scholarly journals ANALISIS PENGARUH VOLATILITAS NILAI TUKAR PADA EKSPOR KOMODITI MANUFAKTUR DI INDONESIA PENERAPAN ESTIMASI DENGAN MENGGUNAKAN DISTRIBUSI LAG POISSONS PADA PERSAMAAN NON LINEAR SEEMINGLY UNRELATED REGRESSION

2005 ◽  
Vol 7 (2) ◽  
pp. 197-236 ◽  
Author(s):  
Dr. Mahyus Ekananda MM., MSE
Keyword(s):  
International Trade ◽  
Exchange Rate ◽  
Probability Function ◽  
Exchange Rate Volatility ◽  
Simultaneous Equation ◽  
Seemingly Unrelated Regression ◽  
System Equation ◽  
Unrelated Regression ◽  
Non Linear ◽  
The Impact

The purpose of this paper is to explain the uncertainty of exchange rate volatility effect to international trade. Its effect to international trade, specially quantity of export, come from accumulation exchange rate fluctuation from several lag. For the record, some previous researches which found out the impact of exchange rates on trade did not consider some of the things. First, the existence of inconstancy on trade. Namely, depend on the change of elasticity along the time of observations. Secondly, the number of lag in independent variable which is needed in order to record the highest impact. Third, there is an accumulation of impact in some previous period. The industry with lower import content become easier to maintain the export level. Export adjustment will occure with different time. This paper found that the industry with lower import content has faster export adjusment than higner import content. The data will separate into two different import content. The industry with higher import content will reduce the export if exchange rate volatility increase.The other purpose of this paper is to explain the algorithm solution for system equation which has non linier form in its parameter, especially in system equation of seemingly unrelated regression. Particularly, this paper will discuss the model formation by inserting poissons probability function, which cause the non linier form. Inserting poissons distibution probablity to equation of trade can estimate the time of adjustment that has a best distribution. Then, this paper will explain the implementation that had been done by Ekananda (2003) about poisons probability function on system equation, the dynamics of equation and the simultaneous equation by using Hausman algorithm (1975).Keywords: exchange rate, poisson distribution, Non Linear SURJEL: C16, C32, F14, F31

scholarly journals Estimasi Persamaan Sistem Non Linear Seemingly Unrelated Regression pada Model Perdagangan Internasional

2004 ◽  
Vol 4 (2) ◽  
pp. 45-68
Author(s):  
Mahyus Ekananda
Keyword(s):  
Exchange Rates ◽  
Economic Model ◽  
Probability Function ◽  
Simultaneous Equation ◽  
Seemingly Unrelated Regression ◽  
System Equation ◽  
Unrelated Regression ◽  
Commodity Export ◽  
Model Formation ◽  
Exchange Rates Volatility

The purpose of this paper is to explain the algorithm solution for system equation which has non linier form in its parameter, especially in system equation of seemingly unrelated regression. For example, the economic model which is used in this paper is taken from disertation of Ekananda (2003) with its topic of the uncertainty of exchange rates volatility on manufacture commodity export in Indonesia. Particularly, this paper will discuss the model formation by inserting poissons probability function, which cause the non linier form. For the next application, this method can be used for all non linier form especially the non linier form on its parameter. This paper will discuss the utilization of trade standard equation which is developed become non linier system equation of trade by inserting the element of poisons probability, the dynamics of equation and the simultaneous equation.

scholarly journals The relationship between exchange rates and international trade: a literature review

2013 ◽  
Vol 12 (3) ◽  
pp. 577-605 ◽  
Author(s):  
MARC AUBOIN ◽  
MICHELE RUTA
Keyword(s):  
International Trade ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Small Firms ◽  
Exchange Rate Volatility ◽  
Production Networks ◽  
Global Production Networks ◽  
Long Run ◽  
The Impact ◽  
The Relationship

AbstractThis paper surveys a wide body of economic literature on the relationship between exchange rates and trade. Specifically, two main issues are investigated: the impact of exchange rate volatility and of currency misalignments on international trade flows. On average, exchange rate volatility has a negative (even if not large) impact on trade. The extent of this effect depends on a number of factors, including the existence of hedging instruments, the structure of production (e.g. the prevalence of small firms), and the degree of economic integration across countries. The second issue involves exchange rate misalignments, which are predicted to have short-run effects in models with price rigidities. However, the exact impact depends on a number of features, such as the pricing strategy of firms engaging in international trade and the importance of global production networks. Trade effects of currency misalignments are predicted to disappear in the long-run, unless an economy is characterized by other relevant distortions. Empirical results broadly confirm these theoretical predictions.

scholarly journals Asymmetric effect of exchange rate volatility on trade balance in Nigeria

2021 ◽  
Vol 3 (3) ◽  
pp. 342-359
Author(s):  
Nuraddeen Umar Sambo ◽  
◽  
Ibrahim Sambo Farouq ◽  
Mukhtar Tijjani Isma'il ◽  
◽  
...  
Keyword(s):  
International Trade ◽  
Exchange Rate ◽  
Real Exchange Rate ◽  
Financial Development ◽  
Trade Balance ◽  
Exchange Rate Volatility ◽  
The Real ◽  
Non Linear ◽  
The Relationship ◽  
Real Exchange Rate Volatility

<abstract> <p>The relationship between real exchange rate volatility and the trade balance has been a contentious issue since the fall of Bretton woods agreement of 1973, owing to the lack of unanimity on the effect. This article provides empirical evidence of the link between the real exchange rate volatility and the trade balance in the light of financial development, confirming the assertion that the effect is significantly dependent on the country's level of financial development. Due to Nigeria's relatively undeveloped financial system, its exchange rate dampens the country's exports. Rather than studying the relationship in isolation, we examine the moderating role of financial development on the link between export and the real exchange rate volatility in this paper. The empirical estimation is based on the Nigeria's data set spanning the years 1980–2019, and it employs threshold autoregressive non-linear co-integration and non-linear ARDL estimation techniques. According to the findings, financial development magnifies the beneficial benefits of the real exchange rate on Nigeria's foreign trade. It also states that the uncertainty in foreign capital flows has a negative impact on Nigeria's international trade. The findings have broad policy implications, implying that in order to diversify and improve the economy's future growth and associated international trade, Nigeria's policymakers should promote adequate financial sector development, as financial shocks are amplified by poorly implemented credit markets.</p> </abstract>

scholarly journals The Effect of Exchange Rate Volatility on Economic Growth: Case of the CEE Countries

2020 ◽  
Vol 13 (8) ◽  
pp. 177
Author(s):  
Fatbardha Morina ◽  
Eglantina Hysa ◽  
Uğur Ergün ◽  
Mirela Panait ◽  
Marian Catalin Voica
Keyword(s):  
Economic Growth ◽  
International Trade ◽  
Exchange Rate ◽  
Fixed Effects ◽  
Exchange Rate Volatility ◽  
Real Effective Exchange Rate ◽  
Annual Data ◽  
Real Economy ◽  
The Exchange Rate ◽  
The Impact

The exchange rate is a key macroeconomic factor that affects international trade and the real economy of each country. The development of international trade creates conditions where volatility comes with the exchange rate. The purpose of this paper is to examine the effect of real effective exchange rate volatility on economic growth in the Central and Eastern European countries. Additionally, the effect, through three channels of influence on economic growth which vary on the measurement of exchange rate volatility, is examined. The study uses annual data for fourteen CEE countries for the period 2002–2018 to examine the nature and extends the impact of such movements on growth. The empirical findings using the fixed effects estimation for panel data reveal that the volatility of the exchange rate has a significant negative effect on real economic growth. The results appear robust with alternative measures of exchange rate volatility such as standard deviation and z-score. This paper suggests that policymakers should adopt different policies to keep the exchange rate stable in order to foster economic growth.

scholarly journals An Empirical Sector-Specific Gravity Model for Hungarian International Trade

2015 ◽  
Vol 63 (6) ◽  
pp. 2145-2150
Author(s):  
Jana Šimáková ◽  
Daniel Stavárek
Keyword(s):  
International Trade ◽  
Exchange Rate ◽  
Foreign Trade ◽  
Gravity Model ◽  
Exchange Rate Volatility ◽  
Extended Model ◽  
Panel Data Regression ◽  
Trading Partners ◽  
Trade And Exchange ◽  
The Impact

This paper contributes to the economic literature on the impact of exchange rate volatility on Hungary’s foreign trade. Basic gravity model shows that trade volume between a pair of countries is an increasing function of their sizes (GDP) and a decreasing function of the distance between them. Additional factors included in extended model are population, dummy for common border and proxy for exchange rate volatility. The measure of exchange rate volatility is estimated by GARCH model. This paper explores relationship between trade and exchange rate uncertainty using quarterly data over the period 1999:1 – 2014:3. In order to obtain the objective result, we use the panel data regression for 10 sectors of Hungarian international trade based on SITC classification and six major trading partners (Austria, Germany, France, United Kingdom, Italy and Poland). The significant parameters obtained from panel regression demonstrate that bilateral exchange rate volatility leads to a decrease in Hungary’s foreign trade.

scholarly journals The Impact of Thailand’s Openness on Bilateral Trade between Thailand and Japan: Copula-Based Markov Switching Seemingly Unrelated Regression Model

Economies ◽  
2020 ◽  
Vol 8 (1) ◽  
pp. 9
Author(s):  
Pathairat Pastpipatkul ◽  
Petchaluck Boonyakunakorn ◽  
Kanyaphon Phetsakda
Keyword(s):  
Exchange Rate ◽  
Bilateral Trade ◽  
Trade Openness ◽  
Markov Switching ◽  
High Growth ◽  
Information Criterion ◽  
Seemingly Unrelated Regression ◽  
Unrelated Regression ◽  
Student’S T ◽  
The Impact

The purpose of this paper is to analyze the impact of trade openness and the factors based on the gravity model on the bilateral trade flows between Thailand and Japan. The factors consist of GDP, distance, trade openness, and exchange rate. Bilateral trade is composed of two flows: Thailand’s export flow to Japan, and Thailand’s import flow from Japan. The specified gravity equations are estimated by Copula-based Markov switching seemingly unrelated regression approach. The best-fitting model is chosen based on the lowest Akaike information criterion (AIC) and Bayesian information criterion (BIC). The Normal and Student’s t distributions are for Thailand’s export equation and Thailand’s import equation, respectively. The Student’s t copula is applied for joint distribution. Analyzing the bilateral trade flow is separated into two situations, namely the high and the low growth markets. Empirical results show that distance provides a positive effect on the export in a high growth regime, but a negative impact on the export in a low growth regime. As for Thailand’s import flow, all variables, but especially trade openness, provide strong evidence supporting significance for both regimes. For the GDPs of both Thailand and Japan, trade openness and the exchange rate increase import flow in a high growth market. Meanwhile, the exchange rate decreases import flow in a low growth market. The Markov Switching Probability Estimation notes that Thailand’s trading with Japan is mostly in the fast-growing market.

International trade: Research of the reasons for the fall

2019 ◽  
pp. 79-91 ◽  
Author(s):  
V. S. Nazarov ◽  
S. S. Lazaryan ◽  
I. V. Nikonov ◽  
A. I. Votinov
Keyword(s):  
Growth Rate ◽  
International Trade ◽  
Exchange Rate ◽  
Global Economy ◽  
Structural Changes ◽  
Global Value Chains ◽  
Value Chains ◽  
Negative Contribution ◽  
Basic Commodity ◽  
The Impact

The article assesses the impact of various factors on the growth rate of international trade. Many experts interpreted the cross-border flows of goods decline against the backdrop of a growing global economy as an alarming sign that indicates a slowdown in the processes of globalization. To determine the reasons for the dynamics of international trade, the decompositions of its growth rate were carried out and allowed to single out the effect of the dollar exchange rate, the commodities prices and global value chains on the change in the volume of trade. As a result, it was discovered that the most part of the dynamics of international trade is due to fluctuations in the exchange rate of the dollar and prices for basic commodity groups. The negative contribution of trade within global value chains in 2014 was also revealed. During the investigated period (2000—2014), such a picture was observed only in the crisis periods, which may indicate the beginning of structural changes in the world trade.

The impact of exchange rate on price and export of agricultural production

2018 ◽  
Vol 1 (4) ◽  
pp. 9-18
Author(s):  
Rasulov Tulkin Sattarovich ◽  
Khushvaktov Kuvonchbek Ravshanovich
Keyword(s):  
International Trade ◽  
Exchange Rate ◽  
Agricultural Production ◽  
Global Economy ◽  
Agricultural Economics ◽  
Agricultural Products ◽  
Pivotal Role ◽  
Price Formation ◽  
International Trade Laws ◽  
The Impact

In today’s world of swiftly increasing global economy and continuously changing international trade laws and technology exchange rate plays a pivotal role in the production, price formation, export and import of agricultural products. For many years exchange rate as an integral part of agricultural economics has been ignored. The present study was intended to investigate exchange rate as an impacting factor on the agricultural production. It also considers the researches that have been carried about the impact of the exchange rate on prices and export of agricultural products, theirs analyses and how much impact it has in the situation of Uzbekistan.

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