scholarly journals The Consequences of Exchange Rate Fluctuations on Nigeria’s Economic Performance: An Autoregressive Distributed Lag (ARDL) Approach

Author(s):  
Nkemdilim Iheanachor ◽  
Azuka Elvis Ozegbe
2020 ◽  
Vol 3 (2) ◽  
pp. 47
Author(s):  
Nulhanuddin Nulhanuddin ◽  
Devi Andriyani

This study aims to determine the effect of short-term and long-term exchange rates and crumb rubber exports on the economic growth of Indonesia. The data used are secondary data for 39 years from 1980 to 2018 accessed on www.world.bank.wdi.data.bank.org, www.pertanian.go.id, www.bps.go.id, and www.bps.go.id. The data analysis method used is the Autoregressive Distributed Lag (ARDL) approach with the help of EViews 10 software. The results show that the economic growth is stationary at the level and exchange rate and exports of stationary crumb rubber at the first difference level and have cointegration in the long-term relationship. The test results in the short-term analysis of the exchange rate have a positive and significant effect, and exports have a positive but insignificant effect on economic growth, while in the long run, the exchange rate has a negative effect but insignificant, and exports have a positive but insignificant effect on the economic growth of Indonesia. Keywords:economic growth, exchange rates, exports and the ARDL approach.  


2017 ◽  
Vol 20 (1) ◽  
pp. 47
Author(s):  
Eva Nurul Huda ◽  
Arif Widodo

<p><em>We analyze the influence of CPO production, exchange rate, international CPO price and the terms of trade on Indonesian CPO exports in October 2011-December 2015. In doing so, we use the Autoregressive Distributed Lag (ARDL) approach to analyze the monthly time-series data for the periods of 2011:M10-2015:M12. Our findings suggest that both in the short- and long-term, the international CPO price has a significantly negative impact on Indonesia's CPO exports. Meanwhile, the CPO production and exchange rate have negative and significant effects on Indonesia's CPO exports both in short- and long-term. Taken together, all the independent variables have significant effects on Indonesia’s CPO export. Finally, based on CUSUM and CUSUMQ test, it shows that the long-term coefficient of the CPO exports model is stable.</em></p><p><em><br /></em></p><p align="center"><strong>Abstrak</strong></p><p align="center"><strong> </strong></p><p><em>Tujuan dari studi ini adalah untuk menganalisis seberapa besar pengaruh dari produksi kelapa sawit, nilai tukar rupiah terhadap dollar AS, harga CPO internasional dan <em>Term of Trade</em> terhadap ekspor CPO Indonesia pada periode Oktober 2011 sampai dengan Desember 2015. Penelitian ini menggunakan pendekatan <em>Autoregressive Distributed Lag</em> (ARDL) dengan data sekunder runtut waktu bulanan untuk periode 2011:M10-2015:M12. Hasil dari penelitian ini menunjukkan bahwa harga CPO internasional mempunyai efek negatif dan signifikan, baik dalam jangka pendek maupun jangka panjang terhadap ekspor CPO Indonesia. Variable<em> Term of Trade</em> dalam jangka pendek maupun panjang mempunyai efek positif dan signifikan terhadap ekspor CPO, sedangkan variabel produksi kelapa sawit dan nilai tukar rupiah terhadap dolar Amerika mempunyai pengaruh negatif dan signifikan terhadap ekspor dalam jangka pendek maupun panjang. Lebih lanjut, semua variabel independen secara bersama-sama mempengaruhi ekspor CPO di Indonesia, sehingga hipotesis yang menunjukkan tidak ada hubungan antara variabel independen dan dependen ditolak. Terakhir, berdasarkan pada uji CUSUM dan CUSUMQ dapat disimpulkan bahwa model ekspor CPO stabil dalam jangka panjang.<br /></em></p>


2020 ◽  
Vol 7 (4) ◽  
pp. 160
Author(s):  
Abu Bakarr TARAWALIE ◽  
Amadu JALLOH

This study aims to empirically investigate the determinants of dollarization in Sierra. It uses quarterly data from 1992Q1 to 2017Q4 and autoregressive distributed lag Bound Testing technique. Both the long and short run results revealed that inflation, exchange rate depreciation, financial deepening and war dummy were the main determinants of dollarization in Sierra Leone during the study period. The error correction term depicts that 53 percent of any disequilibrium in dollarization will be corrected within a year. A key policy recommendation is that policy makers should implement prudent policies that will ensure broader macroeconomic stability (including price stability and exchange rate stability) as a recipe for de-dollarization in Sierra Leone.


Author(s):  
Anis Mat Dalam ◽  
Noorhaslinda Kulub Abd Rashid ◽  
Jaharudin Padli

Gold is a valuable asset to a country because of its liquidity. Gold reserve can stabilize the currency in a country. The objective of this paper is to identify the factors contributing to the volatility of gold prices, such as Real Malaysia GDP, inflation rates, crude oil prices and exchange rates. The data was analysed using Autoregressive Distributed Lag (ARDL) approach with time series data, with 30-year coverage from 1987 to 2016. Findings showed that only Real Malaysia GDP and crude oil prices were significantly related to gold prices. As a conclusion, this study can be used as reference by other investors. The author suggests to other researchers to further improve upon this study by adding more variables or diversifying the variables that relate to volatility of gold prices.


2019 ◽  
Vol 2 (1) ◽  
pp. 15
Author(s):  
Ahmadi Murjani

 Poverty alleviation has become a vigorous program in the world in recent decades. In line with the efforts applied by the government in various countries to reduce poverty, some evaluations have been practised. The impacts of macroeconomic variables such as inflation, unemployment, and economic growth have been commonly employed to be assessed for their impact on the poverty. Previous studies in Indonesia yielded mix results regarding the impact of such macroeconomic variables on the poverty. Different methods and time reference issue were the suspected causes. This paper aims to overcome such problem by utilising the Autoregressive Distributed Lag (ARDL) equipped with the latest time of observations. This paper finds in the long-run, inflation, unemployment, and economic growth significantly influence the poverty. In the short-run, only inflation and economic growth are noted affecting poverty significantly. 


2020 ◽  
Vol 10 (2) ◽  
pp. 53-70
Author(s):  
Abdulkader Aljandali ◽  
Christos Kallandranis

Despite rising interest in African economies, there is little prior research on the determinants of exchange rate movements in the region. This paper examines the monthly exchange rates of the country members of the Southern African Development Community (SADC) from 1990 to 2010 inclusive. Long-run equilibrium exchange rate models are established, exchange rate determinants are identified, and ex-post forecasts are generated for a period of 18 months (Sekantsi, 2011). The autoregressive distributed lag (ARDL) cointegration model is used in this paper, given its statistical advantages over commonly, applied cointegration techniques. Findings show that the ARDL method generates accurate forecasts for eight out of 11 sampled exchange rates. In keeping with earlier literature (e.g., Redda & Muzindusti, 2017; Zerihun & Breitenbach, 2017; etc.), findings suggest that the chances of SADC member countries fulfilling the requirements of a currency union are quite low. This paper marks one of the first attempts in the literature to forecast exchange rates in SADC using the ARDL approach (Pesaran & Shin, 1995). The results would be of interest to policy-makers, researchers and investors.


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