scholarly journals Is Exchange Rate Volatility An Important Determinant Of Tax Revenues? Evidence From Turkey

2021 ◽  
Author(s):  
Sinem Koçak Koçak
Keyword(s):  
Exchange Rate ◽  
Important Determinant ◽  
Exchange Rate Volatility ◽  
Tax Revenues ◽  
Distributed Lag ◽  
Long Run ◽  
Negative Effect ◽  
Short Run ◽  
New Perspective ◽  
Macroeconomic Determinants

Is exchange rate volatility an important determinant of tax revenues? This study seeks, in the light of this question, empirical evidence on the relationship between volatility in exchange rates and tax revenues in the case of Turkey. Monthly data on exchange rate volatility, tax revenues, industrial production index and inflation rate for the period 2006:01-2019:12 are utilized for research purposes. The short-run and long- run dynamics between the variables are analyzed using the Autoregressive Distributed Lag (ARDL) model to shed some light on the macroeconomic determinants of tax revenues, with a new perspective considering exchange rate volatility. The results of the ARDL bounds test show that volatility in the exchange rate has a negative effect on tax revenues in the long-run, but positively in the short-run.

Exchange Rate Volatility and Tourism Demand in India: Unraveling the Asymmetric Relationship

2019 ◽  
Vol 59 (7) ◽  
pp. 1282-1297 ◽  
Author(s):  
Chandan Sharma ◽  
Debdatta Pal
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
Point Of View ◽  
Tourism Demand ◽  
Asymmetric Effect ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Long Run ◽  
Short Run ◽  
Lag Model

This study explores the asymmetric effect of exchange rate volatility on tourism demand in India from January 2006 to April 2018. Tourism demand is captured from a twin perspective—quantity and value. While quantity is represented by foreign tourist arrival in India, earnings from foreign tourists are used to represent value. The study is unique from a methodological point of view as it makes the first ever application of the nonlinear autoregressive distributed lag model of Shin, Yu, and Greenwood-Nimmo (2014), in the tourism demand literature to capture nonlinearity simultaneously in the short- as well as long-run. Results of our analysis show that tourism demand in India responds asymmetrically to both nominal and real exchange rate volatility. Also, the long-run effects of exchange rate uncertainty are shown to be more damaging than the short-run effects. Our findings are fairly robust to alternative specifications.

scholarly journals Effects of Exchange Rate Volatility On Non-Traditional Exports In Ghana

2017 ◽  
Vol 7 (2017) ◽  
pp. 80-103
Author(s):  
Camara Kwasi Obeng
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
Real Effective Exchange Rate ◽  
Distributed Lag ◽  
Long Run ◽  
Effective Exchange ◽  
Short Run ◽  
Auto Regressive ◽  
The Government ◽  
Effective Exchange Rate

The government of Ghana has implemented a number of policies to strengthen the production and export of non-traditional products as a way of diversifying exports in Ghana with very little success. Foremost among these policies is the liberalization of exchange rate. Meanwhile, the exchange rate has been very volatile. The study, therefore, examines the effects of exchange rate volatility on non-traditional exports in Ghana.This study employed Auto-regressive Distributed Lag (ARDL) co-integration estimation technique for the investigation. The results indicate that exchange rate volatility negatively impacts Ghana’s non-traditional exports. Also, the effect is greater in the long- run than it is in the short-run. Other results also show that world income, growth rate of the economy and Treasury bill rate promote non-traditional exports, but real effective exchange rate does not. The value of the paper lies in the discussion of the short-run and long-run effects of exchange rate volatility on non-traditional exports in the Ghanaian context.

scholarly journals Exchange Rate Volatility and Sectoral Analysis of Non-Oil Export in Nigeria

2021 ◽  
Vol 24 (1) ◽  
pp. 21-36
Author(s):  
Lukman Oyeyinka Oyelami ◽  
Omowumi M. Ajeigbe
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
Sectoral Analysis ◽  
Long Run ◽  
Oil Export ◽  
Negative Effect ◽  
Short Run ◽  
Oil Sector ◽  
Export Industries ◽  
Bound Test

Abstract The paper seeks to assess the industry-based effect of exchange rate volatility on the export of non-oil sector in Nigeria. Theoretically and empirically, volatility-trade link is ambiguous. The paper employed bound test for co-integration between exchange rate volatility and exports of non-oil products. Empirically, the results show that we can accept the hypothesis of no co-integration between volatility and export of non-oil industries in most cases. Therefore, the study concludes that the exchange rate volatility can actually produce negative effect on non-oil export industries in the short-run especially the big industries (Agriculture, food and manufacturing) but this effect does not linger into the long-run and this suggests that most of these industries have been able to develop a mechanism to cope with exchange rate volatility problem in the long-run.

Investigating the Impact of Exchange Rate Volatility, Inflation and Economic Output on International Trade of India

2020 ◽  
Vol 68 (2) ◽  
pp. 207-226
Author(s):  
Aastha Arora ◽  
Sarika Rakhyani
Keyword(s):  
Exchange Rate ◽  
Positive Impact ◽  
Exchange Rate Volatility ◽  
Goods And Services ◽  
Economic Output ◽  
Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
Trade Of Services ◽  
The Impact

Four models have been constructed separately for exports of goods, imports of goods, exports of services and imports of services to explore the impact of exchange rate volatility, inflation and economic output on India’s foreign trade. AutoRegressive Distributed Lag (ARDL) bounds test run on monthly data over the period of 2011–2020 reports that in the long run, growth in production positively impacts the trade in goods and services. Rise in level of prices negatively impacts the exports of goods. In the short run, a rise in volatility brings a decline in the imports of goods but in the long run, it has a positive impact on the exports of goods. Volatile exchange rate has no impact on trade in services. An increase in inflation in the short run leads to a rise in the imports of goods but brings a decline in the trade of services.

scholarly journals Mobile Money Use: The Impact of Macroeconomic Policy and Regulation

Economies ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 51
Author(s):  
Lorna Katusiime
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Financial Innovation ◽  
Macroeconomic Policy ◽  
Mobile Money ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Long Run ◽  
Short Run ◽  
The Impact

This paper examines the effects of macroeconomic policy and regulatory environment on mobile money usage. Specifically, we develop an autoregressive distributed lag model to investigate the effect of key macroeconomic variables and mobile money tax on mobile money usage in Uganda. Using monthly data spanning the period March 2009 to September 2020, we find that in the short run, mobile money usage is positively affected by inflation while financial innovation, exchange rate, interest rates and mobile money tax negatively affect mobile money usage in Uganda. In the long run, mobile money usage is positively affected by economic activity, inflation and the COVID-19 pandemic crisis while mobile money customer balances, interest rate, exchange rate, financial innovation and mobile money tax negatively affect mobile money usage.

scholarly journals Macroeconomic determinants of interest rate spreads in Ghana

2017 ◽  
Vol 8 (1) ◽  
pp. 76-88 ◽  
Author(s):  
Samuel Kwabena Obeng ◽  
Daniel Sakyi
Keyword(s):  
Interest Rate ◽  
Exchange Rate Volatility ◽  
Institutional Quality ◽  
Fiscal Discipline ◽  
Content Type ◽  
Distributed Lag ◽  
Short Run ◽  
Interest Rate Spreads ◽  
Macroeconomic Determinants ◽  
The Impact

Purpose The purpose of this paper is to examine macroeconomic determinants of interest rate spreads in Ghana for the period 1980-2013. Design/methodology/approach The autoregressive distributed lag bounds test approach to cointegration and the error correction model were used for the estimation. Findings The results indicate that exchange rate volatility, fiscal deficit, economic growth, and public sector borrowing from commercial banks, increase interest rate spreads in Ghana in both the long and short run. Institutional quality reduces interest rate spreads in the long run while lending interest rate volatility and monetary policy rate reduce interest rate spreads in the short run. Research limitations/implications The depreciation of the Ghana cedi must be controlled since its volatility increases spreads. There is a need for fiscal discipline since fiscal deficits increase interest rate spreads. Government must reduce its domestic borrowing because the associated crowding-out effect increases interest rate spreads. The central bank must improve its monitoring and regulation of the financial sector in order to reduce spreads. Originality/value The main novelty of the paper (compared to other studies on Ghana) lies on the one hand; analysing macroeconomic determinants of interest rate spreads and, on the other hand, controlling for the impact of institutional quality on interest rate spreads in Ghana.

scholarly journals INFLASI DARI SUDUT PANDANG MONETER DAN FISKAL (STUDI KASUS SUMATERA BARAT)

2019 ◽  
Vol 1 (1) ◽  
pp. 131
Author(s):  
Zul Azhar ◽  
Alpon Satrianto ◽  
Nofitasari Nofitasari
Keyword(s):  
Interest Rate ◽  
Money Supply ◽  
Government Spending ◽  
Descriptive Research ◽  
Distributed Lag ◽  
Long Run ◽  
Negative Effect ◽  
Short Run ◽  
The Interest Rate ◽  
Positive Effect

This study aims to analyze the effect of money supply M2, interest rate, government spending and local tax on the inflation in West Sumatera. This type of research is descriptive research and secondary datain the form of time-series from quartely 1 2007 to 2017 quartely 4 using the method of Autoregresive Distributed Lag analysis. The results of this study indicate that money supply in the long run have a significant and positive effect on inflation West Sumatera. In the short run  and long run the interest rate has a significant and positive effect on inflation in West Sumatera. Government spending in the Long run has a significant and negative effect on inflation in West Sumatera. Based on the result of this study can be concluded that there is inflation in West Sumatera is monetery of phenomenon in the long run. 

scholarly journals The dynamic effect of exchange-rate volatility on Turkish exports: Parsimonious error-correction model approach

2015 ◽  
Vol 62 (4) ◽  
pp. 429-451 ◽  
Author(s):  
Erdal Demirhan ◽  
Banu Demirhan
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Exchange Rate Volatility ◽  
Dynamic Effect ◽  
Error Correction Model ◽  
Impulse Response Functions ◽  
Correction Model ◽  
Long Run ◽  
Export Volume ◽  
Short Run

This paper aims to investigate the effect of exchange-rate stability on real export volume in Turkey, using monthly data for the period February 2001 to January 2010. The Johansen multivariate cointegration method and the parsimonious error-correction model are applied to determine long-run and short-run relationships between real export volume and its determinants. In this study, the conditional variance of the GARCH (1, 1) model is taken as a proxy for exchange-rate stability, and generalized impulse-response functions and variance-decomposition analyses are applied to analyze the dynamic effects of variables on real export volume. The empirical findings suggest that exchangerate stability has a significant positive effect on real export volume, both in the short and the long run.

scholarly journals Effects of Exchange Rate and Inflation Rate on Stock Market Returns Volatility in India.

2020 ◽  
Author(s):  
Nenavath Sre ◽  
Suresh Naik
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Error Correction ◽  
Inflation Rate ◽  
Market Returns ◽  
Stock Market Returns ◽  
Positive Effects ◽  
Distributed Lag ◽  
Long Run ◽  
Short Run

Abstract The paper investigates the effect of exchange and inflation rate on stock market returns in India. The study uses monthly, quarterly and annual inflation and exchange rate data obtained from the RBI and market returns computed from the Indian share market index from January, 2000 to June, 2020.The paper uses the autoregressive distributed lag (ARDL) co-integration technique and the error correction parametization of the ARDL model for investigating the effect on Indian Stock markets. The GARCH and its corresponding Error Correction Model (ECM) were used to explore the long- and short-run relationship between the India Stock market returns, inflation, and exchange rate. The paper shows that there exists a long term relationship but there is no short-run relationship between Indian market returns and inflation. But, there is periodicity of inflation monthly considerable long run and short-run relationship between them existed. The outcome also illustrates a significant short-run relationship between NSE market returns and exchange rate. The variables were tested for short run and it was significantly shown the positive effects on the stock market returns and making it a desirable attribute of which investors can take advantage of. This is due to the establishment of long-run effect of inflation and exchange rate on stock market returns.

scholarly journals Are the Responses of Sectoral Energy Imports Asymmetric to Exchange Rate Volatilities in Pakistan? Evidence From Recent Foreign Exchange Regime

2021 ◽  
Vol 9 ◽  
Author(s):  
Abdul Saqib ◽  
Tze-Haw Chan ◽  
Alexey Mikhaylov ◽  
Hooi Hooi Lean
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Exchange Rate Volatility ◽  
Asymmetric Effects ◽  
Unit Root Testing ◽  
Long Run ◽  
Short Run ◽  
Bound Test

Growing energy demand but stagnant production followed by volatile exchange rate leads Pakistan to energy imbalances and potential economic contraction. Yet, studies on sectoral energy imports are limited and inconclusive without accessing the asymmetric effect of currency fluctuations. We examine the impacts of Pakistani rupee volatility on monthly energy imports based on the nonlinear autoregressive distributed lag (NARDL) estimations. Augmented Dickey–Fuller and Phillips–Perron tests were used to conduct unit root testing, and the bound testing approach was used to examine the long-term cointegration. The long-run asymmetry was tested with the Wald test, and using the NARDL model, we examined both short-run and long-run asymmetric effects of exchange rate volatility on energy imports. The bound test was established and supported through ECMt−1 (t-test), cointegrating the relationship between exchange rate volatility and energy imports in a long term. Among others, both short-run and long-run asymmetric effects were found for crude oil, coal, electricity, and petroleum products. Rupee depreciation increased crude oil and electricity imports, while the appreciation effects were insignificant. Overall, the empirical assessment reveals that the foreign exchange volatility effect is sectoral specific and asymmetric in Pakistan. It offers new insights into re-strategizing the energy policy and refining the import substitution plan.

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