The nonlinearity of exchange rate <scp>pass‐through</scp> on currency invoice: A quantile, <scp>generalized method of moments</scp> and threshold <scp>effect‐test</scp> from <scp>sub‐Sahara</scp> African economies

Abdulqadir, Idris Abdullahi

doi:10.1002/ijfe.2226

Cited by 12 publications

(6 citation statements)

References 97 publications

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“…6. It is worth noting that the correlation estimates indicated the tendency or no-multicollinearity in the variables as none of the estimates approximated to 90% among the regressors (Abdulqadir, 2020; Abdulqadir and Chua, 2020). …”

Section: Notesmentioning

confidence: 97%

Growth threshold-effect on renewable energy consumption in major oil-producing countries in sub-Saharan Africa: a dynamic panel threshold regression estimation

Abdulqadir

2020

IJESM

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Purpose This study aims to explore the relationship between the growth threshold effect on renewable energy consumption (REC) in the major oil-producing countries in sub-Saharan Africa (SSA) over the period 1990–2018. Design/methodology/approach This article used a dynamic panel threshold regression model introduced by Hansen (1996, 1999 and 2000) threshold (TR) models. The procedure is achieved using 5,000 bootstrapping replications and the grid search to obtain the asymptotic distribution and p-values. For the long-run relationship among our variables, the author followed the process in Pesaran et al. (1999) pooled mean group (PMG) for heterogeneous panels. Furthermore, for the robustness of our empirical results due to the sensitivity of the results to outliers, the author used the approach by Cook (1979) distance measure. The author applied quantile (QR) regression to explore the distribution of dependent variables following Bassett and Koenker (1982) and Koenker and Bassett (1978) approaches. Findings The results from the threshold effect test and threshold regression revealed a significant single threshold effect of growth level on REC. Furthermore, the result from the PMG estimation showed the growth of the variable, energy intensity, consumer prices and CO2 emissions play a significant role in REC in major oil-producing countries in SSA. The growth threshold estimation results indicated one significant threshold value of 1.013% at one period lagged of real growth. The outlier’s sensitivity detention greatly influenced our empirical results. Originality/value The article filled the literature gap by applying a combined measure that is robustness to detect outliers in the data, which none of the studies in the literature addresses hitherto. Further, the article extends the quantile regression to growth – REC literature.

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Section: Notesmentioning

confidence: 97%

Growth threshold-effect on renewable energy consumption in major oil-producing countries in sub-Saharan Africa: a dynamic panel threshold regression estimation

Abdulqadir

2020

IJESM

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“…Aron et al (2014) reviewed the theoretical and empirical studies related to ERPT in emerging and developing economies coupled with a methodological contrast and other related issues. Likewise, Abdulqadir (2020) and Abdulqadir and Chua (2020) reported the possibility of nonlinear exchange rate pass through into the currency invoice and employee wages in case of Sub-Saharan African economies.…”

Section: Empirical Reviewmentioning

confidence: 99%

On the dynamics of exchange rate pass-through: asymmetric evidence from India

Bhat

2021

IJOEM

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PurposeThis paper attempts to examine the transmission of exchange rate changes into the domestic prices together with other important determinants of later, in case of a developing country, namely, India.Design/methodology/approachIn an open economy Philips curve framework, a symmetric model developed by Pesaran et al. (2001) together with a complete asymmetric model developed by Shin et al. (2014) has been applied to assess the transmission of exchange rate changes into the domestic prices (inflation) of India. In addition, non-linear cumulative dynamic multipliers are used to portray the route between disequilibrium position of short run and new long-run equilibrium of the system. The multipliers highlight the asymmetric adjustment paths and/or duration of disequilibrium and therefore add valuable information to the long and short-run asymmetry.FindingsIn symmetric framework, exchange rate pass-through is reported to be incomplete and short-run pass through is found to be lower than the long-run pass through. A contractionary monetary policy stance is observed to decrease inflation in the long-run only and in the short-run, a case for price puzzle is observed, although the coefficient is statistically insignificant. Similarly, the impact of output growth is positive in both the short and long-run and both the coefficients are statically significant. Finally, the oil price inflation is also found to escalate the domestic inflationary pressures in both the short and long run, although the pass-through transmission is lower in the short-run than in the long-run. In case of an asymmetric setting, evidence in favour of directional asymmetry is reported whereby long-run impact of currency appreciation is found to be higher than depreciation. Similarly, a contractionary monetary policy action lowers the inflation, the easy one increases it; however, the impact of both the positive and negative changes in interest rate is found to be symmetric. An increase in GR is found to increase the inflation by a relatively appreciable magnitude than is observed when the fall in GR is reported. The possible reason for this asymmetric response of inflation may be explained in terms of asymmetric behaviour of demand conditions during economic upturns and downturns and downward inflexibility of prices. Finally, the transmission of oil price inflation to domestic inflation is also found to be asymmetric. An increase in oil price inflation leads to an increase in domestic inflation by a higher magnitude. whereas a decrease in it lowers inflation only marginally.Practical implicationsFrom a policy perspective, it is certainly important for the central banks to monitor the exchange rate changes so as to design the appropriate policy actions to resist any inflationary pressures resulting from the external sector. More importantly, a gauge on the factors that lead to destabilizing exchange rate movements or large currency price fluctuations is highly warranted. The results also highlight the relevance of proper domestic demand management and lowering dependence on oil imports to avoid the unnecessary inflation pressures in the economy.Originality/valueWhile some studies have explored the possibilities of asymmetric interactions in the case of India, however, these studies have considered only the partial asymmetric model specifications and have not included a well-established theoretical base to include the other potential determinants of inflation as well. In this regard, the authors applied a complete asymmetric model specification developed by Shin et al. (2014) in an open economy Philips curve framework to assess the transmission of exchange rate changes into the domestic prices (inflation) of India. This paper will enrich the existing literature from a viewpoint of a comprehensive analysis of exchange rate pass-through by taking note of potential asymmetries coupled with other important determinants of inflation.

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“…The models to support the investigation strategy of the study are Pesaran et al (1999), Pesaran and Smith (1995), Hansen (1999), Caner and Hansen (2004), Hansen (2000), Hansen and Seo (2002) and Abdulqadir (2022).…”

Section: The Modelmentioning

confidence: 99%

CO₂ emissions policy thresholds for renewable energy consumption on economic growth in OPEC member countries

Abdulqadir¹

2022

IJESM

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Purpose This study aims to examine the nexuses between economic growth, trade openness, renewable energy consumption and environmental degradation among organization of petroleum exporting countries (OPEC) members over the period 1990–2019. Design/methodology/approach The empirical strategy for the study includes dynamic heterogeneous panel pooled mean group (PMG), mean group (MG) estimators and dynamic panel threshold regression (TR) analysis. For clarity, PMG and MG are used to explore the long-run relationship between the variables, whereas TR is used to uncover the actionable and complementary policy thresholds in the nexuses between green growth and environmental degradation. Findings The empirical evidence is based on the significant estimates from PMG and TR. First, using PMG, the study finding revealed a long-run relationship between economic growth and environmental degradation via the PMG estimator. Second, using TR, the study revealed an actionable threshold for carbon dioxide emissions (CO2) metrics tons per capita (mtpc) not beyond a critical mass of 4.88mtpc, and the complementary policy threshold of 85% of the share of trade to gross domestic product, respectively. Research limitations/implications The policy relevance of the thresholds is apparent to policymakers in the cartel and for policy formulation. The policy implication of this study is straightforward. Originality/value The novelty of this study stalk in the extant literature on providing policymakers with an actionable threshold for CO2 emissions with the corresponding complementary threshold for trade policies in the nexuses between green growth and the environment.

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The nonlinearity of exchange rate pass‐through on currency invoice: A quantile, generalized method of moments and threshold effect‐test from sub‐Sahara African economies

Cited by 12 publications

References 97 publications

Growth threshold-effect on renewable energy consumption in major oil-producing countries in sub-Saharan Africa: a dynamic panel threshold regression estimation

Growth threshold-effect on renewable energy consumption in major oil-producing countries in sub-Saharan Africa: a dynamic panel threshold regression estimation

On the dynamics of exchange rate pass-through: asymmetric evidence from India

CO₂ emissions policy thresholds for renewable energy consumption on economic growth in OPEC member countries

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The nonlinearity of exchange rate pass‐through on currency invoice: A quantile, generalized method of moments and threshold effect‐test from sub‐Sahara African economies

Cited by 12 publications

References 97 publications

Growth threshold-effect on renewable energy consumption in major oil-producing countries in sub-Saharan Africa: a dynamic panel threshold regression estimation

Growth threshold-effect on renewable energy consumption in major oil-producing countries in sub-Saharan Africa: a dynamic panel threshold regression estimation

On the dynamics of exchange rate pass-through: asymmetric evidence from India

CO2 emissions policy thresholds for renewable energy consumption on economic growth in OPEC member countries

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Product

Resources

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CO₂ emissions policy thresholds for renewable energy consumption on economic growth in OPEC member countries