Revisiting the relationship between oil prices, exchange rate, and stock prices: An application of quantile ARDL model

Hashmi, Shabir Mohsin; Chang, Bisharat Hussain; Huang, Liang H.; Uche, Emmanuel

doi:10.1016/j.resourpol.2021.102543

Cited by 55 publications

(36 citation statements)

References 65 publications

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“…Like the previous literature (Hashmi et al, 2021a(Hashmi et al, , 2021b(Hashmi et al, , 2022 our estimates indicate that negative income changes reduce consumer spending; nevertheless, this fall in spending is significant in China and Indonesia. According to our estimates, a 1% decrease in income causes a 0.35% to 0.42% decrease in household spending.…”

Section: Resultssupporting

confidence: 84%

Nexus between Consumption, Income and Price Changes: Asymmetric Evidence from NARDL Mode

et al. 2022

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Previous research has primarily examined the link between price, income, and consumer spending using linear regression models. On the other hand, the latest evidence shows an asymmetric link among economic and financial variables. We contribute to the literature by employing a novel technique known as the asymmetric ARDL model. This approach is used to investigate the impact of favorable and unfavorable changes in income and prices on household consumption. The results show that higher income has a substantial and beneficial effect on household expenditures in the short term and long term. On the other hand, a fall in income has no impact on consumer spending. Moreover, for most developing countries, price adjustments have a negligible effect on consumer expenditures. Our findings suggest that implementing the same policy initiatives across periods of rising and falling income and prices may result in potential losses.JEL Classification: E31, F31, C22

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Section: Resultssupporting

confidence: 84%

Nexus between Consumption, Income and Price Changes: Asymmetric Evidence from NARDL Mode

et al. 2022

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“…One stream of the literature investigates the relationship between EPU and macroeconomic variables such as inflation, consumption, investments, economic development, money demand, unemployment, and financial distress (Hashmi and Chang, 2021 ; Hashmi et al, 2021 ; Jones and Olson, 2013 ; Brogaard and Detzel, 2015 ; Aastveit et al, 2017 ; Caggiano et al, 2017 ). In contrast, another stream of literature examines the impact of EPU on different asset classes such as commodities, derivatives and insurance, gold futures, bonds, and stocks (Syed et al, 2019 ; Hashmi et al, 2021 ; Hashmi et al, 2022 ; Arouri et al, 2016 ; Li et al, 2018 ; Fang et al, 2018 ; Uche et al, 2022b ).…”

Section: Introductionmentioning

confidence: 99%

Exchange rate response to economic policy uncertainty: evidence beyond asymmetry

Chang

Derindağ

Hacıevliyagil

et al. 2022

Humanit Soc Sci Commun

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Recent studies have examined the relationship between economic policy uncertainty and exchange rate. We contribute to this literature by considering the effect of minor positive and major positive changes as well as minor negative and major negative changes in the economic policy uncertainties on the exchange rates. In this regard, we use a recently developed multiple asymmetric threshold nonlinear ARDL model along with Granger causality in quantile test. Our estimates support the asymmetric effect in three countries only when an asymmetric ARDL model is used. However, these estimates support asymmetric effects for all the sample countries when the multiple asymmetric threshold nonlinear ARDL model is used. Moreover, the effect varies across various quantiles when Granger causality in quantile test is used. Overall, the extended model helps us to examine more minutely the impact of EPU and GEPU on the exchange rate in G7 countries. The results of this study can be useful for the central banks to devise appropriate policies to intervene in the foreign exchange market.

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“…Following the resolution of the current studies in terms of providing updates to existing knowledge, we applied several modern econometric procedures, including pre-estimation diagnostic tests such as descriptive statistics, the correlation matrix, unit-root (stationarity) tests beginning with the traditional augmented Dickey-Fuller, and the Perron and Lee-Strazicich tests that account for breaks in the series. The study also adopted various cointegration tests, including the Bayer-Hanck joint cointegration technique (Bayer & Hanck, 2013 ), 1 the ARDL bounds tests Pesaran et al ( 2001 ) based on insight from Ohlan ( 2017 ), and the quantile cointegration process following Hashmi et al ( 2022 ) and Uche and Effiom ( 2021b ). Meanwhile, the quantile cointegration process follows the Pesaran et al ( 2001 ) bounds test to predict the long-run relationship among the enlisted series across the quantile distributions on the basis of the following null hypothesis: [ 05] lnGDPR = [ 10] lnGDPR [ 95] lnGDPR = [ 05] lnTOUR = [ ] lnTOUR lnTOUR = [ lnFIDV = [ 10] lnFIDV [ 95] lnFIDV = [ 05] lnTROP = [ 10] lnTROP [ 95] lnTROP = [ 05] lnNATR = [ 10] lnNATR [ 95] lnNATR = 0.…”

Section: Data Description and Methodologymentioning

confidence: 99%

“…The QARDL procedure allows us to discover the dynamic effects of tourism on productivities over various states of the economy in the long and short run. Another unique feature of the QARDL model is that it accounts for distributional asymmetries, unlike other time-varying frameworks that account for asymmetry only within the conditional mean (Hashmi et al, 2022 ; Omoke & Uche, 2021 ; Sharif et al, 2020 ; Uche & Effiom, 2021b ).…”

Section: Data Description and Methodologymentioning

confidence: 99%

The Dynamic Role of Financial Development in Analyzing the N-Shaped Tourism-Led Growth Hypothesis in Mauritius

2022

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This study is a critical step to explore how financial development moderates the N-shaped tourism-led growth hypothesis in Mauritius, considering the rising influence of the tourism sector on this small island but a high-income country and the dearth of recent empirical studies in this direction. Relying on annual time series between 1980 and 2018, the study employed the ARDL model and the quantile ARDL model, a technique rarely applied in extant studies to analyze the possible nonlinear (N-shaped) dynamics of tourism and the moderating role of financial development on productivity in Mauritius. The various cointegration tests proved that the series have a common long-run trend, whereas the causality test validates the tourism-led growth hypothesis. The ARDL estimates reveal positive and significant impacts from tourism and financial development on economic growth, against the negative and insignificant effects of the other control variables in the long and short run. However, from the QARDL, the impacts of tourism and financial development on growth remained predominantly negative in the long term at all quantiles of economic growth except at q0.30, where a positive impact was recorded from tourism. However, in the short run, the contributions of tourism and financial development remained positive but insignificant across the distributions of economic growth, therefore buttressing the time-varying (N-shaped) nature of the relationship. By implication, policies that could shield the economy from shocks arising from business cycles and sustain the positive/significant contributions of tourism and financial system to economic growth are pertinent to boost the confidence of all stakeholders.

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Revisiting the relationship between oil prices, exchange rate, and stock prices: An application of quantile ARDL model

Cited by 55 publications

References 65 publications

Nexus between Consumption, Income and Price Changes: Asymmetric Evidence from NARDL Mode

Nexus between Consumption, Income and Price Changes: Asymmetric Evidence from NARDL Mode

Exchange rate response to economic policy uncertainty: evidence beyond asymmetry

The Dynamic Role of Financial Development in Analyzing the N-Shaped Tourism-Led Growth Hypothesis in Mauritius

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