Exchange rate volatility and stock market development in emerging economies

J of App Econs and Policy

Aftab

2017

We consider the trade balance of each of the fifty-five industries that trade between Malaysia and Korea and engage in asymmetry analysis. We find that the short-run effects of exchange rate changes are asymmetric in all industries. However, significant short-run cumulative or impact asymmetric effects are established only in thirteen industries and significant adjustment asymmetry in twenty-one industries. Finally, significant long-run asymmetric effects were evidenced in eighteen industries which included the two largest industries that engage in more than 20 per cent of trade between Malaysia and Korea. Clearly, the results are industry specific and should be extended to other countries.

“… For some other applications of these approaches see Apergis and Miller (), Halicioglu (), Verheyen (), Hajilee and Al‐Nasser (), and Bahmani‐Oskooee et al . (). …”

mentioning

confidence: 99%

Malaysia–Korea Commodity Trade: Are there Asymmetric Responses to Exchange Rate Changes?

J of App Econs and Policy

Aftab

2017

“… For some other applications of these approaches see Apergis and Miller (), Halicioglu (), De Vita and Kyaw (), Dell'Anno and Halicioglu (), Verheyen () and Hajilee and Al‐Nasser (). …”

mentioning

confidence: 99%

Asymmetric Effects of Exchange Rate Changes and the J‐curve: New Evidence from 61 Malaysia–Thailand Industries

Review Development Economics

Aftab

2016

Research on the impact of currency depreciation on the trade balance is now moving in a new direction by incorporating nonlinear dynamic adjustment of the exchange rate and by using a nonlinear approach to error-correction modeling and cointegration. Using these advances, researchers find not only more evidence of the J-curve effect, but also new evidence of asymmetric effects of exchange rate changes on the trade balance. We contribute to this line of research by using monthly trade flow data from 61 twodigit industries that trade between Malaysia and Thailand, and show that not only does currency depreciation have favorable effects on the trade balance of more industries, but the long-run effects are asymmetric in 26 out of 61 cases. In line with current literature, our nonlinear model performs much better than the linear model when industry level data are used.

“…For other applications of this method see For some other applications of this approach seeHalicioglu (2007Halicioglu ( , 2013,Narayan et al (2007),Tang (2007),Mohammadi et al (2008),Wong and Tang (2008), DeVita and Kyaw (2008),Payne (2008), Dell'Anno andHalicioglu (2010),Chen and Chen (2012),Shahbaz et al (2012),Wong (2013), Bahmani-Oskooee and Zhang (2014),Hajilee and Al-Nasser (2014), andTayebi and Yazdani (2014).…”

mentioning

confidence: 97%

Impact of exchange rate volatility on the commodity trade between Pakistan and the US

Iqbal

Khan

2016

Econ Change Restruct

The impact of exchange rate volatility on the trade flows has been intensively studied by researchers after the adoption of flexible exchange rate system. Different studies have used data from different countries at different aggregation level. In this paper we consider the experiences of 57 Pakistan's exporting to and 52 importing industries from the US over the period 1980-2014. We find that almost 50 % of the industries are affected by exchange rate volatility in the short-run. However, short-run effects last into the long run only in 26 exporting industries and 18 importing industries. Due to such disaggregation we find that all four large exporting and importing industries are affected positively in the long run. The list includes industries coded 656 (made up articles with 32.45 % of exports share), 841 (clothing with 50.7 % exports share), 263 (cotton with 8.64 % import share) and 282 (iron and steel scrap with 2.10 % imports share).