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

2015 ◽  
Vol 7 (11) ◽  
pp. 121 ◽  
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.

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

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.

scholarly journals Effect of exchange rate volatility on Rwandan coffee price and export volumes

Agro-Science ◽  
2021 ◽  
Vol 21 (1) ◽  
pp. 1-6
Author(s):  
A. Kabayiza ◽  
R. Muhire ◽  
S. Nsabimana ◽  
M. Kabarungi ◽  
Y.B. Ningabire ◽  
...  
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Export Price ◽  
Exchange Rate Volatility ◽  
Real Income ◽  
Series Data ◽  
Long Run ◽  
Short Run ◽  
The Exchange Rate ◽  
Coffee Price

The main strategy of Rwanda for having a steady growth in coffee export value and revenues was increased sales of speciality coffee. However, global coffee prices are often volatile and Rwanda has little control over the fluctuating global prices. This paper analysed the effect of exchange rate volatility on the price and exports of Rwanda coffee. In order to respond to this question, the monthly time series data on bilateral Rwanda coffee exports and real effective exchange rates from January 2001 to December 2016 were analysed. The cointegration methods and error correction model using the autoregressive distributed lag procedure andGlosten, Jagannathan, and Runkle-Generalized Autoregressive Conditional Heteroskedasticity (GJR-GARCH) model were used to analyse the data. The findings showed that the exchange rate volatility resulted in an increase in Rwandan coffee export price in the long run by 1.5% and a decrease in the short run by 0.2%. The findings also showed that the exchange rate volatility affected coffee export volumes in the long run and the short run by 44.4% and 3.8%, respectively. The real income in importing countries increased coffee prices in the long run by 3.0% and coffee export volumes in the long run and the short run by 26.9% and 38.5%, respectively. A review of monetary policy to address the issue of volatility and hedging system adoption in the Rwanda coffee sector should be done in order to stabilize the exchange rate and to consequently avoid its bad effects on coffee price and export volumes.

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

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.

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.

scholarly journals Exchange Rate Volatility and Its Implications on Macroeconomic Variables in East African Countries

2020 ◽  
Vol 7 (3) ◽  
pp. 145
Author(s):  
Nicas Yabu ◽  
Deogratius Kimolo
Keyword(s):  
Exchange Rate ◽  
Positive Impact ◽  
Export Performance ◽  
Exchange Rate Volatility ◽  
Mitigation Measures ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Short Run ◽  
Lending Rates ◽  
The Exchange Rate

The study examines the extent of exchange rate volatility and its impact on key macroeconomic variables such as exports, FDI inflows, interest rate and inflation in Tanzania, Kenya and Uganda. The GARCH model is used to compute the extent of exchange rate volatility while the Panel Autoregressive Distributed Lag (ARDL) technique or pooled mean group (PMG) estimator was used to estimate the effects of exchange rate volatility on selected macroeconomic variables. The results indicate that volatility in the exchange rate is a real issue in all the sampled countries and is fundamentally driven by exports and FDI dynamics for the period under consideration. The results indicate a positive impact of the exchange rate volatility to export performance and lending rates in the long run. Exchange rate volatility appears to be detrimental to both export performance and leads to a reduction in lending rates in the short run. Also, the response of FDI to exchange rate volatility seems to be negative in the long run while in the short run the response from the volatility of real exchange rate seems is insignificant. Though not significant, the volatility of the exchange rate appears to have a positive impact on inflation. The study recommends that policymakers need institute mitigation measures which could smooth out excessive exchange rate volatility to minimize its likely impact on the economy. The study also indicated a need for the EAC countries to consider adopting inflation targeting monetary policy framework in order to contain inflation at the appropriate level.

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.

scholarly journals Exchange Rate Volatility and Import Trade Flow Evidence From India-U.S. at Industry Level

2021 ◽  
Vol 12 (3) ◽  
pp. 1-21
Author(s):  
Mohini Gupta ◽  
Sakshi Varshney
Keyword(s):  
Exchange Rate ◽  
Trade Flow ◽  
Exchange Rate Volatility ◽  
Long Run ◽  
Short Run ◽  
Import Trade ◽  
The Impact ◽  
The Relationship ◽  
Autoregressive Conditional Heteroscedasticity ◽  
The Empirical Analysis

The centre interest of the study is to explore the impact of exchange rate volatility on the India-U.S. trade flow of Import on 6 industries spanned from September 2002 to June 2019. We investigate the relationship at disaggregate level by industry-wise data with monthly frequency. We employ exponential generalized autoregressive conditional heteroscedasticity (E-GARCH) model to gauge volatility and thereafter ARDL bound testing approach to unveil the short and long-run association of real exchange rate volatility and import. The empirical analysis implies the existence of both short-run and long-run effect in 5 importing industries except manufactured (engineering) goods. While real exchange volatility appears to have statistically significant effect in short-run, but also estimated short-run lasts onto long-run effect in only three industries. The results confirm the information of import in time-series analysis. The finding of the study helps to undertake the view of invariability and considering the industry before policy making.

scholarly journals Analysing the Exchange Rate Volatility Relative to Trade Balance: The Case of SACU Countries

2020 ◽  
pp. 60-74
Author(s):  
Christine M. Haansende ◽  
Jacob M. Nyambe
Keyword(s):  
Exchange Rate ◽  
Trade Balance ◽  
Foreign Exchange Market ◽  
Time Series Data ◽  
Negative Impact ◽  
Exchange Rate Volatility ◽  
Series Data ◽  
Impulse Response Functions ◽  
Short Run ◽  
The Exchange Rate

The term exchange rate volatility is widely used in the financial market. The exchange rate is determined in the foreign exchange market, which is said to be the largest market in the world and it trades in financial assets. The main focus of this study is to analyse the nature of the relationship between exchange rate and trade balance in the selected member states of the SACU region in which the selected countries are Botswana, Namibia, Swaziland and South Africa. This study uses time series data from the period of 1986 to 2016. The Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model, the impulse response functions and variance decompositions are used in the analysis. Results show that there is a short-run relationship between exchange rate volatility and trade balance. It was found that there is a positive and negative impact between these two variables, with high volatility. Furthermore, this study recommends all Central Banks in the SACU region to intervene in order to mitigate exchange rate volatility.

scholarly journals Implication of Monetary Policy Rate and Interest Rate on Exchange Rate in Nigeria: 1981-2017

2019 ◽  
pp. 1-11
Author(s):  
Nnamani, Vincent ◽  
Anyanwaokoro, Mike
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Time Series Data ◽  
Unit Root Test ◽  
Series Data ◽  
Statistical Tool ◽  
Long Run ◽  
The Exchange Rate ◽  
The Impact

The study investigated the implication of monetary policy rate on the exchange rate and interest rate in Nigeria, 1981-2017. Because of the above-stated problems, the specific objectives are to: Investigate the effect of monetary policy rate on the exchange rate in Nigeria, determine the effect of the monetary policy rate on interest rate in Nigeria. The analysis of error correction and autoregressive lags fully covers both long-run and short-run relationships of the variable under study. The statistical tool of analysis employed in the study is Autoregressive Distributed Lags (ARDL) and Philips Peron method of stationary testing and structural breakpoint unit root test., these methods were employed to check the stationarity and breakpoint analysis of the time series data employed in this study. The study observed that monetary policy rate has a positive and significant effect on the exchange rate in Nigeria. It was also observed that the monetary policy rate has a positive and significant effect on the interest rate in Nigeria. Overall, our results indicated that the impact of monetary policy on the exchange rate was significant. There was a positive and significant relationship between monetary policy variables and exchange rate. The conclusion that is drawn from our results is that monetary policy remains an effective and potent tool for ensuring a stable exchange rate in Nigeria. The study recommended that monetary policy should be used to create a favourable investment environment by facilitating the emergence of market-based interest rate and exchange rate regimes which could attract domestic and foreign investments. Second; the Central bank of Nigeria (CBN) need to avoid ordination and balance between monetary and fiscal policies to ensure the smooth realization of monetary policy goals. Policy inconsistency or summersault to determine its policy impact before contemplating a change. Finally, there should be a coo.

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

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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