Assessment of asymmetric effects on exchange market pressure: Empirical evidence from emerging countries

Özçelebi, Oğuzhan

doi:10.1016/j.najef.2019.03.016

Cited by 20 publications

(11 citation statements)

References 25 publications

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“…This is evident in the bounds cointegration test results, which improved after we accounted for structural breaks on either the linear or asymmetric ARDL model Although not as pronounced as the effect of structural breaks on cointegration, the results also raise a strong case for accounting for asymmetry. We report differing impacts of positive and negative interest rate differentials on the exchange rates across the four samples, supporting previous studies (e.g., Li, 2011;Jackman et al, 2013;Ozcelebi, 2019).…”

Section: A Main Resultssupporting

confidence: 88%

“…Similarly, Rocha (2012) demonstrates that asymmetries are present even in the dynamics of the interest rate in terms of nonlinear interactions, impacting the financial channel of monetary policy. Overall, empirically, the nonlinear relation between interest rate and exchange rate is informed by the studies of Jackman et al (2013), Li (2011), and Ozcelebi (2019). Notably, Christodoulakis and Mamatzakis (2013) indicate that asymmetry is an important consideration in determining the exchange rates of the G7 countries, which the present study explores.…”

Section: Introductionmentioning

confidence: 76%

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Exchange Rate and Interest Rate Differential in G7 Economies

Golit¹,

Salisu

Akintola³

et al. 2019

BEMP

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We offer new insights on the dynamics of the exchange rate–interest rate differentialfor the case of G7 economies. We show that the nexus is better considered using anasymmetric model, as suggested by a host of previous studies. In addition, we find therole of accounting for structural breaks to be prominent. We also show differences in thenexus between euro and non-euro G7 countries, suggesting heterogeneous monetarypolicies. Thus, we document the strongest evidence for the sticky price hypothesis inJapan and lesser evidence in the euro countries and the United Kingdom, with Canadaconsistently revealing evidence for the flexible price hypothesis.

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Section: A Main Resultssupporting

confidence: 88%

Section: Introductionmentioning

confidence: 76%

Exchange Rate and Interest Rate Differential in G7 Economies

Golit¹,

Salisu

Akintola³

et al. 2019

BEMP

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show abstract

“…To ensure the linearity of the model, following Ozcelebi and Tokmakciogul (2022) and Ozcelebi (2019), the Ramsey Regression Equation Specification Error Test (RESET) was used in the regression. The result shows that the model is free of error specification, and we fail to reject the null that the fitted regression is free of error specification since the t value is 0.7826 with a p value of 0.4394.…”

Section: Data and Data Descriptionmentioning

confidence: 99%

Sources of real exchange rate fluctuations in Egypt

Alabdulwahab,

Abou-Zaid

2023

REPS

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PurposeThis paper aims to empirically investigate the sources of real exchange rate fluctuations in Egypt using structural vector autoregression (SVAR). The data covers the period between 1980 and 2016, where exchange regime has been changed more than once.Design/methodology/approachThis paper investigates the source of real exchange rate fluctuations for the period between 1980 and 2016 using the SVAR method. The SVAR method will incorporate real gross domestic product (GDP), real effective exchange rate (REER) and price level in a multidimensional equations system. However, impulse response function (IRF) and error variance decompositions (EVDC) will be generated by the system to have a behavioral insight of real exchange rate in response to economic shocks.FindingsThe IRF and EVDC results indicate a significant impact of demand shocks over the real exchange rate relative to supply shocks and monetary shocks in the period between 1980 and 2016. On the other hand, monetary shocks will have a negligible effect on the real exchange rate in the short run and converging to its previous level in the covering period of the study.Originality/valueIn the best of the authors' knowledge, the topic of the source of the real exchange rate fluctuations in Egypt has not been discussed in a wide range due to the lack of time series data. However, this study provides constructed data for REER for Egypt with the published method in the International Monetary Fund (IMF). Furthermore, the study involves theoretical and econometric modeling to ensure the reliability of the economic results.

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“…Within the TVP-SVAR model, considering the stochastic volatility model framework of Primiceri (2005) and Nakajima (2011), and in line with Lorusso and Pieroni (2018), we analysed the impacts of the GPR indices of Brazil, Russia, India, and China on crude oil futures, incorporating the role of oil aggregate demand which can be proxied by the real economy activity. The asymmetric impacts are considered in the estimation process of the TVP-SVAR by including variables decomposed into cumulative positive and negative sums in line with Hatemi-J (2014), El-Khatib (2016), andOzcelebi (2019). Thus, our study following the framework of Kilian (2009) differs from other studies which use SVAR modelling (Caldara et al, 2019;Gong & Lin, 2018;Kang et al, 2019;Lorusso & Pieroni, 2018).…”

Section: Literature Reviewmentioning

confidence: 99%

Assessment of the asymmetric impacts of the geopolitical risk on oil market dynamics

Özçelebi

Tokmakçıoğlu

2020

Int. J Fin Econ

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This study employs the time-varying parameter structural vector autoregression (TVP-SVAR) models to assess the asymmetric effects of the geopolitical risk (GPR) on oil production and oil prices for BRIC countries and in the global scale. Although slope-based asymmetry tests deriving from non-linear VAR model of Kilian and Vigfusson suggest that the effects on oil production and oil prices are symmetric, the directions and the magnitude of the impulse response functions (IRFs) of TVP-SVAR models did not confirm the relevant relationship. More specifically, it was revealed that the rise/fall of the GPR of Brazil, Russia and India can lead to increasing/decreasing oil prices. While our findings imply that changes in oil prices may not be a factor affecting the oil production through the changes in GPR, we stress that the increase/decrease of GPRs affect the future economic expectations negatively/positively which in turn leads to a change in the oil production.

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Assessment of asymmetric effects on exchange market pressure: Empirical evidence from emerging countries

Cited by 20 publications

References 25 publications

Exchange Rate and Interest Rate Differential in G7 Economies

Exchange Rate and Interest Rate Differential in G7 Economies

Sources of real exchange rate fluctuations in Egypt

Assessment of the asymmetric impacts of the geopolitical risk on oil market dynamics

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