scholarly journals Exploring Relationship Between the Stock Price of Taiwan and the Exchange Rate: An Autoregressive Distributed Lag Model with a Quantile Regression

2015 ◽  
Vol 8 (1) ◽  
pp. 72 ◽  
Author(s):  
Tzu-Kuang Hsu
Keyword(s):  
Exchange Rate ◽  
Quantile Regression ◽  
Exchange Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Lag Model

<p>This paper adopts an innovative method through combining an autoregressive distributed lag model and a quantile regression to examine the long-run equilibrium and short-run causal relationship between the stock price of Taiwan and the NTD/USD exchange rate from January 1980 to December 2014. The results indicate that there is long-run level equilibrium relationship between the stock price of Taiwan and the NTD/USD exchange rates at lower distribution of stock prices, and at higher and lower distribution of exchange rates. The causality results show that there is unidirectional causality running from Taiwan stock price to the NTD/USD exchange rate at higher distribution of exchange rates. The result shows that there is evidence in favor of the portfolio hypothesis.</p>

scholarly journals The impacts of oil price on exchange rates: Evidence from Saudi Arabia

2020 ◽  
Vol 38 (5) ◽  
pp. 2037-2058
Author(s):  
Tilal Hassen Mohammed Suliman ◽  
Mehdi Abid
Keyword(s):  
Saudi Arabia ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Causal Relationship ◽  
Real Exchange Rates ◽  
Oil Price ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Long Run

The real exchange rate is a key indicator of a country’s trade competitiveness in the world. This paper investigates the interaction between oil price and real exchange rates in Saudi Arabia during the period January 1986 -March 2019, using monthly data. This study uses the autoregressive distributed lag model and the error correction model in order to investigate the existence of a long-run equilibrium relationship between the variables. The evidence reveals that there is a strong long-run cointegration. The robustness of the autoregressive distributed lag bounds test cointegration was confirmed using the newly developed combined cointegration, which also provided the same evidence for a strong long-run relationship. In the short term, the results confirm the existence of a unidirectional causal relationship ranging from the oil price to the exchange rate. In the long term, however, the causal relationship is bidirectional between these two variables. An appreciation of the Saudi exchange rate generates an increase in the relative demand for oil, which in turn creates upward pressure on its price. For policy purposes, such evidence suggests that Saudi Arabia should be careful not to put too much weight on the benefits of higher revenue due to higher oil price.

scholarly journals Determinants of Inflation: Evidence from Pakistan using Autoregressive Distributed Lagged Approach

2018 ◽  
Vol 2 (1) ◽  
pp. 17
Author(s):  
Niaz Hussain Ghumro ◽  
Pervaiz Ahmed Memon
Keyword(s):  
Exchange Rate ◽  
Correction Model ◽  
Speed Of Adjustment ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Research Article ◽  
Long Run ◽  
Lag Model ◽  
The One

Controlling inflation is one of the biggest challenges faced by the macroeconomic policymakers in Pakistan. This research article is aimed at highlighting the main sources of inflation in the economy of Pakistan using an autoregressive distributed lag model for the period from 1980 to 2012. Findings of this study reveal that the one percent rise in the long run money supply, exchange rate, total reserve, and the gross national expenditure change inflation by 0.16, 2.12, 0.36, and 1.78 percent points respectively. The Error Correction model with negative sign remains statistically significant with approximate 81% speed of adjustment to restore the equilibrium in the long run, which shows the quick convergence.

scholarly journals EVIDENCE OF AN ASYMMETRIC IMPACT OF THE DEVALUATION OF CURRENCY ON INFLATION:

2019 ◽  
Vol 4 (1) ◽  
pp. 101-103
Author(s):  
Ahmed Balarabe Musa
Keyword(s):  
Exchange Rate ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Non Linear ◽  
Short Run ◽  
Lag Model ◽  
Asymmetric Impact ◽  
The Impact

The research is aimed at evaluating the existence of asymmetry or otherwise of the impact of devaluation of currency on inflation in Malaysia for the period 1970 – 2017. Non-linear autoregressive distributed lag model (NARDL) was used as the evaluation econometric tool of the research. The findings of the study reveal that devaluation of currency has an inflationary impact in both short run and long run. Whereas, revaluation of currency does not have any impact neither in the short run nor in the long run. This confirms the upward flexibility of the impact of the increases in the changes in the exchange rate on inflation at the same time reaffirms its rigidity downward.

scholarly journals The Determinants of Food Prices in Pakistan

2012 ◽  
Vol 17 (1) ◽  
pp. 101-128 ◽  
Author(s):  
Henna Ahsan ◽  
Zainab Iftikhar ◽  
M. Ali Kemal
Keyword(s):  
Active Role ◽  
Food Prices ◽  
Significant Variable ◽  
Demand And Supply ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
Lag Model

Controlling prices is one of the biggest tasks that macroeconomic policymakers face. The objective of this study is to analyze the demand- and supply-side factors that affect food prices in Pakistan. We analyze their long-run relationship using an autoregressive distributed lag model for the period 1970–2010. Our results indicate that that the most significant variable affecting food prices in both the long and short run is money supply. We also find that subsidies can help reduce food prices in the long run but that their impact is very small. Increases in world food prices pressurize the domestic market in the absence of imports, which cause domestic food prices to rise. If, however, we import food crops at higher international prices, this can generate imported inflation. The error correction is statistically significant and shows that market forces play an active role in restoring the long-run equilibrium.

COINTEGRATED-BASED FORECAST OF LONG-RUN RELATIONSHIPS

2021 ◽  
Vol 14(63) (1) ◽  
pp. 153-168
Author(s):  
Klara-Dalma Deszke ◽  
Liliana Duguleana
Keyword(s):  
Vector Error Correction ◽  
Final Consumption ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Vector Error ◽  
Long Run ◽  
Lag Model ◽  
Relationship Of

The Vector Error Correction Model (VECM) and the Autoregressive Distributed Lag Model (ARDL) are used to estimate the cointegration in the case of long-run relationship of quarterly GDP and Final Consumption in Romania during the period 1995 – 2019. The actual data of 2020 Q1 and Q2 were used to check the best model’s validity. The static and dynamic approaches of the ARDL model were used to forecast the Final Consumption for Q3 and Q4 of the year 2020. Applying the cointegration model shows the long term relationship of GDP and Final Consumption, but also the effects of other factors, seen in the differences of Final Consumption from its Long-Run evolution, and comprised in the cointegrating terms.

scholarly journals Exchange rate modelling in the development community using the ARDL cointegration approach: The case of emerging markets

2020 ◽  
Vol 10 (2) ◽  
pp. 53-70
Author(s):  
Abdulkader Aljandali ◽  
Christos Kallandranis
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Equilibrium Exchange Rate ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Ex Post ◽  
Long Run ◽  
Equilibrium Exchange ◽  
Exchange Rate Movements ◽  
Exchange Rate Models

Despite rising interest in African economies, there is little prior research on the determinants of exchange rate movements in the region. This paper examines the monthly exchange rates of the country members of the Southern African Development Community (SADC) from 1990 to 2010 inclusive. Long-run equilibrium exchange rate models are established, exchange rate determinants are identified, and ex-post forecasts are generated for a period of 18 months (Sekantsi, 2011). The autoregressive distributed lag (ARDL) cointegration model is used in this paper, given its statistical advantages over commonly, applied cointegration techniques. Findings show that the ARDL method generates accurate forecasts for eight out of 11 sampled exchange rates. In keeping with earlier literature (e.g., Redda & Muzindusti, 2017; Zerihun & Breitenbach, 2017; etc.), findings suggest that the chances of SADC member countries fulfilling the requirements of a currency union are quite low. This paper marks one of the first attempts in the literature to forecast exchange rates in SADC using the ARDL approach (Pesaran & Shin, 1995). The results would be of interest to policy-makers, researchers and investors.

scholarly journals The Relationship between Economic Development and Fatal Occupational Accidents: Evidence from Turkey

2017 ◽  
Vol 64 (1) ◽  
pp. 19-31 ◽  
Author(s):  
Olcay Çolak ◽  
Serap Palaz
Keyword(s):  
Economic Development ◽  
Occupational Accidents ◽  
Bounds Testing ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
Lag Model ◽  
The Relationship

Abstract Occupational accidents are among the most important issues of the agenda of working life in Turkey recently. Recently the causes and consequences of occupational accidents which are related to human, occupational and environmental factors have received great attention from the researchers but it has been paid little attention to focused on economic factors. The purpose of this paper is to make a contribution to redressing this gap by examining the relationship between fatal occupational accidents and economic development over the period of 1980 to 2012 for Turkey. In this context, bounds testing approach which is also known as autoregressive distributed lag model is performed. The results indicate the existence of positive relationship between gross domestic product per capita and fatal occupational accidents in the short-run while in the long run this turns out to be in a negative way via economic growth and changes in structure of the economy.

scholarly journals The Nexus Between Taxation, Government Expenditure and Economic Growth in South Africa. A fresh evidence from combined cointegration test

2021 ◽  
Vol 39 (3) ◽  
Author(s):  
Delani Moyo ◽  
Ahmed Samour ◽  
Turgut Tursoy
Keyword(s):  
Economic Growth ◽  
South Africa ◽  
Government Expenditure ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Integration Test ◽  
Lag Model ◽  
The Relationship

The relationship between taxation, government expenditure and economic growth. is a widely debated issue in the literature. The aim of this research is to present a fresh evidence from the nexus of taxation, government expenditure and economic growth in for the period 1991-2018 in South Africa, using recently developed combined co-integration test. Autoregressive Distributed Lag model(ARDL) is utilized to examine coefficients between the variables in the short and long-run The newly advanced Bayer-Hacks (BH) combined co-integration approach is employed so as to verify the ARDL bounds result. The empirical results from ARDL model revealed that there is a positive and significant relationship between government expenditure and economic growth in both short and long run. In addition, the study shows that tax revenue has a significant positive relationship with the economic growth. Therefore, levels of taxation and government expenditure are favorable to the growth of economy in South Africa. The research proposed that decision makers in South Africa should pay more attention on Taxation and government expenditure policies and the gains from economic growth such as channel much of its expenditure towards the manufacturing and agricultural sectors, which have great potentials of increasing the supply of the products. Which in turn leads to reduce prices and increase in the rates of employment. This would, also make the country’s exports prices competitive.

scholarly journals ANALISIS DETERMINANT PROFITABILITAS PADA INDUSTRI PERBANKAN SYARIAH PERIODE 2011-2018 PENDEKATAN AUTO REGRESIVE DISTRIBUTED LAG (ARDL)

2020 ◽  
Vol 7 (6) ◽  
pp. 1102
Author(s):  
Gita Martha Permatasari ◽  
Dian Filianti
Keyword(s):  
Sampling Method ◽  
Banking Industry ◽  
Secondary Data ◽  
Short Term ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Analysis Technique ◽  
Lag Model

This study aims to determine the influence of the Macro Economy, namely GDP and Inflation and Bank Characteristics, namely CAR, FDR, NPF, BOPO and Size on the Profitability of the Sharia Banking Industry in Indonesia in the 2011 - 2018 Period. The data used are secondary data, namely quarterly data obtained from the official website of Bank Indonesia (www.bi.go.id), Badan Pusat Statistik (www.bps.go.id), and Statistik Perbankan Syariah reports published by OJK (www.ojk.go.id). The sampling method used was purposive sampling method. The analysis technique uses the ARDL (Autoregressive Distributed Lag) model with statistical tools EViews 9. The results of the study show that in the short term of the GDP, Inflation, BOPO, Size variables, they have a significant effect on the profitability of the Sharia Banking Industry and the CAR, FDR, NPF variables have no significant effect on profitability of Islamic Banking Industry. Meanwhile in the long run of the GDP, BOPO, Size variables, they have a significant effect on the profitability of the Sharia Banking Industry and the Inflation, CAR, FDR, NPF variable does not significantly influence the profitability of the Sharia Banking Industry.Keywords: Profitability, Sharia Bank, ARDL

Exchange Rate Volatility and Tourism Demand in India: Unraveling the Asymmetric Relationship

2019 ◽  
Vol 59 (7) ◽  
pp. 1282-1297 ◽  
Author(s):  
Chandan Sharma ◽  
Debdatta Pal
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
Point Of View ◽  
Tourism Demand ◽  
Asymmetric Effect ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Long Run ◽  
Short Run ◽  
Lag Model

This study explores the asymmetric effect of exchange rate volatility on tourism demand in India from January 2006 to April 2018. Tourism demand is captured from a twin perspective—quantity and value. While quantity is represented by foreign tourist arrival in India, earnings from foreign tourists are used to represent value. The study is unique from a methodological point of view as it makes the first ever application of the nonlinear autoregressive distributed lag model of Shin, Yu, and Greenwood-Nimmo (2014), in the tourism demand literature to capture nonlinearity simultaneously in the short- as well as long-run. Results of our analysis show that tourism demand in India responds asymmetrically to both nominal and real exchange rate volatility. Also, the long-run effects of exchange rate uncertainty are shown to be more damaging than the short-run effects. Our findings are fairly robust to alternative specifications.

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