Testing the asymmetric effects of exchange rate pass‐through in BRICS countries: Does the state of the economy matter?

Balcılar, Mehmet; Roubaud, David; Wohar, Mark E.

doi:10.1111/twec.12990

Cited by 34 publications

(23 citation statements)

References 64 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Further, the results in Table 3 Balcilar, Roubaud, Usman, and Wohar (2020). Based on the estimated results, the study finds positive and negative effects among the variables with evidence of statistical significance.…”

Section: Econometric Analysismentioning

confidence: 73%

“…Table 5 presents the estimates of the VAR model. Even though the interpretations of the estimates of VAR may not be meaningful because of the theoretical nature of this model, the study relies on the forecast error variance decompositions and impulse response functions for insightful interpretation as suggested by Sim (1980) in Balcilar, Roubaud, Usman, and Wohar (2020). Based on the estimated results, the study finds positive and negative effects among the variables with evidence of statistical significance.…”

Section: Resultsmentioning

confidence: 99%

See 1 more Smart Citation

Testing the nexus between stock market returns and inflation in Nigeria: Does the effect of COVID ‐19 pandemic matter?

et al. 2020

Self Cite

View full text Add to dashboard Cite

Given the palpable fear generated by the threat of COVID‐19 pandemic and the bearish sentiments of stock investors, this study represents one of the first efforts towards testing the effect of COVID‐19 on the stock market returns‐inflation relationship. Specifically, the study investigates the stock market returns–inflation nexus by controlling for the effect of COVID‐19 pandemic in Nigeria from February 27, 2020 to April 30, 2020. Using the estimation procedures based on the generalized autoregressive conditional heteroskedasticity type models (GARCH (1,1), the GJR‐GARCH), and the accounting innovation tests, our results show that COVID‐19 increases volatility and distorts the positive relationship between inflation and stock market returns, which tends to negate the Fisher's hypothesis. In addition, the results reveal that the negative effects of COVID‐19 on the market returns and its disruption to the stock market returns—inflation relationship may not die away rapidly considering that the duration of the pandemic is unknown. Further, these findings are validated by the innovation accounting tests. Therefore, the study presents to policymakers the consequences of COVID‐19 and the urgent need to strengthen the market through collaborative efforts.

show abstract

Section: Econometric Analysismentioning

confidence: 73%

Section: Resultsmentioning

confidence: 99%

Testing the nexus between stock market returns and inflation in Nigeria: Does the effect of COVID ‐19 pandemic matter?

et al. 2020

Self Cite

View full text Add to dashboard Cite

show abstract

“…The economic variables used for the study are consumer prices, exchange rate, output and energy. Following Balcilar and Usman (), an exchange rate is measured as the nominal effective exchange rate (NEER) for two major reasons. First, NEER is a wider measurement of the exchange rate, and second, it tends to produce a robust result because of its variations.…”

Section: Methodsmentioning

confidence: 99%

“…Given that economies in the African continent are almost entirely driven by commodity prices, which have recently witnessed more fluctuations, coupled with a significant change in the exchange rate and trade policy towards market‐based economic policies, these economies have become more susceptible to the effects of exchange rate movements on domestic prices. This phenomenon has an adverse effect on the primary role of central banks in achieving low and stable prices (Balcilar and Usman, ; Karoro et al ., ; Poloamina et al ., ).…”

Section: Introductionmentioning

confidence: 96%

Revisiting the Exchange Rate Pass‐Through to Inflation in Africa’s Two Largest Economies: Nigeria and South Africa

Balcılar¹,

Usman²,

Agbede³

2019

African Development Review

Self Cite

View full text Add to dashboard Cite

This paper revisits the exchange rate pass-through (ERPT) to inflation in Nigeria and South Africa by incorporating structural breaks and using time series variables, namely the consumer price index, nominal effective exchange rate, gross domestic product, and crude oil price. Based on the Maki cointegration test and a flexible estimation approach of the Autoregressive Distributed Lag (ARDL) model, our empirical evidence suggests that the long-and short-run ERPT to inflation is complete for Nigeria, while for South Africa it is incomplete both in the long run and short run. This result indicates that prices are stickier in South Africa compared to Nigeria. The comparison between Nigeria and South Africa confirms the role of inflation targeting and central bank credibility on the ERPT. The results divulge further that output growth in Nigeria increases inflation in the long run while it is anti-inflationary in the short run. For South Africa, the effect of output growth is negatively insignificant. In addition, the long-run effect of oil price is negative and significant for Nigeria, while for South Africa the short-run effect of oil price is positive and significant. Therefore, the findings of this paper will assist the monetary authorities to achieve monetary policy objectives.

show abstract

“…This issue has remained one of the key interests of the governments and policymakers especially in an open economy where the bilateral exchange rate variation is high. From both theoretical and empirical viewpoints, exchange rate variation is connected closely to prices (see Adolfson, 2001; Balcilar, Roubaud, Usman, & Wohar, 2019; Campa, Goldberg, & González‐Mínguez, 2004; Devereux & Engel, 2003; Gagnon & Ihrig, 2004; Lariau, El‐Said, & Takebe, 2016; McCarthy, 2000; Taylor, 2000; Xu & Bernhofen, 1999). In Nigeria, between 1985 and 1993, the currency depreciated on average of 71% annually based on the official exchange rate, while in the parallel market, the average depreciation amounted to 114%.…”

Section: Introductionmentioning

confidence: 99%

Does the pass‐through of exchange rate and globalization validate the rockets and feathers hypothesis in Nigeria? Evidence from a nonlinear model

Usman

2020

Journal of Public Affairs

Self Cite

View full text Add to dashboard Cite

The rapid shift in trade policy towards greater openness is theoretically presumed to leave domestic prices vulnerable to the change in exchange rate. This study investigates not only the asymmetric pass‐through of exchange rate but also globalization to consumer price inflation (CPI) in Nigeria and determines whether the pass‐through is consistent with the rockets and feathers hypothesis. Using the Nonlinear Autoregressive Distributed Lag (NARDL) model and the monthly data from 1986 M01–2015 M12, the results provide evidence that the pass‐through of exchange rate and globalization is asymmetric with depreciation and negative shocks to globalization exerting a higher pass‐through—a result that validates the rockets and feathers hypothesis. The results further suggest that the asymmetric pass‐through of exchange rate and globalization is elastic in the long run except for the positive shocks to exchange rate while in the short run, it is inelastic except for the negative shocks to globalization. Overall, the pass‐through, in the long run, is higher compared to the pass‐through in the short run.

show abstract

Testing the asymmetric effects of exchange rate pass‐through in BRICS countries: Does the state of the economy matter?

Cited by 34 publications

References 64 publications

Testing the nexus between stock market returns and inflation in Nigeria: Does the effect of COVID ‐19 pandemic matter?

Testing the nexus between stock market returns and inflation in Nigeria: Does the effect of COVID ‐19 pandemic matter?

Revisiting the Exchange Rate Pass‐Through to Inflation in Africa’s Two Largest Economies: Nigeria and South Africa

Does the pass‐through of exchange rate and globalization validate the rockets and feathers hypothesis in Nigeria? Evidence from a nonlinear model

Contact Info

Product

Resources

About