The impact of real exchange rate on international trade: Evidence from panel structural VAR model

Aslan, Çağlayan; Çepni, Oğuzhan; Gül, Selçuk

doi:10.1080/09638199.2021.1905695

Cited by 11 publications

(4 citation statements)

References 26 publications

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“…Some recent applications of this approach endorse the soundness of this type of model. Indeed, the use of P-SVARs is gaining momentum in macroeconomics and a growing array of fields of investigation due to their properties (see, among others, Aslan et al ., 2021; Deleidi et al ., 2021; Stirati and Paternesi Meloni, 2021).…”

Section: Methodsmentioning

confidence: 99%

Is labour force participation independent of unemployment? A panel analysis for high-income countries

Paternesi Meloni

2024

IJM

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PurposeWe test the pertinence of the unemployment invariance hypothesis (UIH) for a set of Organisation for Economic Co-operation and Development countries.Design/methodology/approachWe empirically investigate the nexus between unemployment and labour force participation employing structural vector autoregressive methods for panel data.FindingsWe find that shocks in unemployment produce long-lasting, negative effects on participation, testifying to a discouraged worker effect.Originality/valueOur results do not support the validity of the UIH in high-income economies. This has relevant implications for policy making and macroeconomic models.

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Section: Methodsmentioning

confidence: 99%

Is labour force participation independent of unemployment? A panel analysis for high-income countries

Paternesi Meloni

2024

IJM

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“…The heterogeneous panel SVAR method of Pedroni (2013) accounts for cross-sectional dependence, which emerges because the individual members of the panel react not only to their own member-specific idiosyncratic shocks but also to shocks that are common across the members of the panel. In this way, it enables the member-specific inference for any individual member of the panel for which the time series data is insufficient for reliable time series analysis (Aslan et al , 2020, p. 4).…”

Section: 2 Heterogeneous Panel Structural Vector Autoregressive Of Pe...mentioning

confidence: 99%

Government public infrastructure investment and economic performance in Spain (1980–2016)

Pérez-Montiel

Manera

2021

AEA

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Purpose The authors estimate the multiplier effect of government public infrastructure investment in Spain. This paper aims to use annual data of the 17 Spanish autonomous communities for the 1980–2016 period. Design/methodology/approach The authors use dynamic acyclic graphs and the heterogeneous panel structural vector autoregressive (P-SVAR) method of Pedroni (2013). This method is robust to cross-sectional heterogeneity and dependence, which are present in the data. Findings The findings suggest that an increase in the level of government public infrastructure investment generates a positive and persistent effect on the level of output. Five years after the fiscal expansion, the multiplier effects of government public infrastructure investment reach values above one. This confirms that government public infrastructure investment expansions have Keynesian effects. The authors also find that the multiplier effects differ between autonomous communities with above-average and below-average GDP per capita. Originality/value To the best of the authors’ knowledge, no research uses dynamic acyclic graphs and heterogeneous P-SVAR techniques to estimate fiscal multipliers of government public investment in Spain by using subnational data.

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“…On the other hand, the aim is to understand, using Impulse Response Functions (IRFs), the quanti cation of shocks in the international diamond market and exogenous shocks of a different nature. Some studies have attempted to quantify the effects of exogenous shocks on production levels on the one hand and on export capacity on the other, as studied by (Aslan , Çepni , & Gul , 2021) (Aslan , Çepni , & Gul , 2021), show the impacts of the reer on international trade, the results do not seem to be signi cantly plausible, and it is not clear exactly whether real exchange rate shocks affect the volume of exports in emerging markets. Thus, in general terms, the results are signi cantly correlated with some political implications, where policymakers need to pay attention to the volatility of their countries' exchange rates and expand export competition in international markets.…”

Section: Introductionmentioning

confidence: 99%

First-difference panel VAR model applied to diamond-exporting countries

Sandambi

2024

Preprint

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Meanwhile, a first-difference panel VAR model is used, applied to the 56 diamond-exporting countries, mostly from the Kimberley process, from 2004-2022. Through the Impulse Response Functions, an attempt was made to capture the most relevant exogenous shocks in the international markets, particularly the international diamond markets. The Impulse Response Functions show, however, that the exogenous shocks are not relevant due to the price of diamonds per carat. The results also show that there are strong reasons for the economic resilience of the largest diamond producers, particularly Botswana, even though there is evidence of negative shocks at the outset. On the other hand, positive shocks have a positive impact on diamond exports, mainly associated with positive stimuli in production, and are strongly correlated with positive endogenous shocks. Negative exogenous trade policy shocks were also quantified, but the results show no influence on export levels. On the other hand, there were sharp declines which are initially supported by negative exchange rate shocks, given the volatility of the exchange rate markets, but which suggest a significant slowdown in diamond export levels. JEL classification: c01; c21; c23; c33; F10.

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The impact of real exchange rate on international trade: Evidence from panel structural VAR model

Cited by 11 publications

References 26 publications

Is labour force participation independent of unemployment? A panel analysis for high-income countries

Is labour force participation independent of unemployment? A panel analysis for high-income countries

Government public infrastructure investment and economic performance in Spain (1980–2016)

First-difference panel VAR model applied to diamond-exporting countries

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