scholarly journals ASYMMETRIC EXCHANGE RATE PASS-THROUGH IN U.S. IMPORTS OF COCOA

2018 ◽  
Vol 50 (3) ◽  
pp. 369-386 ◽  
Author(s):  
JEFF LUCKSTEAD
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Imperfect Competition ◽  
Cocoa Beans ◽  
Distributed Lag ◽  
Nonlinear Ardl ◽  
Autoregressive Distributed Lag ◽  
Pass Through ◽  
Exchange Rate Pass Through ◽  
Quality Difference

AbstractBoth the autoregressive distributed lag (ARDL) and the nonlinear ARDL frameworks are applied to model U.S. imports of cocoa beans from Côte d'Ivoire, Ghana, and the Dominican Republic (more than 90% of U.S. cocoa imports originate from these three countries). The results provide evidence of nonlinear and asymmetric pass-through of exchange rates, regional quality difference, and imperfect competition in U.S. cocoa imports. Furthermore, a rise or fall in U.S. income leads to an increase or decrease in U.S. cocoa imports.

scholarly journals Vehicle Currency Pricing and Exchange Rate Pass-Through

2021 ◽  
Author(s):  
Natalie Chen ◽  
Wanyu Chung ◽  
Dennis Novy
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Great Recession ◽  
Firm Level ◽  
Bilateral Exchange ◽  
The Great Recession ◽  
Pass Through ◽  
Exchange Rate Changes ◽  
Exchange Rate Pass Through ◽  
The Relationship

Abstract Using detailed firm-level transactions data for UK imports, we find that invoicing in a vehicle currency is pervasive, with more than half of the transactions in our sample invoiced in neither sterling nor the exporter’s currency. We then study the relationship between invoicing currencies and the response of import unit values to exchange rate changes. We find that for transactions invoiced in a vehicle currency, import unit values are much more sensitive to changes in the vehicle currency than in the bilateral exchange rate. Pass-through therefore substantially increases once we account for vehicle currencies. This result helps to explain why UK inflation turned out higher than expected when sterling depreciated during the Great Recession and after the Brexit referendum. Finally, within a conceptual framework we show why bilateral exchange rates are not suitable for capturing exchange rate pass-through under vehicle currency pricing. Overall, our results help to clarify why the literature often finds a disconnect between exchange rates and prices when vehicle currencies are not accounted for.

Conclusions

2016 ◽  
Author(s):  
Jeffry A. Frieden
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Exchange Rate Policy ◽  
Theoretical Argument ◽  
Economic Agents ◽  
Cross Border ◽  
Domestic Prices ◽  
Pass Through ◽  
Exchange Rate Pass Through ◽  
Export Competition

This chapter summarizes key findings. This book makes a simple theoretical argument about the distributional implications of exchange rate policy. It suggests that economic actors with important cross-border interests, exposed to currency volatility, will tend to prefer more stable and predictable exchange rates. It also claims that tradables producers will, all else being equal, tend to prefer a depreciated real exchange rate. These concerns will be tempered by the extent of exchange rate pass-through—that is, the degree to which currency movements affect domestic prices. The analysis in this book shows that countries whose economic agents are more involved in cross-border trade are more likely to fix their exchange rates in order to reduce currency volatility. Countries with large groups susceptible to import or export competition—import-competing manufacturers and export farmers—are more likely to choose flexible exchange rates that allow currency depreciations. Governments facing an election encourage or allow currency appreciation that increases the purchasing power of consumers.

Antidumping Investigations and the Pass-Through of Antidumping Duties and Exchange Rates: Reply

2010 ◽  
Vol 100 (3) ◽  
pp. 1283-1284 ◽  
Author(s):  
Bruce A Blonigen ◽  
Stephen E Haynes
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Empirical Evidence ◽  
Structural Breaks ◽  
Theoretical Explanation ◽  
Antidumping Duties ◽  
Pass Through ◽  
Exchange Rate Pass Through ◽  
The U.S

This reply responds to a comment that correctly identifies an invalid assumption in our original article that antidumping (AD) duties are subtracted from the U.S. price when calculating AD duties in administrative reviews. While this point invalidates our theoretical explanation and empirical evidence on the magnitude of AD duty pass-through, it does not affect our original article's theory or empirical evidence on the magnitude of exchange rate pass-through, or the presence of structural breaks in both the AD duty and exchange-rate pass-through coefficients stemming from AD investigations and orders.

scholarly journals Exchange rate modelling in the development community using the ARDL cointegration approach: The case of emerging markets

2020 ◽  
Vol 10 (2) ◽  
pp. 53-70
Author(s):  
Abdulkader Aljandali ◽  
Christos Kallandranis
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Equilibrium Exchange Rate ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Ex Post ◽  
Long Run ◽  
Equilibrium Exchange ◽  
Exchange Rate Movements ◽  
Exchange Rate Models

Despite rising interest in African economies, there is little prior research on the determinants of exchange rate movements in the region. This paper examines the monthly exchange rates of the country members of the Southern African Development Community (SADC) from 1990 to 2010 inclusive. Long-run equilibrium exchange rate models are established, exchange rate determinants are identified, and ex-post forecasts are generated for a period of 18 months (Sekantsi, 2011). The autoregressive distributed lag (ARDL) cointegration model is used in this paper, given its statistical advantages over commonly, applied cointegration techniques. Findings show that the ARDL method generates accurate forecasts for eight out of 11 sampled exchange rates. In keeping with earlier literature (e.g., Redda & Muzindusti, 2017; Zerihun & Breitenbach, 2017; etc.), findings suggest that the chances of SADC member countries fulfilling the requirements of a currency union are quite low. This paper marks one of the first attempts in the literature to forecast exchange rates in SADC using the ARDL approach (Pesaran & Shin, 1995). The results would be of interest to policy-makers, researchers and investors.

scholarly journals Autoregressive Distributed Lag Kurs Dan Ekspor Karet Remah Terhadap Pertumbuhan Ekonomi Indonesia

2020 ◽  
Vol 3 (2) ◽  
pp. 47
Author(s):  
Nulhanuddin Nulhanuddin ◽  
Devi Andriyani
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Crumb Rubber ◽  
Short Term ◽  
Insignificant Effect ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Ardl Approach

This study aims to determine the effect of short-term and long-term exchange rates and crumb rubber exports on the economic growth of Indonesia. The data used are secondary data for 39 years from 1980 to 2018 accessed on www.world.bank.wdi.data.bank.org, www.pertanian.go.id, www.bps.go.id, and www.bps.go.id. The data analysis method used is the Autoregressive Distributed Lag (ARDL) approach with the help of EViews 10 software. The results show that the economic growth is stationary at the level and exchange rate and exports of stationary crumb rubber at the first difference level and have cointegration in the long-term relationship. The test results in the short-term analysis of the exchange rate have a positive and significant effect, and exports have a positive but insignificant effect on economic growth, while in the long run, the exchange rate has a negative effect but insignificant, and exports have a positive but insignificant effect on the economic growth of Indonesia. Keywords:economic growth, exchange rates, exports and the ARDL approach.  

Dynamic Effects of Exchange Rate Movements on Productivity Levels: New Evidence From Nigeria Based on NARDL

2021 ◽  
pp. 245513332110507
Author(s):  
Emmanuel Uche ◽  
Sunday Ikedinobi Nwamiri
Keyword(s):  
Exchange Rate ◽  
Output Growth ◽  
Distributed Lag ◽  
Dynamic Relationship ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Exchange Rate Movements ◽  
Short Run ◽  
Pass Through ◽  
Exchange Rate Depreciation

The dynamic relationship between exchange rate movements (appreciation and depreciation) and macroeconomic fundamentals had preoccupied the minds of researchers across the globe. Consequently, extensive research works have been conducted to unravel the puzzle; however, the findings remain inconclusive. The inconclusiveness of these researches may not be unconnected with the choice of model, the omission of key variables and erroneous assumption of symmetric interrelationships of the variables. To mitigate such error and fill the observed research gaps, this study leveraged on the non-linear autoregressive distributed lag to trace the possible asymmetric pass-through of the exchange rate to output growth in Nigeria. The study made use of monthly time series for the period 2000M1–2018M12 for empirical estimations. The empirical findings reveal an asymmetric pass-through from exchange rate to productivity. Exchange rate depreciation led to output retardation in the short run, but neither appreciation nor depreciation of the exchange affected output in the long run. The findings highlight that exchange rate depreciation of the local currency does not improve the country’s productivity. This reveals a disconnection and misalignment between exchange and productivity in Nigeria. The findings call for proper alignment of the Naira exchange rate with the U.S. dollar for improved productivity in the economy.

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