Asymmetric impacts of foreign exchange rate on the demand for money in Turkey: new evidence from nonlinear ARDL

Alsamara, Mouyad; Mrabet, Zouhair

doi:10.1007/s10368-018-0421-y

Cited by 14 publications

(14 citation statements)

References 47 publications

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“…Moreover, the results show that the two additional variables, the black market exchange rate and the oil price, play a vital role in determining the money demand in Syria. Alsamara, and Mrabet (2019) in their study show that the demand for money in turkey response stronger to negative shock (appreciation) than positive shock (depreciation). Thus, individuals should expect further appreciation when Turkish lira appreciates.…”

Section: Introductionmentioning

confidence: 90%

Do Exchange Rate Changes Have Asymmetric or Symmetric Effects on the Demand for Money in the Gambia

Bah

Khan²,

Aziez³

et al. 2019

ijafr

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In trying to explain the relationship between exchange rate and demand for money researchers have applied different models. In this paper, we applied both the linear and nonlinear ARDL to check the effects of exchange rate changes on the demand for money (M1 and M2) in The Gambia. The result revealed that the demand for money is cointegrated with its determinants and have a stable short-run relationship. It also revealed that exchange rate changes have only short-run asymmetric effects on demand for money (M1 or M2) but don’t have long-run effects.

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Section: Introductionmentioning

confidence: 90%

Do Exchange Rate Changes Have Asymmetric or Symmetric Effects on the Demand for Money in the Gambia

Bah

Khan²,

Aziez³

et al. 2019

ijafr

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“…Using the NARDL bounds test for cointegration, Alsamara and Mrabet (2019) explored the impact of exchange rate shocks on the demand for money in Turkey from 1986:Q1 to 2014:Q4. They reveal that the response of money demand to a negative shock in exchange rate (appreciation) was stronger than its reaction to a positive shock (depreciation).…”

Section: The Asymmetric Effect Of Exchange Ratementioning

confidence: 99%

Revisit of Tunisia’s Money Demand Function: What About Oil Price and Exchange Rate Effects?

Neifar¹,

Kammoun²

2022

IJEFI

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This paper examines the long run and short run dynamic relationship between real broad money and macroeconomic factors in Tunisia for the period 2010M01 to 2019M07. We employ linear and NARDL bound testing approach for co-integration between the money demand measure and its determinants. Three real broader money demand variables (M2, M3, and M4) are considered to show that exchange rate have asymmetric significant effects once we introduce nonlinearity in the long run as well as in the short run association. Then, by using the (Shin et al., 2014) NARDL approach, we show that currency appreciation and depreciation could affect the demand for money in an asymmetric manner. However, in the long run, it is only the oil price and Tunisian Dinar (TD) depreciation and appreciation which have significant effect out of the five considered macroeconomic factors (real income, interest rates, inflation, oil price, and the exchange rate). Besides, the QSUMSQ stability tests results reveal that only real M3 money demand function which is clearly stable. In implementing monetary policy, the Tunisian central bank (TCB) should target the M3 monetary aggregate and take into account of the exchange rate changes stabilization.

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“…They also noted an asymmetric relation between the exchange rate and money demand in the long term. Alsamara & Mrabet (2019) used quarterly data from 1986 to 2014 in Turkey and employed the non-linear ARDL approach. They found that the effect of a negative shock on the exchange rate (appreciation) was stronger than the effect of a positive shock (depreciation) on money demand.…”

Section: Literature Reviewmentioning

confidence: 99%

Asymmetric Impact of Exchange Rate Fluctuations on Money Demand in Sudan

Elhassan

2021

Asian Economic and Financial Review

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This study aims to examine the asymmetric impact of exchange rate fluctuations on money demand in Sudan. The non-linear autoregressive distributed lag (ARDL) model was applied to data pertaining to 1960-2018. The empirical results suggest that the impact of the exchange rate is asymmetric in the long and short terms. In the short term, a positive change in the exchange rate increases money demand, while a negative change in the exchange rate has no effect. However, in the long term, a positive change in the exchange rate increases money demand, and a negative change has the same effect. In the long term, a negative change in the exchange rate has a greater effect than a positive change, indicating that a depreciation of the Sudanese pound has a greater effect. The difference between the positive and negative changes in the exchange rate indicates its asymmetric effect on money demand in Sudan. This study recommends that monetary policy in Sudan should target such positive and negative changes in the exchange rate, and that decision makers should adopt policies that achieve exchange rate stability. In addition, policymakers should also aim to establish an industrial production base to reduce reliance on imports.Contribution/Originality: This study contributes to the existing literature on Sudan. This study uses the new estimation methodology of the non-linear autoregressive distributed lag (ARDL) model. This paper contributes the first logical analysis of the asymmetric impact of exchange rate fluctuations on money demand in Sudan.

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Asymmetric impacts of foreign exchange rate on the demand for money in Turkey: new evidence from nonlinear ARDL

Cited by 14 publications

References 47 publications

Do Exchange Rate Changes Have Asymmetric or Symmetric Effects on the Demand for Money in the Gambia

Do Exchange Rate Changes Have Asymmetric or Symmetric Effects on the Demand for Money in the Gambia

Revisit of Tunisia’s Money Demand Function: What About Oil Price and Exchange Rate Effects?

Asymmetric Impact of Exchange Rate Fluctuations on Money Demand in Sudan

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