Exchange Rate Volatility, Global Financial Crisis and the Day-of-the-Week Effect

2011 ◽  
Vol 3 (3) ◽  
Author(s):  
RA Olowe
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Global Financial Crisis ◽  
Exchange Rate Volatility ◽  
Day Of The Week

Does exchange rate volatility influence import commodities of India-US? Evidence from ARDL approach

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mohini Gupta ◽  
Sakshi Varshney
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Real Exchange Rate ◽  
Global Financial Crisis ◽  
Exchange Rate Volatility ◽  
Content Type ◽  
Long Run ◽  
Short Run ◽  
The Empirical Analysis ◽  
Real Exchange Rate Volatility

PurposeThe aim the study is to explore the impact of real exchange rate volatility and other macroeconomic variable such as price of import, industrial production and real exchange rate on 45 import commodities, considering global financial crisis period on India's import from the US. The empirical analysis at disaggregate level of import indicates the existence of both short-run and long-run effect in one-third importing commodities. The results show both positive and negative effect and causality among variables.Design/methodology/approachThe study uses E-GARCH model to gage the real exchange rate volatility, an autoregressive distributive lag (ARDL) bound test technique to discover the adequate short- and long-run relationships and Toda-Yamamoto causality method to analyze the causality among variables. The study uses the time period from 2002:M09 to 2019:M06.FindingsThe empirical analysis at disaggregate level of import indicates the existence of both short-run and long-run effect in one-third importing commodities. The results show both positive and negative effects and causality among variables.Practical implicationsThe finding of the study suggests that macroeconomic variables have significant role and could be important to undertake the small and medium scale industries in policymaking. Government may need to make decision for micro, small and medium enterprises (MSMEs) as their performance can bring change in the trade to compete globally by increasing and controlling the price of the import and defending the domestic competitiveness.Originality/valueThe study uses additional variable namely price of import and includes the global financial crisis period to measure dampening effect on each commodity by using robust econometric technique in context of emerging nation like India.

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.

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