On the Asymmetric Effects of Exchange Rate Changes on Trade Flows: Evidence from the U.S.-Canada Trade in Forest Products

This paper investigates possible asymmetric influences of the exchange rate on cross-border freight flows between the U.S.A. and Canada. Linear and nonlinear autoregressive distributed lag models are used to test for the existence of long-run asymmetric effects of 1) currency appreciation and depreciation and 2) exchange rate volatility changes on trade flows by truck, rail, air, vessel, and pipeline. This paper provides evidence that both currency value and exchange rate volatility affect the U.S.–Canada freight flows in an asymmetric manner. The long-run results of the nonlinear models show that exchange rate is found to be significantly associated with the bilateral trade flows between the U.S.A. and Canada. Exchange rate volatility tends to be significantly associated with trade flows in the nonlinear models, while its effects are insignificant in most cases in the linear models. These findings suggest that the conventional linear specification may mislead the asymmetric effects of exchange rate uncertainty on cross-border freight flows. It is also found that exchange rate sensitivities of U.S.–Canada trade flows by transport mode can differ significantly from those of aggregate trade flows. The information derived from disaggregate trade data can be useful for traders and shippers to develop a long-term strategic plan for infrastructure investment and service expansion.

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

International Journal of Accounting and Financial Reporting ◽

10.5296/ijafr.v9i4.15705 ◽

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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DO EXCHANGE RATE CHANGES HAVE SYMMETRIC OR ASYMMETRIC EFFECTS ON INTERNATIONAL TRADE INTEGRATION?

Annals of Financial Economics ◽

10.1142/s2010495219500131 ◽

2019 ◽

Vol 14 (03) ◽

pp. 1950013

Author(s):

SURESH KUMAR OAD RAJPUT ◽

NIAZ HUSSAIN GHUMRO ◽

NADIA ANJUM

Keyword(s):

International Trade ◽

Exchange Rate ◽

Negative Impact ◽

Real Effective Exchange Rate ◽

Series Data ◽

Trade Integration ◽

Asymmetric Effects ◽

Long Run ◽

Short Run ◽

Exchange Rate Changes

This paper investigates whether exchange rate changes have symmetric or asymmetric effects on international trade integration, using quarterly time series data from 1980: Q1 till 2018: Q2. The recent innovation in cointegration techniques allows us to estimate nonlinear effects. We apply both linear autoregressive distributed lags (ARDL) and nonlinear ARDL models. The empirical results indicate that asymmetric relationship exists between exchange rate (REER) and international trade integration (ITI) in the short-run as well as in the long-run, meaning that real effective exchange rate has negative and statistically significant effects on international trade integration. Robustness checks indicate no role of various crisis including GFC on the relationship between ITI and REER, however, regime change has significantly negative impact in short-run and positive in long-run on ITI. The results are important because when we separate currency appreciation from the depreciation, it has the significant and different effects on international trade integration.

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On the Asymmetric Effects of Exchange Rate Volatility on Trade Flows: Evidence from Africa

Emerging Markets Finance and Trade ◽

10.1080/1540496x.2018.1543582 ◽

2019 ◽

Vol 56 (4) ◽

pp. 913-939 ◽

Cited By ~ 3

Author(s):

Mohsen Bahmani-Oskooee ◽

Augustine C. Arize

Keyword(s):

Exchange Rate ◽

Exchange Rate Volatility ◽

Trade Flows ◽

Asymmetric Effects

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Non-linear impact of exchange rate changes on U.S. industrial production

Journal of Economic Structures ◽

10.1186/s40008-019-0172-0 ◽

2019 ◽

Vol 8 (1) ◽

Author(s):

Arash Habibi

Keyword(s):

Exchange Rate ◽

Industrial Production ◽

The United States ◽

Energy Materials ◽

Non Linear ◽

Short Run ◽

Linear Effects ◽

Exchange Rate Changes ◽

Misspecification Error ◽

The U.S

Abstract This paper contributes to the literature on the nexus between production and exchange rate in the United States (U.S.) by considering non-linear adjustments of exchange rate effects on industrial production in several sectors of the U.S. economy. We employ a Non-linear Autoregressive Distributed Lags (NARDL) model which is built upon the Solow model. We show that there exists a non-linear relationship between these two variables in some of the MMIGs. We document short-run non-linear effects of exchange rate on production of non-energy materials, durable manufacturing, consumer goods and business equipment. The short-run effects last into the long-run for all the sectors. While exchange rate changes have short-run linear effects on production of electricity in the U.S., there are no effects of exchange rate movements on the production of mining, and energy materials. Moreover, the paper finds misspecification error of the model for the case of durable manufacturing. The existence of non-linearities considering import content of exports, support our hypothesis and conclusions. Further, the factors that influence demand provide justifications for our results.

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