Nonlinearities in the real exchange rates: new evidence from developed and developing countries

Ahmad, Yamin; Lo, Ming Chien; Staveley-O’Carroll, Olena M.

doi:10.1080/00036846.2018.1558354

Cited by 2 publications

(2 citation statements)

References 32 publications

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“…Otherwise, long-term macroeconomic stability would be violated (Malkiel, 2003; Pesaran, 2010). More recently, Ahmad et al (2019) investigate the dynamics of the real exchange rate for both developed and developing countries. In general, the results find a greater incidence of nonlinear dynamics for developing country exchange rates.…”

Section: Introductionmentioning

confidence: 99%

Domestic and Global Causes for Exchange Rate Volatility: Evidence From Turkey

Ozkaya,

Altun

2024

Sage Open

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Understanding which factors influence exchange rate movements is important for understanding economic development, trade patterns, investment decisions, and for designing economic policies. In this study, we allow for monetary, domestic and global financial variables to assess the relevant importance of each of the variables to exchange rate volatility in the case of Turkey. The paper investigates the dynamics of exchange rate volatility of the Turkish lira in a complementary perspective by employing both Generalized autoregressive conditional heteroskedasticity (GARCH) method and Lyapunov exponents over the period from March 1, 2019 to November 11, 2021. Firstly, decomposing the impact of domestic and global financial variables, the results of the GARCH model indicate that the exchange rate volatility is affected by Volatility index (VIX) and Credit default swaps (CDS). This result suggests that the exchange rate shocks experienced are mainly caused by global factors, therefore policymakers should focus on volatility spillovers caused by global financial markets. Secondly, detected positive maximal Lyapunov exponent shows that complexity in foreign exchange markets has been increased, market expectations lead to multiple-equilibria and diverging volatility eventually will generate recurrent spikes in currency value. These complementary findings have important implications for interventions of Central banks and preventing systemic risks, as well as portfolio and risk management. JEL Classification: C32, G14, G15.

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Section: Introductionmentioning

confidence: 99%

Domestic and Global Causes for Exchange Rate Volatility: Evidence From Turkey

Ozkaya,

Altun

2024

Sage Open

View full text Add to dashboard Cite

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“…Scholars have identified four factors that could make the exchange rate exhibit asymmetry in its structures (Ahmad, Ahmad, & Ali, 2013;Y. Ahmad, Lo, & Staveley-O'Carroll, 2019;Cuestas, 2009;Dada et al, 2021;Juvenal & Taylor, 2008;Leon & Najarian, 2003;Sarantis, 1999;Sarno, Taylor, & Chowdhury, 2004).…”

Section: Introductionmentioning

confidence: 99%

On the asymmetric effect of real exchange rate on growth: Evidence from Africa

Dada

2022

Econ. J. Emerg. Mark.

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Purpose ― This study investigates the asymmetric effect of real exchange rates on the economic growth of twenty African countries for the period 2005 to 2019. Design/Method/Approach ― A refined method of Granger and Yoon (2002) was used to decompose real exchange into appreciation and depreciation. To address the problem of endogeneity and cross-sectional dependence, a two-steps system generalized method of moments, Driscoll-Kraay estimator, and Augmented Mean group were used. Findings ― This study established the presence of asymmetries in the real exchange rate in the region. Further, the study found that real exchange rate appreciation inhibits economic growth while real exchange rate depreciation is beneficial to growth in the region. The results are robust to different estimation techniques. Practical Implications ― The outcome of this study supports the traditional view of exchange rates on macroeconomic variables. Hence, findings from this study can help investors and policymakers in the region to better understand the dynamics of the exchange rate and its effect on economic growth. Originality/Value ― This study enriches the literature on the relationship between exchange rate and growth, especially in Africa using a refined approach to decompose exchange rate into appreciation and depreciation.

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Nonlinearities in the real exchange rates: new evidence from developed and developing countries

Cited by 2 publications

References 32 publications

Domestic and Global Causes for Exchange Rate Volatility: Evidence From Turkey

Domestic and Global Causes for Exchange Rate Volatility: Evidence From Turkey

On the asymmetric effect of real exchange rate on growth: Evidence from Africa

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