Testing asymmetry of exchange rate changes on the commodities' exports in Pakistan: a nonlinear ARDL model

2019 ◽  
Vol 21 (2) ◽  
pp. 219
Author(s):  
Haider Mahmood
Keyword(s):  
Exchange Rate ◽  
Ardl Model ◽  
Nonlinear Ardl ◽  
Nonlinear Ardl Model ◽  
Exchange Rate Changes

Impact of Exchange Rate Volatility on the US Exports: A New Evidence From Multiple Threshold Nonlinear ARDL Model

2019 ◽  
Vol 10 (02) ◽  
pp. 1950009 ◽  
Author(s):  
Bisharat Hussain Chang ◽  
Suresh Kumar Oad Rajput ◽  
Niaz Ahmed Bhutto
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
Asymmetric Effect ◽  
Ardl Model ◽  
Nonlinear Ardl ◽  
Long Run ◽  
Nonlinear Ardl Model ◽  
The Us ◽  
Short Run ◽  
Multiple Threshold

This study extends previous literature by examining the effect of extremely large to extremely small changes in the exchange rate volatility on the US exports to developing countries such as Brazil, India, Mexico, and South Africa. We use novel approach called multiple threshold nonlinear ARDL (MTNARDL) and compare its results with ARDL and nonlinear ARDL models. The ARDL model supports insignificant results, whereas standard nonlinear ARDL model indicates asymmetric effect of exchange rate volatility on the US exports to Mexico only. Finally, the MTNARLD model indicates that in the short run, the effect of extremely large changes in exchange rate volatility does not significantly differ from the effect of small changes in exchange rate volatility on the US exports to all sample countries. Whereas in the long run, the effect of extremely large changes in exchange rate volatility is significantly different from the effect of small changes in exchange rate volatility on the US exports to all sample countries. The findings of this novel methodology suggest different policies in the long run and short run.

scholarly journals Asymmetric Impacts of Inflation on the US Bond Rates and FED’s Pre-Emptive Policy

2020 ◽  
Vol 5 (2) ◽  
pp. 143-157
Author(s):  
İsmet Göçer ◽  
Serdar Ongan
Keyword(s):  
Monetary Policy ◽  
Inflation Rate ◽  
Lower Cost ◽  
Fisher Equation ◽  
Ardl Model ◽  
Nonlinear Ardl ◽  
Inflation Rates ◽  
Nonlinear Ardl Model ◽  
The Us ◽  
Asymmetric Impact

Abstract This study investigates the asymmetric impacts of changes in inflation rates on the US bond rates. This investigation is constructed on the Fisher Equation. To this end, the nonlinear ARDL model is applied. Empirical findings indicate that only the decreases (π− t ) in inflation rates affect bond rates. This asymmetric impact therefore shapes the FED’s monetary policy in terms of determining the bond rates at lower cost. When the inflation rate rises, the FED will know (in advance) that they do not need to increase the bond rates. This reminds us the FED’s former pre-emptive strike policy against inflation.

Testing fisher effect for the USA: application of nonlinear ARDL model

2019 ◽  
Vol 12 (2) ◽  
pp. 293-304
Author(s):  
Serdar Ongan ◽  
Ismet Gocer
Keyword(s):  
Interest Rates ◽  
Linear Representation ◽  
Fisher Equation ◽  
Fisher Effect ◽  
Ardl Model ◽  
Content Type ◽  
Nonlinear Ardl ◽  
Inflation Rates ◽  
Nonlinear Ardl Model ◽  
The Usa

Purpose This paper aims to investigate the presence of the Fisher effect for the USA from a new methodological perspective differing it from all previous studies using the common linear representation of the Fisher equation. Design/methodology/approach The nonlinear ARDL model, recently developed by Shin et al. (2014), is applied for the 10-year US Government bond rates over the period of 1985M1-2017M10. Findings The empirical findings indicate that the US Federal Reserve (FED) is a more predominant arbiter in the determination of interest rates during periods of declining inflation rates than periods of rising inflation rates. This finding may allow the FED to apply more proactive and prudent monetary policy. Additionally, this study newly describes and introduces a different version of the partial Fisher effect and extends the Fisher equation to some degree in terms of the partial Fisher effect. Originality/value To the best the authors’ knowledge, this method is applied for the first time in testing the Fisher effect for the USA.

scholarly journals Do Exchange Rate Changes Have Asymmetric or Symmetric Effects on the Demand for Money in the Gambia

2019 ◽  
Vol 9 (4) ◽  
pp. 276
Author(s):  
Kebba Bah ◽  
Karamat Khan ◽  
Artif Taufiq Nurrachman Aziez ◽  
Ali Kishwar
Keyword(s):  
Exchange Rate ◽  
The Gambia ◽  
Demand For Money ◽  
Asymmetric Effects ◽  
On Demand ◽  
Nonlinear Ardl ◽  
Long Run ◽  
Short Run ◽  
Exchange Rate Changes ◽  
The Relationship

In trying to explain the relationship between exchange rate and demand for money researchers have applied different models. In this paper, we applied both the linear and nonlinear ARDL to check the effects of exchange rate changes on the demand for money (M1 and M2) in The Gambia. The result revealed that the demand for money is cointegrated with its determinants and have a stable short-run relationship. It also revealed that exchange rate changes have only short-run asymmetric effects on demand for money (M1 or M2) but don’t have long-run effects.

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