear Ardl ◽  
Nonlinear Ardl Model ◽  
The Global Financial Crisis ◽  
The Relationship ◽  
Country Specific

Recent literature has shifted to examining whether the relationship between exchange rate volatility and trade flows is symmetric or asymmetric. However, this literature does not provide consistent findings. We extend the existing literature by examining whether the asymmetric relationship between exchange rate volatility and trade flows changes as a result of the global financial crisis. For this purpose, we use a nonlinear ARDL model on both the pre and the post-crisis period data. The pre-crisis and post-crisis periods cover the data from January 1986 to August 2008 and September 2008 to January 2018 respectively. Results indicate that the relationship changes as a result of global financial crisis however, this relationship is country specific as well on the type of model (export or import) selected.

ASYMMETRIC IMPACT OF EXCHANGE RATE CHANGES ON THE TRADE BALANCE: DOES GLOBAL FINANCIAL CRISIS MATTER?

2018 ◽  
Vol 13 (04) ◽  
pp. 1850015 ◽  
Author(s):  
BISHARAT HUSSAIN CHANG ◽  
SURESH KUMAR OAD RAJPUT ◽  
NIAZ HUSSAIN GHUMRO
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Trade Balance ◽  
Global Financial Crisis ◽  
Sample Period ◽  
Asymmetric Effect ◽  
Distributed Lag ◽  
Long Run ◽  
Exchange Rate Changes ◽  
The Global Financial Crisis

Recent studies have been mainly focusing on whether exchange rate changes have a symmetric or asymmetric effect on the trade balance. We revisit this question in the context of US and further extend previous studies by determining whether the relationship between these underlying variables change as a result of the global financial crisis. We use both linear autoregressive distributed lag (ARDL) and non-linear ARDL models for the whole sample period as well as in the pre- and post-crisis periods. Findings suggest that exchange rate changes have an asymmetric effect on the trade balance; however, the asymmetric behavior of the underlying variables change as a result of the financial crisis. In the short run, exchange rate asymmetrically affects trade balance in the post-crisis period only. In the long run, there is an asymmetric effect for all sample periods, where only the devaluation of currency significantly affects the trade balance when the whole sample period is selected. On the other hand, in pre- and post-crisis periods, only appreciation of currency significantly affects the trade balance. This study indicates that determining the asymmetric relationship without considering the global financial crisis may lead to spurious results.

scholarly journals DAMPAK KRISIS KEUANGAN GLOBAL TERHADAP PEREKONOMIAN DAERAH

2010 ◽  
Vol 12 (3) ◽  
Author(s):  
Andry Prasmuko ◽  
Donni Fajar Anugrah
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Global Financial Crisis ◽  
Aggregate Demand ◽  
Major Effect ◽  
Macro Model ◽  
Simulation Results ◽  
The Global Financial Crisis ◽  
The Impact ◽  
Simultaneous Model

This paper discusses the impact of global financial crisis to the Indonesia's economy by using the simultaneous macro model approach.The analysis and simulation results of such model show that the impact of the global financial crisis is dominantly distributed through the trade line, which decreases the regional output.To the components of aggregate demand, the movement of exchange rate has major effect to the exports and imports, whereas to the consumption and investment, it gives relatively small effect.The impact of external shock, which causes the depreciation of Rupiah, is relatively small to the increase of inflation.JEL classification: C32, E44Keywords:Financial crisis, simultaneous model, Indonesia.

Does exchange rate volatility influence import commodities of India-US? Evidence from ARDL approach

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mohini Gupta ◽  
Sakshi Varshney
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Real Exchange Rate ◽  
Global Financial Crisis ◽  
Exchange Rate Volatility ◽  
Content Type ◽  
Long Run ◽  
Short Run ◽  
The Empirical Analysis ◽  
Real Exchange Rate Volatility

PurposeThe aim the study is to explore the impact of real exchange rate volatility and other macroeconomic variable such as price of import, industrial production and real exchange rate on 45 import commodities, considering global financial crisis period on India's import from the US. The empirical analysis at disaggregate level of import indicates the existence of both short-run and long-run effect in one-third importing commodities. The results show both positive and negative effect and causality among variables.Design/methodology/approachThe study uses E-GARCH model to gage the real exchange rate volatility, an autoregressive distributive lag (ARDL) bound test technique to discover the adequate short- and long-run relationships and Toda-Yamamoto causality method to analyze the causality among variables. The study uses the time period from 2002:M09 to 2019:M06.FindingsThe empirical analysis at disaggregate level of import indicates the existence of both short-run and long-run effect in one-third importing commodities. The results show both positive and negative effects and causality among variables.Practical implicationsThe finding of the study suggests that macroeconomic variables have significant role and could be important to undertake the small and medium scale industries in policymaking. Government may need to make decision for micro, small and medium enterprises (MSMEs) as their performance can bring change in the trade to compete globally by increasing and controlling the price of the import and defending the domestic competitiveness.Originality/valueThe study uses additional variable namely price of import and includes the global financial crisis period to measure dampening effect on each commodity by using robust econometric technique in context of emerging nation like India.

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