Real Exchange Rate And External Competitiveness In Bangladesh: An Autoregressive Distributed Lag Analysis

2018 ◽  
Vol 53 (4) ◽  
Author(s):  
Baban Hasnat
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag

An empirical investigation of the relationship between the real exchange rate and net FDI inflows in Mauritius

2019 ◽  
Vol 11 (1) ◽  
pp. 63-74 ◽  
Author(s):  
Ashok Babubudjnauth ◽  
Boopendra Seetanah
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Content Type ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
The Impact ◽  
Time Series Methodology ◽  
Official Sources ◽  
The Relationship

Purpose The purpose of this paper is to find out the impact of real exchange rate on foreign direct investment (FDI) in Mauritius. Design/methodology/approach Autoregressive distributed lag time series methodology is used. Findings Real exchange rate depreciation enhances inflows of FDI in both the short and long run. Originality/value The research is original, and data used are from official sources.

Pengaruh ACFTA, PDB dan Kurs Terhadap Impor Barang Asal Republik Rakyat Tiongkok (RRT)

2020 ◽  
Vol 4 (2) ◽  
Author(s):  
Mohammad Fachrudin ◽  
Wahyu Hidayat Halimun Syah
Keyword(s):  
Exchange Rate ◽  
Gross Domestic Product ◽  
Real Exchange Rate ◽  
Short Term ◽  
The Real ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Real Gdp ◽  
Bounds Test ◽  
Positive Effect

ABSTRACTThe main objective of this research is to see the effect of the ACFTA free trade policy, gross domestic product (GDP), and the real exchange rate on imports of goods from the People's Republic of China (PRC). This study uses monthly data from January 2008 to September 2019. This study uses the reference to the introduction to import duties at the Normal Track stage starting on January 1, 2010, as the effective period of the ACFTA's implementation. The analytical method used is the Autoregressive Distributed Lag (ARDL) model with the Bounds Test cointegration approach. The results show that simultaneously, both in the long and short term, ACFTA, Indonesia's real GDP, and the real exchange rate affect imports of goods from PRC. Partially, in the long run, ACFTA and real GDP have a positive effect on imports of goods from PRC, while the real exchange rate does not affect imports of goods from PRC. In the short term, real GDP and the real exchange rate have a positive effect on imports of goods from PRC, while ACFTA does not affect. In addition, the results also show that the increase in imports of goods from PRC was mainly stimulated by an increase in national income (real GDP) with an elasticity of 1.90 in the short term and 1.49 in the long term. The implications of this research for the Government can be used to formulate a national strategy for the import substitution industry.Keywords: imports, free trade, ACFTA, gross domestic product, real exchange rates, ARDL Bounds Test.ABSTRAKTujuan utama dari penelitian ini adalah untuk melihat pengaruh kebijakan perdagangan bebas ACFTA, produk domestik bruto (PDB) dan kurs riil terhadap impor barang asal Republik Rakyat Tiongkok (RRT). Penelitian ini menggunakan data bulanan dari Januari 2008 sampai September 2019 sebagai periode efektif berlakunya ACFTA. Metode analisis yang digunakan adalah model Autoregressive Distributed Lag (ARDL) dengan pendekatan kointegrasi Bounds Test. Secara simultan, baik pada jangka panjang maupun jangka pendek, ACFTA, PDB riil Indonesia dan kurs riil berpengaruh terhadap impor barang asal RRT. Secara parsial, dalam jangka panjang ACFTA dan PDB riil memberikan pengaruh positif terhadap impor barang asal RRT, sementara kurs riil tidak berpengaruh terhadap impor barang asal RRT. Dalam jangka pendek, PDB riil dan kurs riil berpengaruh positif terhadap impor barang asal RRT, sedangkan ACFTA tidak berpengaruh. Hasil penelitian menunjukkan bahwa peningkatan impor barang asal RRT secara utama distimulasi oleh peningkatan pendapatan nasional (PDB riil) dengan tingkat elastisitas sebesar 1,90 pada jangka pendek dan 1,49 pada jangka panjang. Implikasi penelitian ini bagi Pemerintah dapat digunakan untuk menyusun strategi nasional industri substitusi barang impor.Kata kunci: impor, perdagangan bebas, ACFTA, produk domestik bruto, kurs riil, ARDL Bounds Test

scholarly journals THE REAL EXCHANGE RATE DETERMINATION: EMPIRICAL EVIDENCE FROM MALAYSIA

2014 ◽  
Vol 59 (02) ◽  
pp. 1450016
Author(s):  
WONG HOCK TSEN
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Real Exchange Rate ◽  
Real Interest Rate ◽  
Oil Price ◽  
Exchange Rate Determination ◽  
The Real ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Productivity Differential

This study examines the real exchange rate determination in Malaysia. The result of the autoregressive distributed lag approach shows that an increase in the real interest rate differential, productivity differential, the real oil price or reserve differential will lead to an appreciation of the real exchange rate in the long run. The real oil price and reserve differential are important in the real exchange rate determination. The dynamic ordinary least squares (DOLS) estimator shows about the same conclusion of the autoregressive distributed lag approach. The result of the generalized forecast error variance decomposition shows that the real interest rate differential, productivity differential, the real oil price and reserve differential are generally important to the real exchange rate determination.

scholarly journals Dollarization in Sierra Leone: Evidence and Some Policy Options

2020 ◽  
Vol 7 (4) ◽  
pp. 160
Author(s):  
Abu Bakarr TARAWALIE ◽  
Amadu JALLOH
Keyword(s):  
Exchange Rate ◽  
Sierra Leone ◽  
Correction Term ◽  
Financial Deepening ◽  
Policy Makers ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Short Run ◽  
Key Policy ◽  
Main Determinants

This study aims to empirically investigate the determinants of dollarization in Sierra. It uses quarterly data from 1992Q1 to 2017Q4 and autoregressive distributed lag Bound Testing technique. Both the long and short run results revealed that inflation, exchange rate depreciation, financial deepening and war dummy were the main determinants of dollarization in Sierra Leone during the study period. The error correction term depicts that 53 percent of any disequilibrium in dollarization will be corrected within a year. A key policy recommendation is that policy makers should implement prudent policies that will ensure broader macroeconomic stability (including price stability and exchange rate stability) as a recipe for de-dollarization in Sierra Leone.

scholarly journals The Determinants of Pakistan’s Trade Balance: An ARDL Cointegration Approach

2010 ◽  
Vol 15 (1) ◽  
pp. 1-26 ◽  
Author(s):  
Waliullah Waliullah ◽  
Mehmood Khan Kakar ◽  
Rehmatullah Kakar ◽  
Wakeel Khan
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Money Supply ◽  
Trade Balance ◽  
Exchange Rate Regime ◽  
Annual Data ◽  
Impulse Response Functions ◽  
Bounds Testing ◽  
Distributed Lag ◽  
Long Run

This article is an attempt to examine the short and long-run relationship between the trade balance, income, money supply, and real exchange rate in the case of Pakistan’s economy. Income and money variables are included in the model in order to examine the monetary and absorption approaches to the balance of payments, while the real exchange rate is used to evaluate the conventional approach of elasticities (Marshall Lerner condition). The bounds testing approach to cointegration and error correction models, developed within an autoregressive distributed lag (ARDL) framework is applied to annual data for the period 1970 to 2005 in order to investigate whether a long-run equilibrium relationship exists between the trade balance and its determinants. Additionally, variance decompositions (VDCs) and impulse response functions (IRFs) are used to draw further inferences. The result of the bounds test indicates that there is a stable long-run relationship between the trade balance and income, money supply, and exchange rate variables. The estimated results show that exchange rate depreciation is positively related to the trade balance in the long and short run, consistent with the Marshall Lerner condition. The results provide strong evidence that money supply and income play a strong role in determining the behavior of the trade balance. The exchange rate regime can help improve the trade balance but will have a weaker influence than growth and monetary policy.

scholarly journals Exchange rate modelling in the development community using the ARDL cointegration approach: The case of emerging markets

2020 ◽  
Vol 10 (2) ◽  
pp. 53-70
Author(s):  
Abdulkader Aljandali ◽  
Christos Kallandranis
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Equilibrium Exchange Rate ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Ex Post ◽  
Long Run ◽  
Equilibrium Exchange ◽  
Exchange Rate Movements ◽  
Exchange Rate Models

Despite rising interest in African economies, there is little prior research on the determinants of exchange rate movements in the region. This paper examines the monthly exchange rates of the country members of the Southern African Development Community (SADC) from 1990 to 2010 inclusive. Long-run equilibrium exchange rate models are established, exchange rate determinants are identified, and ex-post forecasts are generated for a period of 18 months (Sekantsi, 2011). The autoregressive distributed lag (ARDL) cointegration model is used in this paper, given its statistical advantages over commonly, applied cointegration techniques. Findings show that the ARDL method generates accurate forecasts for eight out of 11 sampled exchange rates. In keeping with earlier literature (e.g., Redda & Muzindusti, 2017; Zerihun & Breitenbach, 2017; etc.), findings suggest that the chances of SADC member countries fulfilling the requirements of a currency union are quite low. This paper marks one of the first attempts in the literature to forecast exchange rates in SADC using the ARDL approach (Pesaran & Shin, 1995). The results would be of interest to policy-makers, researchers and investors.

scholarly journals DYNAMIC EFFECTS OF REMITTANCES ON EXTERNAL RESERVES IN NIGERIA: THE ROLE OF INFLATION AND STRUCTURAL BREAKS

2019 ◽  
Vol 13 (1) ◽  
pp. 119-141
Author(s):  
E. A. OLUBIYI ◽  
A. RAHEEM ◽  
A. A. ADEMOKOYA
Keyword(s):  
Exchange Rate ◽  
Structural Breaks ◽  
Flexible Exchange Rate ◽  
Jel Classification ◽  
Additional Information ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Floating Exchange Rate ◽  
Short Run

This study provides additional information about the drivers of external reserves in Nigeria.  The result using Autoregressive Distributed Lag (ARDL) model estimation approach for the period 1980-2015 shows that remittances, among other macroeconomic variables, increased external reserves in the short run but weakens it in the long run. Remittances depletes external reserves through its effect on inflation rate and the nonsterilized intervention of the Central Bank.  Furthermore, regime shift to relatively floating exchange rate causes remittances to increase reserves.  From the foregoing, it is important for the authorities to continue operating relatively flexible exchange rate, and curtail excessive spending of remittances.   Keywords: , , , , . JEL Classification: F31, F24, C22, F31  

scholarly journals Nonlinearities and asymmetric adjustment to PPP in an exchange rate model with inflation expectations

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Christina Anderl ◽  
Guglielmo Maria Caporale
Keyword(s):  
Exchange Rate ◽  
Purchasing Power Parity ◽  
Inflation Targeting ◽  
Real Exchange Rates ◽  
Policy Implications ◽  
Inflation Expectations ◽  
Ardl Model ◽  
Content Type ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag

PurposeThis paper aims to explain real exchange rate fluctuations by means of a model including both standard fundamentals and two alternative measures of inflation expectations for five inflation targeting countries (the UK, Canada, Australia, New Zealand and Sweden) over the period January 1993–July 2019.Design/methodology/approachBoth a benchmark linear autoregressive distributed lag (ARDL) model and a nonlinear autoregressive distributed lag (NARDL) specification are considered.FindingsThe results suggest that the nonlinear framework is more appropriate to capture the behaviour of real exchange rates given the presence of asymmetries both in the long and short run. In particular, the speed of adjustment towards the purchasing power parity (PPP) implied long-run equilibrium is three times faster in a nonlinear framework, which provides much stronger evidence in support of PPP. Moreover, inflation expectations play an important role, with survey-based ones having a more sizable effect than market-based ones.Originality/valueThe focus on linearities and the estimation of a NARDL model, which is shown to outperform the linear ARDL model both within sample and out of sample, is an important contribution to the existing literature which has rarely applied this type of framework; the choice of an appropriate econometric method also makes the policy implications of the analysis more reliable; in particular, monetary authorities should aim to achieve a high degree of credibility to manage them and thus currency fluctuations effectively; the inflation targeting framework might be especially appropriate for this purpose.

FAKTOR-FAKTOR YANG MEMPENGARUHI NILAI IMPOR KEDELAI INDONESIA

2014 ◽  
Vol 8 (1) ◽  
pp. 117-138 ◽  
Author(s):  
Aziz Muslim
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Soybean Oil ◽  
Secondary Data ◽  
Cointegration Analysis ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Government Role ◽  
Short Run

Kajian ini bertujuan untuk menentukan faktor-faktor yang mempengaruhi impor kedelai Indonesia. Data yang digunakan adalah data sekunder berbentuk time series, diolah dan dianalisis dengan metode estimasi dan kointegrasi Autoregressive Distributed Lag (ARDL). Hasil penelitian menunjukkan bahwa faktor-faktor yang mempengaruhi impor kedelai Indonesia dalam jangka pendek adalah impor kedelai sebelumnya, harga kedelai USA, harga minyak kedelai Argentina, dan nilai tukar Rupiah. Dalam jangka panjang faktor yang berpengaruh adalah harga minyak kedelai Argentina, PDB Indonesia, dan nilai tukar Rupiah. Kajian ini merekomendasikan bahwa mekanisme pengamanan stok kedelai maupun minyak kedelai bermanfaat untuk menjaga ketersediaan pangan dalam negeri. Peran aktif pemerintah dalam mengamankan stok kedelai nasional serta pengumpulan data-data tentang impor kedelai merupakan tuntutan yang mendesak. Untuk menjaga kestabilan harga dan pasokan kedelai dalam negeri perlu ada upaya untuk mendiversifikasi negara asal impor. The aim of this study is to determine the factors that affect Indonesia’s imports of soybean. The study utilized time series secondary data and Autoregressive Distributed Lag (ARDL) cointegration analysis. The results reveal that in the short run Indonesia’s import of soybean are influenced by Indonesia's soybean imports in the previous year, price of USA’s soybean, Argentina’s soybean oil price, and the Rupiah exchange rate. In the long run Indonesia’s imports of soybean are influenced by Argentina’s soybean oil, Indonesia GDP, and the Rupiah exchange rate. This study recommends that mechanism to maintain soybean stocks demanded is useful for food security.Therefore Government role is important in providing the accurate data on soybean stock, and diversification of the country of origin is crucial to maintain price stability and supply continuity in the country

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