scholarly journals Exchange Rate Risk and Uncertainty and Trade Flows: Asymmetric Evidence from Asia

2020 ◽  
Vol 13 (6) ◽  
pp. 128
Author(s):  
Mohsen Bahmani-Oskooee ◽  
Parveen Akhtar ◽  
Sana Ullah ◽  
Muhammad Tariq Majeed
Keyword(s):  
Exchange Rate ◽  
Linear Models ◽  
Nonlinear Models ◽  
Exchange Rate Volatility ◽  
The Philippines ◽  
Trade Flows ◽  
Asian Countries ◽  
Exchange Rate Uncertainty ◽  
Nonlinear Ardl ◽  
Nonlinear Ardl Model

Very recently, the link between exchange rate volatility and trade flows has entered into a new direction in which researchers assess the possibility of asymmetric response of trade flows to a measure of exchange rate uncertainty. We add to this literature by estimating a linear and a nonlinear ARDL model to learn about the experiences of Asian countries, i.e., Pakistan, Japan, China, Korea, Singapore, Malaysia, the Philippines, and India. Like other studies in the literature, nonlinear models yielded relatively more significant results. In some cases, while the linear models showed no significant effects of exchange rate volatility on trade flows, the nonlinear models revealed significant effects. In some other cases, the opposite was true.

Asymmetric Exchange Rate Effects on Cross-Border Freight Flows between the United States and Canada

2020 ◽  
Vol 2674 (4) ◽  
pp. 348-361
Author(s):  
Junwook Chi
Keyword(s):  
Exchange Rate ◽  
Linear Models ◽  
Bilateral Trade ◽  
Nonlinear Models ◽  
Exchange Rate Volatility ◽  
The United States ◽  
Trade Flows ◽  
Asymmetric Effects ◽  
Cross Border ◽  
Long Run

This paper investigates possible asymmetric influences of the exchange rate on cross-border freight flows between the U.S.A. and Canada. Linear and nonlinear autoregressive distributed lag models are used to test for the existence of long-run asymmetric effects of 1) currency appreciation and depreciation and 2) exchange rate volatility changes on trade flows by truck, rail, air, vessel, and pipeline. This paper provides evidence that both currency value and exchange rate volatility affect the U.S.–Canada freight flows in an asymmetric manner. The long-run results of the nonlinear models show that exchange rate is found to be significantly associated with the bilateral trade flows between the U.S.A. and Canada. Exchange rate volatility tends to be significantly associated with trade flows in the nonlinear models, while its effects are insignificant in most cases in the linear models. These findings suggest that the conventional linear specification may mislead the asymmetric effects of exchange rate uncertainty on cross-border freight flows. It is also found that exchange rate sensitivities of U.S.–Canada trade flows by transport mode can differ significantly from those of aggregate trade flows. The information derived from disaggregate trade data can be useful for traders and shippers to develop a long-term strategic plan for infrastructure investment and service expansion.

The effects of the global financial crisis on the asymmetric relationship between exchange rate volatility and trade flows

2021 ◽  
Vol 39 (2) ◽  
Author(s):  
Bisharat Hussain Chang ◽  
Niaz Ahmed Bhutto ◽  
Farhan Ahmed ◽  
Zahida Abro ◽  
Nadia Anjum
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Global Financial Crisis ◽  
Exchange Rate Volatility ◽  
Trade Flows ◽  
Nonlinear Ardl ◽  
Nonlinear Ardl Model ◽  
The Global Financial Crisis ◽  
The Relationship ◽  
Country Specific

Recent literature has shifted to examining whether the relationship between exchange rate volatility and trade flows is symmetric or asymmetric. However, this literature does not provide consistent findings. We extend the existing literature by examining whether the asymmetric relationship between exchange rate volatility and trade flows changes as a result of the global financial crisis. For this purpose, we use a nonlinear ARDL model on both the pre and the post-crisis period data. The pre-crisis and post-crisis periods cover the data from January 1986 to August 2008 and September 2008 to January 2018 respectively. Results indicate that the relationship changes as a result of global financial crisis however, this relationship is country specific as well on the type of model (export or import) selected.

The effects of the global financial crisis on the asymmetric relationship between exchange rate volatility and trade flows

2021 ◽  
Vol 39 (1) ◽  
Author(s):  
Bisharat Hussain Chang ◽  
Niaz Ahmed Bhutto ◽  
Farhan Ahmed ◽  
Zahida Abro ◽  
Nadia Anjum
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Global Financial Crisis ◽  
Exchange Rate Volatility ◽  
Trade Flows ◽  
Nonlinear Ardl ◽  
Nonlinear Ardl Model ◽  
The Global Financial Crisis ◽  
The Relationship ◽  
Country Specific

Recent literature has shifted to examining whether the relationship between exchange rate volatility and trade flows is symmetric or asymmetric. However, this literature does not provide consistent findings. We extend the existing literature by examining whether the asymmetric relationship between exchange rate volatility and trade flows changes as a result of the global financial crisis. For this purpose, we use a nonlinear ARDL model on both the pre and the post-crisis period data. The pre-crisis and post-crisis periods cover the data from January 1986 to August 2008 and September 2008 to January 2018 respectively. Results indicate that the relationship changes as a result of global financial crisis however, this relationship is country specific as well on the type of model (export or import) selected.

Exchange-Rate Volatility and Industry Trade Between Japan and China

2012 ◽  
Vol 12 (3) ◽  
pp. 1850268 ◽  
Author(s):  
Mohsen Bahmani-Oskooee ◽  
Scott W. Hegerty ◽  
Jia Xu
Keyword(s):  
Exchange Rate ◽  
Bilateral Trade ◽  
Exchange Rate Volatility ◽  
Trade Flows ◽  
Negative Effects ◽  
Exchange Rate Uncertainty ◽  
Long Run ◽  
Bilateral Trade Flows ◽  
Short Run ◽  
Export Industries

Exchange-rate risk is often thought to reduce international trade flows, but numerous theoretical and empirical analyses have pointed toward positive as well as negative effects. This is particularly true when bilateral trade flows for individual industries are estimated. In this study, we extend the literature to the case of Japanese trade with China for 110 import industries and 95 export industries. Aggregate Japanese exports, but not imports, respond to real exchange rate volatility in the long run, while most individual export and import industries respond in the short run. Although many individual Japanese import industries are affected in the long run by risk, mostly negatively, this is even more the case for exporters. A larger proportion of Japanese export industries are affected by exchange rate uncertainty for most industry sectors. Manufacturing exports are particularly vulnerable to this risk, with a large share responding negatively to increased volatility.

Asymmetric Impact of Exchange Rate Volatility on Commodity Trade Between Pakistan and China

2020 ◽  
pp. 097215092091628
Author(s):  
Mohsen Bahmani-Oskooee ◽  
Ahmed Usman ◽  
Sana Ullah
Keyword(s):  
Exchange Rate ◽  
Linear Models ◽  
Exchange Rate Volatility ◽  
Trade Flows ◽  
Annual Data ◽  
Asymmetric Effects ◽  
Long Run ◽  
Short Run ◽  
Asymmetric Impact ◽  
Almost All

China is the largest trading partner of Pakistan. Therefore, it is very important to consider the trade flows between Pakistan and China and their response to rupee–yuan volatility. Previous research assumed that response of trade flows to measure of volatility is symmetric. In this study, our basic objective is to check whether the trade flows respond to volatility in a symmetric or asymmetric manner. Annual data over the period 1980–2018 for 14 Pakistani industries exporting to and 34 industries importing from China are analyzed. We find short-run asymmetric effects of exchange rate volatility in almost all industries that last into long-run asymmetric effects in 40–50 per cent of industries. Non-linear models yielded more significant effects of volatility than the traditional linear models.

Impact of Exchange Rate Volatility on the US Exports: A New Evidence From Multiple Threshold Nonlinear ARDL Model

2019 ◽  
Vol 10 (02) ◽  
pp. 1950009 ◽  
Author(s):  
Bisharat Hussain Chang ◽  
Suresh Kumar Oad Rajput ◽  
Niaz Ahmed Bhutto
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
Asymmetric Effect ◽  
Ardl Model ◽  
Nonlinear Ardl ◽  
Long Run ◽  
Nonlinear Ardl Model ◽  
The Us ◽  
Short Run ◽  
Multiple Threshold

This study extends previous literature by examining the effect of extremely large to extremely small changes in the exchange rate volatility on the US exports to developing countries such as Brazil, India, Mexico, and South Africa. We use novel approach called multiple threshold nonlinear ARDL (MTNARDL) and compare its results with ARDL and nonlinear ARDL models. The ARDL model supports insignificant results, whereas standard nonlinear ARDL model indicates asymmetric effect of exchange rate volatility on the US exports to Mexico only. Finally, the MTNARLD model indicates that in the short run, the effect of extremely large changes in exchange rate volatility does not significantly differ from the effect of small changes in exchange rate volatility on the US exports to all sample countries. Whereas in the long run, the effect of extremely large changes in exchange rate volatility is significantly different from the effect of small changes in exchange rate volatility on the US exports to all sample countries. The findings of this novel methodology suggest different policies in the long run and short run.

scholarly journals Foreign exchange volatility modelling of southeast asian major economies

2019 ◽  
Vol 22 (2) ◽  
Author(s):  
Regi Muzio Ponziani
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
The Philippines ◽  
Southeast Asian ◽  
Asian Countries ◽  
Volatility Model ◽  
Us Dollar ◽  
The Exchange Rate ◽  
Foreign Exchange Volatility ◽  
Southeast Asian Countries

This paper investigates the exchange rate volatility model in Southeast Asian countries. The countries selected were Indonesia, Malaysia, Thailand, The Philippines, Vietnam  and Singapore. This paper aims to model the volatility of the regional currencies exchange rate against the international currency, i.e. US Dollar. The period covered in this study extended from 1 January 2013 until 31 July 2019. These were the daily exchange rate of 7 currencies of Southeast Asian countries. The currency involved were Indonesian Rupiah (IDR), Malaysian Ringgit (MYR), Thai Baht (THB), The Philippine Peso (PHP), Vietnam Dong (VND),  and Singaporean Dollar (SGD). All currencies were measured in the exchange rate against the US Dollar (USD). The result indicated that PARCH model is the best method to explain the movement of MYR, VND, and SGD. GARCH can model THB and PHP. Only IDR that has volatility explainable by TARCH.

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