scholarly journals US trade deficit, a reality check: New evidence incorporating asymmetric and non‐linear effects of exchange rate dynamics

World Economy ◽  
2020 ◽  
Author(s):  
Muhammad Ali Nasir ◽  
Mary Leung
Keyword(s):  
Exchange Rate ◽  
Trade Deficit ◽  
Exchange Rate Dynamics ◽  
Reality Check ◽  
Non Linear ◽  
Linear Effects ◽  
New Evidence

scholarly journals Non-linear impact of exchange rate changes on U.S. industrial production

2019 ◽  
Vol 8 (1) ◽  
Author(s):  
Arash Habibi
Keyword(s):  
Exchange Rate ◽  
Industrial Production ◽  
The United States ◽  
Energy Materials ◽  
Non Linear ◽  
Short Run ◽  
Linear Effects ◽  
Exchange Rate Changes ◽  
Misspecification Error ◽  
The U.S

Abstract This paper contributes to the literature on the nexus between production and exchange rate in the United States (U.S.) by considering non-linear adjustments of exchange rate effects on industrial production in several sectors of the U.S. economy. We employ a Non-linear Autoregressive Distributed Lags (NARDL) model which is built upon the Solow model. We show that there exists a non-linear relationship between these two variables in some of the MMIGs. We document short-run non-linear effects of exchange rate on production of non-energy materials, durable manufacturing, consumer goods and business equipment. The short-run effects last into the long-run for all the sectors. While exchange rate changes have short-run linear effects on production of electricity in the U.S., there are no effects of exchange rate movements on the production of mining, and energy materials. Moreover, the paper finds misspecification error of the model for the case of durable manufacturing. The existence of non-linearities considering import content of exports, support our hypothesis and conclusions. Further, the factors that influence demand provide justifications for our results.

Modeling exchange rate dynamics: Non-linear dependence and thick tails

1993 ◽  
Vol 12 (1) ◽  
pp. 33-63 ◽  
Author(s):  
Anya McGuirk ◽  
John Robertson ◽  
Aris Spanos
Keyword(s):  
Exchange Rate ◽  
Linear Dependence ◽  
Exchange Rate Dynamics ◽  
Non Linear ◽  
Thick Tails

Forecasting exchange rates using multivariate threshold models

2016 ◽  
Vol 16 (1) ◽  
Author(s):  
Florian Huber
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Linear Time ◽  
Time Series Models ◽  
Threshold Models ◽  
Exchange Rate Dynamics ◽  
Non Linear

AbstractThis paper investigates the ability of a broad range of non-linear time series models to forecast the EUR/USD exchange rate. Using a variant of the well-known Dornbusch (Dornbusch, R. 1976. “Expectations and Exchange Rate Dynamics.”

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