The impact of exchange rate uncertainty on pistachio export demand from Iran using panel GARCH model

2018 ◽  
Author(s):  
Hossein Safari ◽  
Esmaiel Abounoori
Keyword(s):  
Exchange Rate ◽  
Garch Model ◽  
Export Demand ◽  
Exchange Rate Uncertainty ◽  
The Impact ◽  
Panel Garch

scholarly journals Investment and exchange rate uncertainty under different regimes

2014 ◽  
Vol 44 (3) ◽  
pp. 553-577
Author(s):  
Cristiano Aguiar de Oliveira
Keyword(s):  
Exchange Rate ◽  
Real Option ◽  
Investment Decision ◽  
Exchange Rate Regimes ◽  
Significant Loss ◽  
Project Investment ◽  
Foreign Markets ◽  
Exchange Rate Uncertainty ◽  
Regime Stability ◽  
The Impact

This paper examines the impact of the exchange rate uncertainty on investment under different exchange rate regimes. The paper presents a theoretical model where exchange rate is a stochastic process and investment decision behaves as a Real Option. The paper evaluates the performance of a new project investment under free float, fixed and intermediate exchange rate regimes (managed float and crawling peg). The comparison among the different regimes shows that the crawling peg has advantages when compared to other regimes. The regime stability implies that less currency devaluations are necessary to stimulate investment, especially when there is a significant loss of market power in foreign markets.

The Impact of Exchange Rate Uncertainty on the Level of Investment

1999 ◽  
Vol 109 (454) ◽  
pp. 55-67 ◽  
Author(s):  
Julia Darby ◽  
Andrew Hughes Hallett ◽  
Jonathan Ireland ◽  
Laura Piscitelli
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Uncertainty ◽  
The Impact

scholarly journals Effect of exchange rate uncertainty on bilateral trade performance in SAARC countries: a gravity model analysis

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Banna Banik ◽  
Chandan Kumar Roy
Keyword(s):  
Exchange Rate ◽  
Panel Data ◽  
Gravity Model ◽  
Bilateral Trade ◽  
Exchange Rate Volatility ◽  
Exchange Rate Uncertainty ◽  
Content Type ◽  
Estimation Techniques ◽  
Trade Performance ◽  
The Impact

PurposeExchange rate uncertainty leads to an indecisive environment for imports and exports that would condense international trade, foreign direct investment, trade earnings, trade volumes, economic growth and welfare. This study aims to examine, empirically, the effect of exchange rate uncertainty on bilateral trade performance, focusing on eight SAARC member economies using the popular modified gravity model of trade.Design/methodology/approachThe paper includes eight SAARC members – Afghanistan, Bangladesh, Bhutan, Maldives, Nepal, Pakistan and Sri Lanka panel data set over the period 2005–2018. The authors consider both standardized value (standard deviation) and conditional variance model to determine volatility of exchange rate. Primarily, ordinary least squares, random effects and fixed effects estimation techniques are employed to investigate the impact of exchange rate volatility. Endogeneity and robustness of the findings have been tested using the simultaneity-adjusted model and dynamic panel data two-step system GMM estimation techniques.FindingsEmpirical findings endorse the view that exchange rate volatility lowers trade flows in the SAARC regions. However, this adverse effect of exchange rate uncertainty on trade is pretty small. The negative correlation between exchange rate volatility and bilateral trade remains consistent and significant after controlling of simultaneous causality, autocorrelation, year effects, country-pair heterogeneity and endogeneity irrespective of panel data estimation techniques and different measures of volatility.Originality/valueThe present paper is original work.

The Impact of Regret on Exports

2016 ◽  
Vol 17 (2) ◽  
pp. 192-205
Author(s):  
Udo Broll ◽  
Kit Pong Wong ◽  
Peter Welzel
Keyword(s):  
Exchange Rate ◽  
Risk Premium ◽  
Optimal Allocation ◽  
Risk Averse ◽  
Exchange Rate Uncertainty ◽  
Export Decisions ◽  
Ex Post ◽  
Spot Exchange Rate ◽  
Regret Aversion ◽  
The Impact

Abstract We examine optimal production and export decisions of a firm facing exchange rate uncertainty, where the firm’s management is not only risk averse but also regret averse, i.e., is characterized by a utility function that includes disutility from having chosen ex post suboptimal alternatives. Experimental and empirical results support the view that managers tend to be regret averse. Under regret aversion a negative risk premium need not preclude the firm from exporting which would be the case if the firm were only risk averse. Exporting creates an implicit hedge against the possibility of regret when the realized spot exchange rate turns out to be high. The regret-averse firm as such has a greater ex ante incentive to export than the purely risk averse firm. Finally, we use a two-state example to illustrate that the firm optimally exports more (less) to the foreign country than in the case of pure risk aversion if the low (high) spot exchange rate is more likely to prevail. Regret aversion as such plays a crucial role in determining the firm’s optimal allocation between domestic sales and foreign exports.

scholarly journals PENGARUH NILAI TUKAR RIIL TERHADAP NERACA PERDAGANGAN BILATERAL INDONESIA: Kondisi Marshall-Lernerdan Fenomena J-curve

2007 ◽  
Vol 8 (3) ◽  
pp. 1-26
Author(s):  
Jardine A Husman
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Minor Role ◽  
Export Demand ◽  
Quarterly Data ◽  
J Curve ◽  
Trading Partners ◽  
Pass Through ◽  
A Minor ◽  
The Impact

The paper analyzes the Marshall-Lerner condition on Indonesian trade with its major trading partners. This study also investigates the existance of J-curve and covers the issue of the indirect pass-through effect, particularly the impact of the real exchange rate change on the Indonesian export performance.We apply the VECM model on the quarterly data of Indonesia and 8 of its trading partners, during the period of 1993:1-2004:4. The estimation result on the overall sample shows that the condition of Marshall-Lerner is satisfied, implying the rupiahs depreciation will increase the Indonesian export. Using each trading partner pair data, the Marshall-Lerner condition is not satisfied on the case of Singapore and England due to the inelastic export demand as the Indonesian export to both countries is mostly a consumption goods.The J-curve phenomenon is only found in the case of Japan, South Korea and Germany implying the depreciation of Rupiahs will increase Indonesian export. The elasticity estimation shows that 1% depreciation of Rupiahs only raise Indonesian export-import ratio by 0.37%. This small number strongly indicates that real exchange rate only plays a minor role on the Indonesian export performance.JEL Classification: C22, F14Keywords: Exchange rate, J-Curve, Marshall-Lerner, export, VECM. 

scholarly journals Volatility of Exchange Rate and Export Growth in Pakistan: The Structure and Interdependence in Regional Markets

2004 ◽  
Vol 43 (4II) ◽  
pp. 813-828 ◽  
Author(s):  
Khalid Mustafa ◽  
Mohammed Nishat
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
The United States ◽  
West Germany ◽  
Export Demand ◽  
Fixed Rate ◽  
Rate System ◽  
Floating Exchange Rate ◽  
Managed Floating ◽  
The Impact

Pakistan follows the flexible exchange rate system since July 2000. Prior to this period it followed a managed floating exchange rate since 1982 and a fixed rate prior to 1982. Due to controlled exchange rate a little fluctuation in exchange rate was observed. It is empirical concluded that the Pakistan’s share of exports in world market did not indicate any significant change during fixed and managed floating exchange rate regimes [Kumar and Dhawan (1991)]. Pakistan’s share in world exports was stable during the last 24 years, ranging between a minimum of 0.12 percent in 1980 and a maximum of 0.18 percent in 1992. After introduction of floating exchange rate during 2002-2003 (the share was 0.17 percent) Pakistan’s exports performance was related to the volatility of exchange rate. Only one empirical study is available regarding to Pakistan’s context by Kumar and Dhawan (1991) who estimated the impact of exchange rate volatility on Pakistan exports to the developed world from 1974 to 1985. They found that volatility of exchange rate adversely effect on export demand. They also investigated the third country effect and suggested that Japan and West Germany act as the alternate market for Pakistan’s export to the United States and United Kingdom. The high degree of volatility and uncertainty of exchange movements observed in Pakistan is of great concern of policy-makers and researchers to investigate the nature and extent of the impact of such movements on Pakistan’s volume of trade. In many countries it is experienced that higher exchange rate volatility reduced the trade by creating uncertainty about future profit from exports.

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