scholarly journals THE EXCHANGE RATE VOLATILITY AND EXPORT PERFORMANCE: THE CASE OF INDONESIA'S EXPORTS TO JAPAN AND THE US

2017 ◽  
Vol 20 (1) ◽  
pp. 49-70
Author(s):  
Shinta Fitrianti
Keyword(s):  
Exchange Rate ◽  
Global Financial Crisis ◽  
Export Performance ◽  
Exchange Rate Volatility ◽  
Commodity Price ◽  
Long Run ◽  
The Us ◽  
Short Run ◽  
The Exchange Rate ◽  
The Impact

This paper investigates the long-run and short-run impacts of the exchange rate volatility onIndonesia’s real exports to its major trading partners; Japan and US. The study uses monthly data from January 1998 to October 2015 in order to capture the structural break period of the Global Financial Crisis 2008. In addition, commodity price is included as an explanatory variable. The index of exchange rate volatility is generated using moving sample standard deviation of the growth of the real exchange rate. This paper estimates the long-run cointegration using Autoregressive Distributed Lag (ARDL) bounds testing, while for the short-run dynamic this paper use error-correction-model (ECM). The findings suggest rupiah volatility against the Japanese yen reduces Indonesia’s export to Japan, both in the short and the long-run. Fluctuation of rupiah against the US dollar helps Indonesia’s export to the US in the short run, but the impact is not carried out to the long-run. On the other hand, the impact of commodity price shock is negligible, except for the long-run export to Japan.

scholarly journals Exchange Rate Volatility and Its Implications on Macroeconomic Variables in East African Countries

2020 ◽  
Vol 7 (3) ◽  
pp. 145
Author(s):  
Nicas Yabu ◽  
Deogratius Kimolo
Keyword(s):  
Exchange Rate ◽  
Positive Impact ◽  
Export Performance ◽  
Exchange Rate Volatility ◽  
Mitigation Measures ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Short Run ◽  
Lending Rates ◽  
The Exchange Rate

The study examines the extent of exchange rate volatility and its impact on key macroeconomic variables such as exports, FDI inflows, interest rate and inflation in Tanzania, Kenya and Uganda. The GARCH model is used to compute the extent of exchange rate volatility while the Panel Autoregressive Distributed Lag (ARDL) technique or pooled mean group (PMG) estimator was used to estimate the effects of exchange rate volatility on selected macroeconomic variables. The results indicate that volatility in the exchange rate is a real issue in all the sampled countries and is fundamentally driven by exports and FDI dynamics for the period under consideration. The results indicate a positive impact of the exchange rate volatility to export performance and lending rates in the long run. Exchange rate volatility appears to be detrimental to both export performance and leads to a reduction in lending rates in the short run. Also, the response of FDI to exchange rate volatility seems to be negative in the long run while in the short run the response from the volatility of real exchange rate seems is insignificant. Though not significant, the volatility of the exchange rate appears to have a positive impact on inflation. The study recommends that policymakers need institute mitigation measures which could smooth out excessive exchange rate volatility to minimize its likely impact on the economy. The study also indicated a need for the EAC countries to consider adopting inflation targeting monetary policy framework in order to contain inflation at the appropriate level.

scholarly journals Exchange Rate Volatility and Trade Flows: Evidence from China, Pakistan and India

2015 ◽  
Vol 7 (11) ◽  
pp. 121 ◽  
Author(s):  
Sarfaraz Ahmed Shaikh ◽  
Ouyang Hongbing
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
Trade Flows ◽  
Series Data ◽  
General Level ◽  
Negatively Associated ◽  
Long Run ◽  
Short Run ◽  
The Exchange Rate ◽  
The Impact

This study examines the impact of exchange rate fluctuations on trade flows in case of China, Pakistan and India by using the time series data from 1980 to 2013. Most of the researchers have advocated that exchange rate volatility is negatively associated with general level of trade. In this study we have used the standard deviation of the moving average of the logarithm of the exchange rate as a proxy for volatility. And to investigate this relationship, we have applied the Autoregressive Distributive Lag (ARDL) approach for co-integration which estimates the short and long run relationship among the variables for the said period. The results of this empirical work have suggested that exchange rate volatility is negatively associated with Chinese exports in short run while positively associated in long run. However, in the case of Pakistan and India both in the short run and long run, the exchange rate volatility is negatively associated with total volume of trade.

scholarly journals Exchange Rate Volatility and Disaggregated Manufacturing Exports: Evidence from an Emerging Country

2019 ◽  
Vol 12 (1) ◽  
pp. 12 ◽  
Author(s):  
Duc Hong Vo ◽  
Anh The Vo ◽  
Zhaoyong Zhang
Keyword(s):  
Exchange Rate ◽  
Global Financial Crisis ◽  
Manufacturing Sector ◽  
Export Performance ◽  
Exchange Rate Volatility ◽  
Exchange Rate Policy ◽  
Policy Implications ◽  
Negative Effects ◽  
Long Run ◽  
The Impact

The link between export performance and exchange rate policy has been attracting attention from policymakers, academics, and practitioners for some time, particularly for emerging countries. It has been recently claimed that implementing a policy that devalues the currency in Vietnam is an important factor for enhancing its export performance. However, it is also argued that such a policy could result in the harmful consequence of exchange rate volatility. This study analyzes the link between exchange rate devaluation, volatility, and export performance. The analysis focuses on the manufacturing sector and 10 of its subsectors that were engaged in the export of goods between Vietnam and 26 key export partners during the 2000–2015 period. Potential factors that could affect this relationship, such as the global financial crisis, Vietnam’s participation in the World Trade Organization, or even the export partners’ geographic structures, are also accounted for in the model. The findings confirm that a strategy that depreciates Vietnam’s currency appears to enhance manufacturing exports in the short run, whereas the resulting exchange rate volatility has clear negative effects in the long run. The impact of exchange rate volatility on manufacturing subsectors depends on two factors, namely, (i) the type of export and (ii) the export destination. Policy implications emerging from these conclusions are presented.

scholarly journals The Impact of Exchange Rate on Bangladesh’s Export: A Cointegration Approach

2020 ◽  
pp. 22-30
Author(s):  
Takrima Sayeda
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange Market ◽  
Export Performance ◽  
Long Run ◽  
Time Period ◽  
Floating Exchange Rate ◽  
Short Run ◽  
Year 2000 ◽  
The Impact

The purpose of the paper is to see if there is any relationship exist between free floating exchange rate and export performance of Bangladesh. It inspects the monthly data of exchange rate and export value for the time period between year 2000 and 2017. It utilized the Johansen [1] cointegration approach to identify the extent of long run and short run relationship between them. The study could not establish neither any long term trend nor any short term dynamics between the variables. Respective variables are significantly related to their own immediate past values. Distant past values do not have any implications. This study suggests that short run macroeconomic policy would be beneficial to influence the foreign exchange market and eventually the performance of export of Bangladesh.

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.

scholarly journals Impact of Foreign Direct Investment, Trade Openness, Domestic Demand, and Exchange Rate on the Export Performance of Bangladesh: A VEC Approach

2012 ◽  
Vol 2012 ◽  
pp. 1-10 ◽  
Author(s):  
Bishnu Kumar Adhikary
Keyword(s):  
Foreign Direct Investment ◽  
Exchange Rate ◽  
Direct Investment ◽  
Export Performance ◽  
Trade Openness ◽  
Domestic Demand ◽  
Vec Model ◽  
Long Run ◽  
Short Run ◽  
The Impact

This paper investigates the impact of foreign direct investment (FDI), trade openness, domestic demand, and exchange rate on the export performance of Bangladesh over the period of 1980–2009 using the vector error correction (VEC) model under the time series framework. The stationarity of the variables is checked both at the intercept and intercept plus trend regression forms under the ADF and PP stationarity tests. The Johansen-Juselius procedure is applied to test the cointegration relationship between variables followed by the VEC regression model. The empirical results trace a long-run equilibrium relationship in the variables. FDI is found to be an important factor in explaining the changes in exports both in the short run and long-run. However, the study does not trace any significant causal relationship for the cases of trade openness, domestic demand, and exchange rate. The study concludes that Bangladesh should formulate FDI-led polices to enhance its exports.

scholarly journals Exchange Rate Volatility and Import Trade Flow Evidence From India-U.S. at Industry Level

2021 ◽  
Vol 12 (3) ◽  
pp. 1-21
Author(s):  
Mohini Gupta ◽  
Sakshi Varshney
Keyword(s):  
Exchange Rate ◽  
Trade Flow ◽  
Exchange Rate Volatility ◽  
Long Run ◽  
Short Run ◽  
Import Trade ◽  
The Impact ◽  
The Relationship ◽  
Autoregressive Conditional Heteroscedasticity ◽  
The Empirical Analysis

The centre interest of the study is to explore the impact of exchange rate volatility on the India-U.S. trade flow of Import on 6 industries spanned from September 2002 to June 2019. We investigate the relationship at disaggregate level by industry-wise data with monthly frequency. We employ exponential generalized autoregressive conditional heteroscedasticity (E-GARCH) model to gauge volatility and thereafter ARDL bound testing approach to unveil the short and long-run association of real exchange rate volatility and import. The empirical analysis implies the existence of both short-run and long-run effect in 5 importing industries except manufactured (engineering) goods. While real exchange volatility appears to have statistically significant effect in short-run, but also estimated short-run lasts onto long-run effect in only three industries. The results confirm the information of import in time-series analysis. The finding of the study helps to undertake the view of invariability and considering the industry before policy making.

scholarly journals The Impact of Terrorist Attacks on Foreign Exchange Rate: Case Study of Turkish Lira versus Pound Sterling

2016 ◽  
Author(s):  
Mansoor Maitha ◽  
Jehar Mustofa ◽  
Ugur Gok
Keyword(s):  
Exchange Rate ◽  
Negative Impact ◽  
Causal Effect ◽  
Terrorist Attack ◽  
Terrorist Attacks ◽  
Long Run ◽  
Short Run ◽  
The Exchange Rate ◽  
The Impact ◽  
Turkish Lira

In this study the impact of terrorist attacks on exchange rate is estimated. Particularly, the study focuses on Turkish terrorist attacks and its implication on Turkish lira versus pound sterling exchange rate. In order, to find the causal effect the study employed Autoregressive distributive lag (ARDL) bound testing approach as an estimation technique. Accordingly, the analysis reveals that terrorist attack has a negative impact on the exchange rate in both short and long-run. However, the negative effect of terrorism tends to be small in both the short-run and long-run. More precisely, terrorist attack depreciates the exchange rate between Turkish lira and pound sterling by approximately 0.00072 in the next trading day. The long-term effect also shows that terrorist attack depreciates the exchange rate on average by 0.00212.

scholarly journals NILAI TUKAR DAN TRADE FLOWS

2007 ◽  
Vol 8 (3) ◽  
Author(s):  
Siti Astiyah ◽  
M. Setyawan Santoso
Keyword(s):  
Exchange Rate ◽  
Export Performance ◽  
Exchange Rate Policy ◽  
Panel Regression ◽  
Business Climate ◽  
The Real ◽  
Trade Performance ◽  
Long Run ◽  
Short Run ◽  
The Impact

The paper is testing the Marshal-Lernercondition and the J-Curvephenomenon on the Indonesian trade. We apply the panel regression model and anlyze the impact of the real depreciation of Rupiah on the trade performance, both in the short run and in the long run.The study indicates the insignificant of the Rupiah real depreciation to boost the export performance in the short run. When the time horizon is long enough, the increase of the export caused by the depreciation, will offset the increase of the import, hence in the long run the real depreciation of Rupiah may significantly increase the trade performance, but still in a small number.The implication is clear for the policy maker; ifthe aim of the policy is to boost the trade performance, then the exchange rate policy should not be an alternative, rather using policy to increase the productivity, efficiency, product quality management, loose tax policy and the creation of the business climate. This includes the industrial re-structuring to lower the import dependences.JEL Classification: C23, F14Keywords: J-Curve, Marshal-Lerner, trade, exchange rate, panel regression

Pengujian Resiko Redenominasi terhadap Nilai Tukar Rupiah

Owner ◽  
2021 ◽  
Vol 5 (2) ◽  
pp. 620-630
Author(s):  
Abdul Holik
Keyword(s):  
Exchange Rate ◽  
Inflation Rate ◽  
Positive Impact ◽  
Credit Default Swap ◽  
Economic Agents ◽  
Long Run ◽  
Short Run ◽  
The Exchange Rate ◽  
The Government ◽  
The Impact

The redenomination is a breakthrough policy to induce stabilization because making transactions easier among the economic agents. This quantitative research aims to find the properness of the redenomination policy in Indonesia. The focus of this research is to analyze the impact of redenomination risk on rupiah exchange rate performance. It is conducted from April 1st, 2015 until May 9th, 2016. The method of analysis used here is VECM (Vector Error Correction Model) to find relation reciprocally among the three variables: CDS (Credit Default Swap) as a proxy for redenomination risk, exchange rate, and sovereign yields. Based on the result, we find that there are negative impacts in the long-run and short-run from redenomination risk on the rupiah exchange rate. Meanwhile, the sovereign yield has a positive impact on the rupiah exchange rate in the long run. In the short run, the exchange rate has a positive impact on redenomination, as well as on sovereign yield. The sovereign yield also has a positive effect on the exchange rate, as well as on the redenomination risk. But there is no impact of redenomination risk on the sovereign yield. From this finding, we should suggest that redenomination is a not proper decision yet. It is because the weakness of rupiah after its implementation due to sentiment of over-confidence among the economic agents sometimes triggers uncontrollable and high inflation rate. For the successful policy, previously the government should take action to reduce the inflation rate.

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