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The effect of Exchange rate volatility on import: Evidence from emerging markets

Year 2023, Volume: 16 Issue: 3, 800 - 810, 31.07.2023
https://doi.org/10.25287/ohuiibf.1259895

Abstract

This study investigates the co-integration relationships among the import, exchange rate volatility, income, and real exchange rate for the emerging market economies during 2000 - 2020. Apart from the previous studies, we consider the cross-section dependency in emerging markets. For the co - integration analysis, Westerlund and Edgerton (2007) co-integration test was used to obtain effective results by allowing autocorrelation and varying variance in the co - integration equation. The findings of this study show that there is a co -integration relationship between the variables. The impact of volatility, income, and real exchange rate on imports are estimated using common correlated effects (CCE). The findings of the panel indicate that long-run imports are significantly impacted negatively whenever there is volatility in emerging markets. It is seen that tastes and preferences are directed towards imported goods, and an increase in income leads to an increase in imports. At the same time findings contradict theoretical projection and shows that an increase in the value of the currency exchange rate has a positive influence on the quantity of goods imported. This could be due to the fact that exports revenue in emerging market countries depend on imports.

References

  • Alper, A. E. (2017). Exchange Rate Volatility and Trade Flows. Fiscaoeconomia, 1(3), 14- 39.
  • Anderton, R., & Skudelny, F. (2001). Exchange Rate Volatility and Euro Area Imports. ECB, Working Paper No 64, https://doi.org/10.1016/j.econmod.2018.05.016
  • Arize, A. C. (1998). The Long-Run Relationship Between Import Flows and Real Exchange Rate Volatility: The Experience of Eight Europen Economies. International Review of Economics and Finance, 7(4), 417-435.
  • Asteriou, D., Masatci, K., & Pılbeam, K. (2016). Exchange Rate Volatility and International Trade: International Evidence from the MINT Countries. Economic Modelling, 58, 133-140.
  • Bahmani-Oskooee, M., & Aftab, M. (2017). On the Asymmetric Effects of Exchange Rate Volatility on Trade Flows: New Evidence From US-Malaysia Trade at the Industry Level. Economic Modelling, 63, 86-103.
  • Bahmani-Oskooee, M., & Arize, A. C. (2019). On the Asymmetric Effects of Exchange Rate Volatility on Trade Flows: Evidence from Africa. Emerging Markets Finance and Trade, 10.1080/1540496X.2018.1543582
  • Bahmani-Oskooee, M., & Gelan, A. (2018). Exchange-Rate Volatility and International Trade Performance: Evidence From 12 African Countries. Economic Analysis and Policy, 58, 14-21.
  • Bahmani-Oskooee, M., & Harvey, H. (2011). Exchange-Rate Volatility and Industry Trade Between the US and Malaysia. Research in International Business and Finance, 25(2), 127-155. Bahmani-Oskooee, M., & Hegerty, S. W. (2008). Exchange-Rate Risk and US–Japan Trade: Evidence from Industry Level Data. Journal of the Japanese and International Economies, 22(4), 518-534.
  • Bahmani-Oskooee, M., & Payesteh, S. (1993). Does Exchange Rate Volatility Deter Trade Volume of LDCs. Journal of Economic Development, 18(2), 189-205.
  • Baum, C. F., & Caglayan, M. (2010). On the Sensitivity of the Volume and Volatility of Bilateral Trade Flows to Exchange Rate Uncertainty. Journal of International Money and Finance, 29(1), 79-93.
  • Braun, M, & Larrain, B. (2005). Finance and the Business Cycle: International, Inter‐Industry Evidence. The journal of finance, 60(3), 1097-1128.
  • Breusch, T. S., & Pagan, A. R. (1980). The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics. The Review of Economic Studies, 47(1), 239- 253.
  • Byrne, J. P., Darby, J., & MacDonald, R. (2008). US Tade and Exchange Rate Volatility: A Real Sectoral Bilateral Analysis. Journal of macroeconomics, 30(1), 238-259.
  • Clark, P. B. (1973). Uncertainty, Exchange Risk, and the Level of International Trade. Economic Inquiry, 11(3), 302-313.
  • Demers, M., (1991). Investment under uncertainty, irreversibility and the arrival of information over time. Review of Economic Studies, 58, 333–350.

Döviz kuru oynaklığının ithalat üzerindeki etkisi: Yükselen piyasalardan kanıtlar

Year 2023, Volume: 16 Issue: 3, 800 - 810, 31.07.2023
https://doi.org/10.25287/ohuiibf.1259895

Abstract

Bu çalışma, 2000 - 2020 yılları arasında yükselen piyasa ekonomileri için ithalat, döviz kuru oynaklığı, gelir ve reel döviz kuru arasındaki eş - bütünleşme ilişkisini incelemektedir. Bu çalışma önceki çalışmalardan farklı olarak, gelişmekte olan piyasalardaki yatay kesit bağımlılığını dikkate almaktadır. Eş – bütünleşme analizinde otokorelasyon ve değişen varyans durumunu dikkate alan Westelund ve Edgerton (2007) eş bütünleşme testi kullanılmıştır. Çalışmanın bulguları değişkenler arasında eş bütünleşme ilişkisi olduğunu göstermektedir. Oynaklık, gelir ve reel döviz kurunun ithalat üzerindeki etkisi, ortak ilişkili etkiler (CCE) yöntemi kullanılarak tahmin edilmektedir. Gelişmekte olan piyasalara ilişkin panel bulguları, uzun dönemde oynaklığın ithalat üzerinde istatistiksel olarak anlamlı, negatif bir etkiye sahip olduğunu göstermektedir. Zevk ve tercihlerin ithal mallara yöneldiği, gelir artışının ithalat artışına yol açtığı görülmektedir. Aynı zamanda bulgular teorik tahminle çelişmekte ve döviz kurunun değerindeki artışın ithal edilen mal miktarı üzerinde olumlu bir etkiye sahip olduğunu göstermektedir. Bunun nedeni gelişmekte olan ülkelerdeki ihracat gelirlerinin ithalata bağlı olmasından kaynaklanıyor olabilir.

References

  • Alper, A. E. (2017). Exchange Rate Volatility and Trade Flows. Fiscaoeconomia, 1(3), 14- 39.
  • Anderton, R., & Skudelny, F. (2001). Exchange Rate Volatility and Euro Area Imports. ECB, Working Paper No 64, https://doi.org/10.1016/j.econmod.2018.05.016
  • Arize, A. C. (1998). The Long-Run Relationship Between Import Flows and Real Exchange Rate Volatility: The Experience of Eight Europen Economies. International Review of Economics and Finance, 7(4), 417-435.
  • Asteriou, D., Masatci, K., & Pılbeam, K. (2016). Exchange Rate Volatility and International Trade: International Evidence from the MINT Countries. Economic Modelling, 58, 133-140.
  • Bahmani-Oskooee, M., & Aftab, M. (2017). On the Asymmetric Effects of Exchange Rate Volatility on Trade Flows: New Evidence From US-Malaysia Trade at the Industry Level. Economic Modelling, 63, 86-103.
  • Bahmani-Oskooee, M., & Arize, A. C. (2019). On the Asymmetric Effects of Exchange Rate Volatility on Trade Flows: Evidence from Africa. Emerging Markets Finance and Trade, 10.1080/1540496X.2018.1543582
  • Bahmani-Oskooee, M., & Gelan, A. (2018). Exchange-Rate Volatility and International Trade Performance: Evidence From 12 African Countries. Economic Analysis and Policy, 58, 14-21.
  • Bahmani-Oskooee, M., & Harvey, H. (2011). Exchange-Rate Volatility and Industry Trade Between the US and Malaysia. Research in International Business and Finance, 25(2), 127-155. Bahmani-Oskooee, M., & Hegerty, S. W. (2008). Exchange-Rate Risk and US–Japan Trade: Evidence from Industry Level Data. Journal of the Japanese and International Economies, 22(4), 518-534.
  • Bahmani-Oskooee, M., & Payesteh, S. (1993). Does Exchange Rate Volatility Deter Trade Volume of LDCs. Journal of Economic Development, 18(2), 189-205.
  • Baum, C. F., & Caglayan, M. (2010). On the Sensitivity of the Volume and Volatility of Bilateral Trade Flows to Exchange Rate Uncertainty. Journal of International Money and Finance, 29(1), 79-93.
  • Braun, M, & Larrain, B. (2005). Finance and the Business Cycle: International, Inter‐Industry Evidence. The journal of finance, 60(3), 1097-1128.
  • Breusch, T. S., & Pagan, A. R. (1980). The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics. The Review of Economic Studies, 47(1), 239- 253.
  • Byrne, J. P., Darby, J., & MacDonald, R. (2008). US Tade and Exchange Rate Volatility: A Real Sectoral Bilateral Analysis. Journal of macroeconomics, 30(1), 238-259.
  • Clark, P. B. (1973). Uncertainty, Exchange Risk, and the Level of International Trade. Economic Inquiry, 11(3), 302-313.
  • Demers, M., (1991). Investment under uncertainty, irreversibility and the arrival of information over time. Review of Economic Studies, 58, 333–350.
There are 15 citations in total.

Details

Primary Language English
Subjects Economics
Journal Section Articles
Authors

Müge Peştere-akçay 0000-0003-4700-9769

Fatih Akçay 0000-0001-8542-1127

Publication Date July 31, 2023
Submission Date March 3, 2023
Acceptance Date May 9, 2023
Published in Issue Year 2023 Volume: 16 Issue: 3

Cite

APA Peştere-akçay, M., & Akçay, F. (2023). The effect of Exchange rate volatility on import: Evidence from emerging markets. Ömer Halisdemir Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 16(3), 800-810. https://doi.org/10.25287/ohuiibf.1259895

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