Impact of Asymmetric Exchange Rate and Relative Price Changes on Trade between the US and Korea : Evidence from a Nonlinear ARDL Approach

2019 ◽  
Vol 32 (4) ◽  
pp. 1543-1564
Author(s):  
Jong Ha Lee ◽  
Byung Min Soon
Keyword(s):  
Exchange Rate ◽  
Relative Price ◽  
Price Changes ◽  
Nonlinear Ardl ◽  
Ardl Approach ◽  
The Us

scholarly journals Exchange Rate and Trade in Services Nexus in Nigeria: A Non-Linear ARDL Approach

2022 ◽  
Vol 8 (1) ◽  
pp. 465-482
Author(s):  
Nathan Audu ◽  
Titus Obiezue
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rates ◽  
Trade In Services ◽  
Jel Codes ◽  
Nonlinear Ardl ◽  
Ardl Approach ◽  
Nonlinear Ardl Model ◽  
Rate Adjustment ◽  
Oil Export ◽  
Asymmetric Cointegration

A nonlinear ARDL model is employed to investigate the asymmetric drivers of non-oil trade in services between Nigeria and Netherlands. A significant number of past studies have concentrated their attention on the elasticity of trade in services to real exchange rates and income as well as on non-oil export, total export trade or import, yet none have delve into asymmetric relationship. This study aims to fills this void. Our result shows that the effects of exchange rate variations have both positive and negative displays with more negative asymmetry. This provides further insights in the nature of service asymmetries. (JEL Codes: C22, D43, E31, L71, Q41) Keywords: asymmetric cointegration, exchange rate adjustment, disaggregated, services

Nonlinear ARDL approach, asymmetric effects and the J-curve

2015 ◽  
Vol 42 (3) ◽  
pp. 519-530 ◽  
Author(s):  
Mohsen Bahmani-Oskooee ◽  
Hadise Fariditavana
Keyword(s):  
Exchange Rate ◽  
Trade Balance ◽  
Trade Flows ◽  
Balance Model ◽  
Content Type ◽  
Asymmetric Effects ◽  
Currency Depreciation ◽  
Nonlinear Ardl ◽  
J Curve ◽  
Ardl Approach

Purpose – Previous research that investigated the effects of currency depreciation on the trade balance assumed that the adjustment of all variables in a given model is in linear fashion. The authors wonder if introduction of nonlinearity in the adjustment of some variables such as the exchange rate can shed additional light on evidence of the J-curve. The new approach also allows to test whether exchange rate changes have symmetric or asymmetric effects on the trade balance. Estimates of a trade balance model for Canada, China, Japan, and the USA reveal that the effects are indeed asymmetric. The paper aims to discuss these issues. Design/methodology/approach – The methodology is based on linear and nonlinear ARDL approach. Findings – When nonlinearity is introduced into testing approach for the J-curve, more evidence is found in support of the J-curve. Research limitations/implications – The models are estimated using aggregate trade flows of each country with the rest of the world, hence they suffer from aggregation bias. Using trade flows at bilateral level and at commodity level are highly recommended for future research. Originality/value – This is the first paper that applies nonlinear ARDL approach to test the short-run and long-run effects of currency depreciation on the trade balance.

scholarly journals Further Evidence on Asymmetry in the Impact of Oil Price on Exchange Rate and Stock Price in China using Daily Data

2021 ◽  
Vol 13 (5) ◽  
pp. 83
Author(s):  
Nazeer Ahmed ◽  
Ma Dingchou ◽  
Abdul Qayyum
Keyword(s):  
Exchange Rate ◽  
Stock Price ◽  
Structural Breaks ◽  
Oil Price ◽  
Nonlinear Ardl ◽  
Daily Data ◽  
The Us ◽  
Short Run ◽  
Us Dollar ◽  
The Impact

The role of oil price on the macro-economy has been intensely researched. However, oil remains one of the most important energy sources for production. Concerning China, there are projections that the country’s energy consumption would have risen to 18 billion barrels per day in the next two decades. Given China’s heavy reliance on oil, we reexamine the impact of oil price on the US dollar-Renminbi rate and the Shanghai index using daily data from 4/01/2010 to 29/03/2021. In our analysis, we apply the Nonlinear ARDL technique in the presence of structural breaks and find that oil price has asymmetric impact on exchange rate and stock price in the short-run alone. However, the asymmetry is only in terms of magnitude and not in terms of effect direction. Oil price is found to appreciate the Renminbi vis-à-vis the US dollar and to increase stock price significantly both in the short-run. We find that accounting for structural breaks is necessary for cointegration in using oil price to explain both variables.

scholarly journals Asymmetrical Exchange Rates Effect on Indonesia's Trade Balance in Tourism

JEJAK ◽  
2021 ◽  
Vol 14 (1) ◽  
pp. 102-122
Author(s):  
Akbar Maulana ◽  
Taufiq Carnegie Dawood ◽  
Teuku Zulham
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Trade Balance ◽  
Real Rate ◽  
The Real ◽  
Empirical Results ◽  
Nonlinear Ardl ◽  
Ardl Approach ◽  
China And Japan ◽  
The Government

The main objective of this research is to analyze the effect of depreciation and real exchange rate appreciation on Indonesia's tourism trade balance bilaterally against Australia, China, Japan, Malaysia, and Singapore. Such analysis on bilateral relations have never been studied for developing markets countries, namely Indonesia. This study uses a linear ARDL approach and a nonlinear ARDL approach with the dependent variable on the tourism trade balance and the real exchange rate as independent variables. Income, foreign direct investment (FDI), and natural disasters as control variables. The empirical results show that Chinese and Japanese tourists respond positively to the depreciation in the real currency rate of exchange, thereby increasing Indonesia's tourism trade balance. Nonlinear ARDL shows that the relation concerning the real rate of exchange plus the balance of trade is non-symmetrical with respect to China and Japan, while Australia, Malaysia, and Singapore are symmetrical. These results suggest that the government should formulate policies to increase tourist visits from China and Japan. Further empirical results also found a J-curve pattern in Indonesia-China and Indonesia-Japan.

The Asymmetric Effects of Exchange Rate Changes on the Trade Balance of Singapore

2017 ◽  
Vol 17 (4) ◽  
pp. 20170055
Author(s):  
Mohsen Bahmani-Oskooee ◽  
Hanafiah Harvey
Keyword(s):  
Exchange Rate ◽  
Trade Balance ◽  
Bilateral Trade ◽  
Research Direction ◽  
Asymmetric Effects ◽  
Nonlinear Ardl ◽  
Long Run ◽  
Ardl Approach ◽  
Short Run ◽  
Exchange Rate Changes

Previous studies that tested the short-run and long-run effects of exchange rate changes on trade balances assumed that the effects are symmetric. The more recent research direction has now changed to investigating the possibility of asymmetric effects. In this paper, we assess the short-run and long-run effects of exchange rate changes on the bilateral trade balances of Singapore with her 11 partners. By applying the nonlinear ARDL approach, which separates appreciations from depreciations, we find that exchange rate changes have short-run asymmetric effects in most models. The short-run effects, however, lasted into the long run in a few models. In the long run, while depreciation improves Singapore’s trade balance with the U.S., it hurts it with Malaysia and China. These three partners account for almost 50 % of Singapore’s trade.

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