scholarly journals Dynamic Relationship Between Real Export, Real Import, Real Exchange Rate, Labor Force and Real Gross Domestic Product in Malaysia

2019 ◽  
Vol 10 (5) ◽  
pp. 20
Author(s):  
Emilda Hashim ◽  
Norimah Rambeli ◽  
Asmawi Hashim ◽  
Norasibah Abdul Jalil ◽  
Shahrun Nizam Abdul Aziz ◽  
...  
Keyword(s):  
Exchange Rate ◽  
Labor Force ◽  
Open Economy ◽  
Unit Root ◽  
Correction Term ◽  
Unit Root Test ◽  
Real Effective Exchange Rate ◽  
Global Changes ◽  
Real Gdp ◽  
Long Run

This study examined short run and long run relationship between endogenous and exogenous variables. Specifically, it studied the relationship between real export, real import, labor force participation and real effective exchange rate (REER) and real GDP in Malaysia from 1988 to 2017. These variables were tested in various tests, namely, unit root test, granger causality test, vector autoregressive (VAR), Johansen Juselius test and Error Correction Term (ECT). The result revealed that all variables were non-stationary at the level form and stationary at first difference in ADF unit root test. The findings also exhibited the existence of bilateral relationships between real export and real GDP, real import and real GDP, as well as labor and real GDP. Nonetheless, there were no relationship found between REER and real GDP. On the other hand, in VAR, the lag optimum was lag 10 because it indicated the smallest value of AIC. Moreover, for Johansen Juselius cointegration test, it showed two cointegrated vector at both, 5% and 1%, level in trace test. In addition, Max-Eigen value test indicated two cointegrated vector at 0.05 and one cointegrated vector at 0.01. As for the Wald test, there were long run cointegration relationship between real GDP and its determinants, namely real export, real import, labor and REER. Apparently, Malaysia, as a small open economy, has relied heavily on foreign trade. Consequently, our domestic economic performance is susceptible to the changes in international markets and exchange rate. Therefore, suitable international policy implementation is vital to ensure Malaysian economy will be able to adjust to current global changes.

scholarly journals Equilibrium Real Exchange Rate and Misalignment: The Sierra Leone Perspective

2021 ◽  
Vol 8 (3) ◽  
pp. 41
Author(s):  
Abu Bakarr TARAWALIE
Keyword(s):  
Exchange Rate ◽  
Sierra Leone ◽  
Government Expenditure ◽  
Unit Root Test ◽  
Real Effective Exchange Rate ◽  
The Real ◽  
Long Run ◽  
Effective Exchange ◽  
Effective Exchange Rate ◽  
Long Run Equilibrium

This paper estimates the equilibrium real effective exchange rate and determine the level of exchange rate misalignment in Sierra Leone, for the period 1980 to 2018. The paper utilizes the behavioral equilibrium exchange rate methodology within the Johansen maximum likelihood framework to estimate the long run equilibrium real effective exchange rate. The unit root test result shows that all the variables are integrated of order one, whilst the cointegration test establishes the existence of one cointegrating vector as evidenced by both the Trace and Maximum Eigen Statistics. The normalized long run results reveal that openness, government expenditure and money supply were the most significant determinants of the real effective exchange rate in the long run. Furthermore, the findings reveal that the real effective exchange rate experienced sustained deviation from the long run equilibrium real effective exchange rate during the study period, with episodes of overvaluation and undervaluation. Specifically, the real effective exchange rate was overvalued by 3.69 percent during the period between 1980-1985; undervalued by 1.8 percent between 1986-1997, and overvalued by 0.9 percent between 1998-2004, Thus, the paper reveals episodes of misalignment of the real effective exchange rate. Based on these findings, the study recommends that, the monetary authorities should ensure stability of the exchange rate and maintain price stability, through sterilization of capital flows as well as contain money growth within the statutory limit.

scholarly journals THE EFFECT OF MACROECONOMIC DETERMINANTS OF STOCK PRICE MOVEMENTS IN NIGERIA

2018 ◽  
Vol 6 (1) ◽  
pp. 203-218 ◽  
Author(s):  
Chris O. Udoka ◽  
Mfon Joseph Nya ◽  
James Godwin Bassey
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Unit Root ◽  
Stock Price ◽  
Unit Root Test ◽  
Business Environment ◽  
Long Run ◽  
Price Movements ◽  
Macroeconomic Determinants ◽  
Stock Price Movements

This study examined the effect of macroeconomic determinants of stock price movements in Nigeria. To achieve this objective, data were gathered on macroeconomic variables such as gross domestic product, exchange rate, inflation, interest rate and absolute stock price were captured for the purpose of analysis. The autoregressive distributive lag (ARDL) model was used in analyzing the macroeconomic determinants of stock price movement in Nigeria. The augmented Dickey-Fuller (ADF) unit root test was also engaged in order to ascertain the stationarity or otherwise of the variables. The ADF unit root test revealed that only interest rate was stationary at levels while the remaining variables became stationary when differenced once. The ARDL findings revealed that the determinants variables (GDP, EXCHR, INTR, and INFL) were not jointly co-integrated with the dependent variable, ASTP, hence, no existence of a long run relationship. Conclusively, there was no long run relationship between macroeconomic determinants and stock price movements in Nigeria. It was recommended that, government should create conducive business environment, strengthen the real sector to stimulate the economy, boost savings and stock investment. Finally, government should fine tune its policies on exchange rate determination and setup a consistent policy plan to stimulate investment in the capital market.

scholarly journals An Empirical Time Series Econometric Study of the J-curve Effect of Exchange Rate in Trade Balance between China and the US

2020 ◽  
pp. 35-46
Author(s):  
Ming-Lu Wu
Keyword(s):  
Exchange Rate ◽  
Trade Balance ◽  
Unit Root Test ◽  
Real Effective Exchange Rate ◽  
Quarterly Data ◽  
Long Run ◽  
J Curve ◽  
The Us ◽  
Curve Effect ◽  
Short Run

Background and Aims: With the tensed relationship between China and the US, investigating the trade relationship between the two big countries has received more attention than before. This paper is just towards that direction to empirically examine the relationship between China’s real effective exchange rate (REER) and trade balance with the US in both the long-run and short-run, which may exhibit the J-curve effect – currency depreciation deteriorates trade balance in the short-run but promotes trade balance in the long-run – in China’s international trade with the US. Data and Methodology: Quarterly data on China’s REER, trade balance and gross domestic product (GDP, for income) and the US GDP from 2001 to 2017 are retrieved from relevant official websites for the current study. Unit-root test is first conducted on each modeling variable and its first difference to examine the stationarity of the variables. Autoregressive distributed lag (ARDL) approach with error-correction modeling (ECM) cointegration is then adopted to test the popular hypothesis of J-curve effect using the available quarterly data. Results and Conclusion: The modeling results reject the J-curve effect in the short-run but show a long-lasting positive effect of Chinese yuan’s depreciation in China’s trade balance with the US. Also, the US GDP has a positive and much stronger effect than Chinese GDP on China’s trade balance. As such, it is suggested that China should maintain a good relationship with the US and a stable exchange rate for long-run trade balance and economic growth at an appropriate level or rate.

Does crime-tourism nexus hold for Pakistan?

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Muhammad Ahad ◽  
Zaheer Anwer ◽  
Wasim Ahmad
Keyword(s):  
Exchange Rate ◽  
Unit Root ◽  
Negative Impact ◽  
Structural Break ◽  
Unit Root Test ◽  
Cointegration Analysis ◽  
Decomposition Approach ◽  
Content Type ◽  
Long Run ◽  
Domestic Prices

PurposeThe primary objective of this study is to investigate the linkage of tourism and crime for Pakistan along with exchange rates, terrorism and domestic prices in the presence of structural breaks over the period 1984–2017.Design/methodology/approachThe order of integration is tested through ADF and PP unit root tests. The robustness of unit root test is testified via structural break unit root test. Furthermore, the authors use Bayer and Hanck (2013) combined cointegration test to confirm the existence of a long-term theoretical relationship among the variables. For the robustness of cointegration analysis, the authors also employ ARDL bound testing in the presence of structural break years. Moving forward, the authors apply VECM Granger causality to find out the direction of causality. Subsequently, variance decomposition approach and impulse response function are used to distinguish leader from the followers.FindingsThe unit root test shows that the order of integration is one, I(1). The cointegration analysis confirms the long-run relationship between underlying variables. The authors find inverse and significant impact of crime and exchange rate on tourism in the long run. On contrary, domestic prices play a positive and significant role to determine tourism in short and long run. Also, terrorism is found to be insignificant with negative impact. Further, the bidirectional causality between crime and tourism is observed in the long run. Similarly, unidirectional causality from terrorism to exchange and exchange rate to domestic price is observed in the short run.Originality/valueThe contemporary studies on crime-tourism nexus offer limited evidence, as they frequently suffer from omitted variable bias and ignore possible endogeneity issues. This study uses vector autoregressive models to overcome these biases. Similarly, the authors accommodate the role of structural break years through their analysis. Hence, the results offer more credible evidence. Moreover, the authors contribute to the existing tourism demand literature by adding crime as a potential determinate in case of Pakistan.

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

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.

scholarly journals Currency Depreciation, Trade Balance and Intra-Industry Trade Interactions in Turkey’s OECD Trade

2016 ◽  
Vol 8 (4) ◽  
pp. 8 ◽  
Author(s):  
Mehmet Demiral
Keyword(s):  
Exchange Rate ◽  
Trade Balance ◽  
Real Effective Exchange Rate ◽  
Series Data ◽  
Adjustment Process ◽  
Industry Trade ◽  
Long Run ◽  
Effective Exchange ◽  
Short Run ◽  
Effective Exchange Rate

<p>This study re-examines the determinants of Turkey’s trade balance in its manufactures trade with 33 OECD-member countries for the short-run and the long-run. Unlike other studies, in the relationships we also control the moderating effects of the availability of import substitutes proxied by intra-industry trade. We analyze quarterly aggregated time-series data of the period spanning from 1998.QI to 2015.QIII, following the autoregressive distributed lag (ARDL) bounds testing approach to the cointegration and the error correction modeling. Estimation results reveal that real effective exchange rate, together with domestic and foreign incomes are still among the core determinants of Turkey’s trade balance in the manufacturing sectors. There is no significant impact of domestic final oil prices that also include all the taxes on gasoline. The trade balance depends on domestic income negatively and the aggregated income of the OECD countries positively. The finding that real depreciation of Turkish lira against to those of Turkey’s OECD trade partners improves trade balance in both the short-run and the long-run, indicates no evidence of J-curve adjustment process. Unsurprisingly, the intra-industry trade seems to be an important factor that moderates the elasticities of trade balance to its determinants, especially to real effective exchange rate and domestic income. Overall results underline the importance of import-substitution capability besides the export-oriented production to ease the longstanding large trade deficits for Turkey.</p><strong></strong>

scholarly journals COINTEGRATING RELATION BETWEEN EXCHANGE RATE AND GOLD PRICE

2017 ◽  
Vol 5 (10) ◽  
pp. 263-269
Author(s):  
Ranjusha ◽  
Devasia ◽  
Nandakumar
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Unit Root Test ◽  
Gold Price ◽  
Series Data ◽  
Annual Data ◽  
Causality Test ◽  
Long Run ◽  
Integration Test ◽  
The Relationship

The very purpose of this paper is to analyse the relationship between gold price and Rupee – Dollar exchange rate in India. The study utilises the annual data of exchange Rate (ER) and Gold Price (GP) from 1970 to 2015 to determine the relationship. Different econometric tools like Unit root test, Johansen co integration test, Vector error correction model, Granger causality test are used for detecting the long run relation, if any between the mentioned variables. The result shows that there exists a long run cointegrating relation between the variables. That is we can stabilise the Gold Price movement by controlling the exchange rate fluctuations. Likewise it also shows that Exchange rate doesn’t Granger cause to Gold price and vice versa. It means that the time series data of one vasriable cannot be used to predict another.

scholarly journals The Relationships between Exchange Rates and Stock Prices: Empirical Investigation from Johannesburg Stock Exchange

2019 ◽  
Author(s):  
Md. Mahmudul Alam ◽  
Gazi Salah Uddin ◽  
Khan Md. Raziuddin Taufique
Keyword(s):  
Exchange Rate ◽  
Market Efficiency ◽  
Stock Prices ◽  
Stock Exchange ◽  
Unit Root Test ◽  
Rate Sensitivity ◽  
Causality Test ◽  
Johannesburg Stock Exchange ◽  
Long Run ◽  
Adf Test

This study seeks evidence supporting the existence of market efficiency and exchange rate sensitivity on stock prices in the Johannesburg stock exchange (JSE). The sample includes the daily price indices of all securities listed on the JSE, and the exchange rate of the USD/Rand for the period since January 2000 to December 2004. The results from the unit root test, the ADF test and the causality test at the Granger sense provide evidence that the Johannesburg stock exchange (JSE) is informationally efficient. It has a long run comovement with exchange rate, and long run equilibrium or steady state. Hence, in JSE there is a strong possibility that foreign direct investors and forex market traders cannot influence and gain abnormal extra benefits by using exchange rate mechanism or by using exchange rate to forecast stock prices in the market. So, JSE is semi-strong form efficient. Through cointegration test, this paper gives more insight on the concept of market efficiency and the reliability of the results. These results are important to security analysts, investors, and security regulatory exchange bodies in policy making decision to improve the market conditions

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