Real Exchange Rate and Manufacturing Performance in Nigeria

The efficacy of currency devaluation to improve output in Nigeria is under debate, and coupled with an unsatisfactory result in the behaviour of the manufacturing sector performance regenerated interest of this study to investigate the impact of exchange rate on output and employment in the sector. The work uses Structural Vector Autoregression, ECM and Canonical Co-integrating Regression to examine the shock effect, short and long-run elasticities of exchange rate on the manufacturing performance. While employment and output are used as a proxy for manufacturing sector performance. The findings show that changes in the exchange rate are fairly elastic with output and employment both in short and long-run. However, changes in the exchange rate are insignificant with employment in the short run. The variance decomposition form the SVAR shows that forecast error shock of the exchange rate is more prolong on employment than output. Consequently, the result of the estimation of the Impulse Response Function from the Monte Carlos shows that one standard deviation of the exchange shock adversely affect employment. The outcome of the result indicates that the Nigerian exchange rate has not improved output and employment in the manufacturing sector. Several factors may be accounted for this, although, it may be due to cost-push inflationary pressure and unfavourable competitiveness. The study suggests the need to encourage long-term supply-side policies among others to improve the situation. Received: 7 June 2020 / Accepted: 9 January 2021 / Published: 5 March 2021

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Impact of Macroeconomic Indicators on the Yuan-SDR Exchange Rate

Asian Journal of Empirical Research ◽

10.18488/journal.1007.2021.117.59.71 ◽

2021 ◽

Vol 11 (7) ◽

pp. 59-71

Author(s):

Debesh Bhowmik

Keyword(s):

Exchange Rate ◽

Foreign Exchange ◽

Inflation Rate ◽

Impulse Response Function ◽

Cyclical Fluctuations ◽

Long Run ◽

Macroeconomic Indicators ◽

Macroeconomic Impact ◽

Short Run ◽

The Impact

The paper endeavours to explore the macroeconomic impact on the Yuan SDR exchange rate of China during 2017m1-2021m6 to justify the internationalization of RMB which had entered into the SDR basket of IMF in October 2016.To evaluate the impact ,the paper used the methodology of Johansen (1988) cointegration and vector error correction model considering monthly Yuan per SDR as dependent variable and monthly GDP, inflation rate, foreign exchange reserves, export and import as the independent macro-economic variables. The pattern of trendline of Yuan per SDR is found nonlinear having cyclical fluctuations and seasonal variations according to Hamilton (2018). The paper also found that Yuan per SDR has significant long run causalities with export, import, inflation rate, GDP and foreign exchange rate of China during the specified period. Even, Yuan per SDR has significant short run causality with export only. The cointegrating equation converged towards the equilibrium with the speed of adjustment 11.83% per month significantly. The impulse response function of import to Yuan per SDR showed significantly convergent. The VECM contains autocorrelation problem and unit root for which it is non-stationary.

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Exchange Rate Volatility and Trade Flows: Evidence from China, Pakistan and India

International Journal of Economics and Finance ◽

10.5539/ijef.v7n11p121 ◽

2015 ◽

Vol 7 (11) ◽

pp. 121 ◽

Cited By ~ 2

Author(s):

Sarfaraz Ahmed Shaikh ◽

Ouyang Hongbing

Keyword(s):

Exchange Rate ◽

Exchange Rate Volatility ◽

Trade Flows ◽

Series Data ◽

General Level ◽

Negatively Associated ◽

Long Run ◽

Short Run ◽

The Exchange Rate ◽

The Impact

This study examines the impact of exchange rate fluctuations on trade flows in case of China, Pakistan and India by using the time series data from 1980 to 2013. Most of the researchers have advocated that exchange rate volatility is negatively associated with general level of trade. In this study we have used the standard deviation of the moving average of the logarithm of the exchange rate as a proxy for volatility. And to investigate this relationship, we have applied the Autoregressive Distributive Lag (ARDL) approach for co-integration which estimates the short and long run relationship among the variables for the said period. The results of this empirical work have suggested that exchange rate volatility is negatively associated with Chinese exports in short run while positively associated in long run. However, in the case of Pakistan and India both in the short run and long run, the exchange rate volatility is negatively associated with total volume of trade.

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THE EXCHANGE RATE VOLATILITY AND EXPORT PERFORMANCE: THE CASE OF INDONESIA'S EXPORTS TO JAPAN AND THE US

Buletin Ekonomi Moneter dan Perbankan ◽

10.21098/bemp.v20i1.724 ◽

2017 ◽

Vol 20 (1) ◽

pp. 49-70

Author(s):

Shinta Fitrianti

Keyword(s):

Exchange Rate ◽

Global Financial Crisis ◽

Export Performance ◽

Exchange Rate Volatility ◽

Commodity Price ◽

Long Run ◽

The Us ◽

Short Run ◽

The Exchange Rate ◽

The Impact

This paper investigates the long-run and short-run impacts of the exchange rate volatility onIndonesia’s real exports to its major trading partners; Japan and US. The study uses monthly data from January 1998 to October 2015 in order to capture the structural break period of the Global Financial Crisis 2008. In addition, commodity price is included as an explanatory variable. The index of exchange rate volatility is generated using moving sample standard deviation of the growth of the real exchange rate. This paper estimates the long-run cointegration using Autoregressive Distributed Lag (ARDL) bounds testing, while for the short-run dynamic this paper use error-correction-model (ECM). The findings suggest rupiah volatility against the Japanese yen reduces Indonesia’s export to Japan, both in the short and the long-run. Fluctuation of rupiah against the US dollar helps Indonesia’s export to the US in the short run, but the impact is not carried out to the long-run. On the other hand, the impact of commodity price shock is negligible, except for the long-run export to Japan.

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The Impact of Terrorist Attacks on Foreign Exchange Rate: Case Study of Turkish Lira versus Pound Sterling

10.20944/preprints201610.0053.v1 ◽

2016 ◽

Author(s):

Mansoor Maitha ◽

Jehar Mustofa ◽

Ugur Gok

Keyword(s):

Exchange Rate ◽

Negative Impact ◽

Causal Effect ◽

Terrorist Attack ◽

Terrorist Attacks ◽

Long Run ◽

Short Run ◽

The Exchange Rate ◽

The Impact ◽

Turkish Lira

In this study the impact of terrorist attacks on exchange rate is estimated. Particularly, the study focuses on Turkish terrorist attacks and its implication on Turkish lira versus pound sterling exchange rate. In order, to find the causal effect the study employed Autoregressive distributive lag (ARDL) bound testing approach as an estimation technique. Accordingly, the analysis reveals that terrorist attack has a negative impact on the exchange rate in both short and long-run. However, the negative effect of terrorism tends to be small in both the short-run and long-run. More precisely, terrorist attack depreciates the exchange rate between Turkish lira and pound sterling by approximately 0.00072 in the next trading day. The long-term effect also shows that terrorist attack depreciates the exchange rate on average by 0.00212.

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External Sector and The Nigerian Manufacturing Sector Performance, 1981-2019

Journal of Economics, Finance and Management Studies ◽

10.47191/jefms/v5-i1-10 ◽

2022 ◽

Vol 05 (01) ◽

Author(s):

Leera Kpagih ◽

Keyword(s):

Exchange Rate ◽

Manufacturing Sector ◽

Trade Openness ◽

Environment Impact ◽

Ardl Model ◽

Long Run ◽

Short Run ◽

Sector Performance ◽

External Sector ◽

Exchange Rate Level

No country is an island. The globalization phenomenon is making all countries to be interdependent. The external sector environment has become critical for the success of every country and internal balance. Thus, it has become important to examine how much the externa sector environment impact on the performance of the domestic economy. The present study, therefore, examined the influence of Nigerian external sector environment on the performance of the Nigerian manufacturing sector between 1981 and 2019. The study adopted exp-post research design approach and the Autoregressive Distributed Lag (ARDL) model estimation techniques. The empirical model consists of the Nigerian manufacturing sector output index as the dependent variable and exchange rate, trade openness, and foreign direct investment as independent variables and external sector environment variables. Test of unit root results indicated that the variables have mix order of integration, while the co integration analysis results indicated that the variables in the model have stable long run relationship. Estimate of the ARDL model reveals that in the short run exchange rate variations have negative, but significant effect on manufacturing sector performance, while trade openness, and FDI have positive but insignificant influence on the manufacturing sector performance in the short run. In the long run, exchange rate level and FDI inflows have positive and significant effect on the manufacturing sector performance, while trade openness has negative and significant effect on the Nigerian manufacturing sector performance. The study therefore conclude that the Nigerian external sector Environment has significant influence on the performance of the Nigerian manufacturing sector.

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Pengujian Resiko Redenominasi terhadap Nilai Tukar Rupiah

Owner ◽

10.33395/owner.v5i2.495 ◽

2021 ◽

Vol 5 (2) ◽

pp. 620-630

Author(s):

Abdul Holik

Keyword(s):

Exchange Rate ◽

Inflation Rate ◽

Positive Impact ◽

Credit Default Swap ◽

Economic Agents ◽

Long Run ◽

Short Run ◽

The Exchange Rate ◽

The Government ◽

The Impact

The redenomination is a breakthrough policy to induce stabilization because making transactions easier among the economic agents. This quantitative research aims to find the properness of the redenomination policy in Indonesia. The focus of this research is to analyze the impact of redenomination risk on rupiah exchange rate performance. It is conducted from April 1st, 2015 until May 9th, 2016. The method of analysis used here is VECM (Vector Error Correction Model) to find relation reciprocally among the three variables: CDS (Credit Default Swap) as a proxy for redenomination risk, exchange rate, and sovereign yields. Based on the result, we find that there are negative impacts in the long-run and short-run from redenomination risk on the rupiah exchange rate. Meanwhile, the sovereign yield has a positive impact on the rupiah exchange rate in the long run. In the short run, the exchange rate has a positive impact on redenomination, as well as on sovereign yield. The sovereign yield also has a positive effect on the exchange rate, as well as on the redenomination risk. But there is no impact of redenomination risk on the sovereign yield. From this finding, we should suggest that redenomination is a not proper decision yet. It is because the weakness of rupiah after its implementation due to sentiment of over-confidence among the economic agents sometimes triggers uncontrollable and high inflation rate. For the successful policy, previously the government should take action to reduce the inflation rate.

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Exchange Rate Volatility and Monetary Policy Shocks

10.5772/intechopen.99606 ◽

2022 ◽

Author(s):

Gbalam Peter Eze ◽

Tonprebofa Waikumo Okotori

Keyword(s):

Monetary Policy ◽

Exchange Rate ◽

Forecast Error ◽

Exchange Rate Volatility ◽

Error Variance ◽

Variance Decomposition ◽

Long Run ◽

Forecast Error Variance ◽

Short Run ◽

The Exchange Rate

The study investigated the influence of innovations in monetary policy on the rate of exchange volatility in Nigeria. The research adopted vector error correction model as well as impulse response function and forecast error variance decomposition function in the estimation using two models derived in the study. Monthly data between the periods 2009 and 2019 were adopted for the research. Our findings show that in the long run; all the monetary policy variables have a significant long run correlation with volatility in the exchange rate; but that money supply and the rate of exchange seem to have significant short run impact on volatility in the exchange rate, the other variables such as liquidity ratio or monetary policy rate did not show a significant short run relationship with the volatility in the exchange rate. Further findings on the volatility impulse response and the forecast error variance decomposition suggest a significant link between volatility in the exchange rate and money supply though the link was much more pronounced. The use of monthly data shows that the managed exchange rate regime by the CBN seems to have the desired effect in exchange rate volatility and thus having a critical impact on inflationary spikes.

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DAMPAK MONETER KEBIJAKAN DEFISIT ANGGARAN PEMERINTAH DAN PERANAN ASA NALAR DALAM SIMULASI MODEL MAKRO-EKONOMI INDONESIA (1983:1-2002:4)

Buletin Ekonomi Moneter dan Perbankan ◽

10.21098/bemp.v7i2.112 ◽

2005 ◽

Vol 7 (2) ◽

Author(s):

R. Maryatmo

Keyword(s):

Exchange Rate ◽

Budget Deficit ◽

Price Level ◽

Rational Expectation ◽

Reduced Form ◽

Causality Test ◽

Long Run ◽

Short Run ◽

The Exchange Rate ◽

The Impact

The purpose of this research is to observe the impact of the budget deficit policy on the macroeconomic variables in general, and specifically on the monetary variables in the short and long run.We apply macroeconomic model with rational expectation specification to allow agents altering their economic decision in encountering the authority policies. The model constructed contains eight (8) long run behavior equations, eight (8) short run behavior equations, four (4) rational expectation equations, and at least twelve (12) identity equations. The parameters are estimated by using the Two Stage Least Squares (2SLS) method. The endogenous variables which has become the independent variables are replaced by the instrument al variables. The instrumental variables are obtained from the reduced form structural equations.The statistical test on the impact of budget deficit on monetary variables are conducted by using reduced form equations and causality test. Both of the tests show that budget deficit through the government revenue mechanism affects the interest rate in the short and long run. In the short run through government expenditure mechanism, budget deficit would affect the exchange rate and price level. In the long run, however, causality tests show that the exchange rate and price level would in turn affect the budget deficit.Keywords: macro model, monetary policy, fiscal budgetJEL: B22, D84, E44, E63

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The long-run stability of a small, open economy under crawling peg regime

Acta Oeconomica ◽

10.1556/aoecon.52.2002.1.3 ◽

2002 ◽

Vol 52 (1) ◽

pp. 57-78

Author(s):

S. Çiftçioğlu

Keyword(s):

Exchange Rate ◽

Open Economy ◽

Risk Premium ◽

Small Open Economy ◽

Exchange Rate Policy ◽

Price Stability ◽

Output Stability ◽

Long Run ◽

The Exchange Rate ◽

The Impact

The paper analyses the long-run (steady-state) output and price stability of a small, open economy which adopts a “crawling-peg” type of exchange-rate regime in the presence of various kinds of random shocks. Analytical and simulation results suggest that with the exception of money demand shocks, an exchange rate policy which involves a relatively higher rate of indexation of the exchange rate to price level is likely to lead to the worsening of price stability for all types of shocks. On the other hand, the impact of adopting such a policy on output stability depends on the type of the shock; for policy shocks to the exchange rate and shocks to output demand, output stability is worsened whereas for the shocks to risk premium of domestic assets, supply price of domestic output and the wage rate, better output stability is achieved in the long run.

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Impact of exchange rate and oil price on the yield of sovereign bond and sukuk: Evidence from Malaysian capital market

Journal of Emerging Economies and Islamic Research ◽

10.24191/jeeir.v5i4.8834 ◽

2017 ◽

Vol 5 (4) ◽

pp. 27

Author(s):

Huda Arshad ◽

Ruhaini Muda ◽

Ismah Osman

Keyword(s):

Exchange Rate ◽

Capital Market ◽

Time Series Data ◽

Oil Prices ◽

Oil Price ◽

Series Data ◽

Sovereign Bond ◽

Long Run ◽

Short Run ◽

The Impact

This study analyses the impact of exchange rate and oil prices on the yield of sovereign bond and sukuk for Malaysian capital market. This study aims to ascertain the effect of weakening Malaysian Ringgit and declining of crude oil price on the fixed income investors in the emerging capital market. This study utilises daily time series data of Malaysian exchange rate, oil price and the yield of Malaysian sovereign bond and sukuk from year 2006 until 2015. The findings show that the weakening of exchange rate and oil prices contribute different impacts in the short and long run. In the short run, the exchange rate and oil prices does not have a direct relation with the yield of sovereign bond and sukuk. However, in the long run, the result reveals that there is a significant relationship between exchange rate and oil prices on the yield of sovereign bond and sukuk. It is evident that only a unidirectional causality relation is present between exchange rate and oil price towards selected yield of Malaysian sovereign bond and sukuk. This study provides numerical and empirical insights on issues relating to capital market that supports public authorities and private institutions on their decision and policymaking process.

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