Time-Varying Exchange Rate Exposure on Non-Financial Firms

Lily, Jaratin; Kogid, Mori; Nipo, Debbra Toria; Idris, Sidah; Bujang, Imbarine

doi:10.5539/ijbm.v17n8p6

Cited by 3 publications

(5 citation statements)

References 32 publications

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“…It also revealed that international oil prices (OP) on inflation have asymmetric behavior. In the same way, Lily et al (2021) investigated the asymmetric inflationary impact of the exchange rate (EXR) and OP in ASEAN-5 countries. The non-linear ARDL econometric technique was applied to monthly data from 1979 to 2019.…”

Section: Literature Reviewmentioning

confidence: 99%

“…This study is the motivation of Abid et al (2022) in which the researcher determined domestic inflation in Pakistan using international crude oil prices. Aside from this study, many studies evaluated energy prices as the global oil prices per barrel on inflation (Lily et al 2021;Qasim et al 2021;Olson, 2021). The study's uniqueness is that it uses the domestic Pump Diesel Prices (PDP) and Pump Gasoline Prices (PGP) to measure energy prices using NARDL to determine domestic inflation.…”

Section: Introductionmentioning

confidence: 99%

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Analyzing the Pump Diesel and Gasoline Prices on Inflation in Pakistan: A New Evidence from Non-Linear ARDL

Rafique

Hussain²,

Naushahi

et al. 2023

JSSR

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Maintaining inflation is one of the prime goals of the macroeconomic policy executed through the country's central bank. The persistence of inflation is considered a serious problem in developing countries because it erodes the standard of living of the majority of people. Nowadays, researchers are showing interest in energy price shocks as one of the drivers of inflation. So, the present study examines the role of pump diesel and pump gasoline prices on inflation controlling real exchange deprecation and urbanization using NARDL from 1990 to 2020. The result shows that the pump domestic diesel prices and pump domestic gasoline prices have a positively asymmetric impact on inflation in Pakistan. In contrast, real exchange deprecation and urbanization positively affect inflation. This study recommended that the government decrease the dependence on imported energy and focus on cheaper and domestic energy resources to fulfil the growing energy demand.

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Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Analyzing the Pump Diesel and Gasoline Prices on Inflation in Pakistan: A New Evidence from Non-Linear ARDL

Rafique

Hussain²,

Naushahi

et al. 2023

JSSR

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“…The results of this study support the empirical findings by Kayamo (2021) that inflation has an asymmetric effect on inflation, with the depreciating effect of the exchange rate being more inflationary than appreciation. As an empirical finding in Thailand, the study by Lily et al (2021) also confirms that inflation occurs when the local currency appreciates. The reduction in import costs did not affect consumer prices.…”

Section: Discussionmentioning

confidence: 55%

“…Exchange rate stability that guarantees price stability is prioritized over exchange rate restrictions to control inflation. Lily et al (2021) stated that changes in exchange rates have an inflationary impact in the long run and can be asymmetric. The depreciation of the domestic currency drives inflation by increasing the cost of importing goods and services.…”

Section: Literature Review and Hypotheses Developmentmentioning

confidence: 99%

Asymmetric Effects of World Energy Prices on Inflation in Indonesia

Arintoko,

Badriah,

Rahajuni

et al. 2023

IJEEP

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This study analyzes the asymmetric effect of changes in world energy prices, which include crude oil, natural gas, and coal prices, and the exchange rate on consumer price index (CPI) inflation in Indonesia. The models used in the analysis are quantile regression and dynamic ordinary least squares. The period studied is monthly in the period 2001M01 - 2022M12. The study results show that world crude oil prices have asymmetrically positive effects on CPI inflation when world oil prices increase and decrease. The fall in the price of crude oil has a more significant effect than the increase. The asymmetric impact of world crude oil prices on CPI inflation was also found between lower and middle quantiles. However, the short-run impact of rising crude oil prices is only found in the 7th quartile. So, the long-run effect is more dominant than the short-run effect. The role of the fuel subsidy policy, which the government manages, is beneficial in reducing inflationary fluctuations originating from fluctuations in world crude oil prices. Efforts to develop oil refineries in Indonesia that need to be done to reduce imports of crude oil and fuel are expected to be able to reduce the impact of world oil price fluctuations on domestic inflation in the future.

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“…Adapting economic policies to oil shocks has mitigated the inflationary effects of oil shocks over time (Lily et al, 2020;Chen and Zhu, 2021). It is claimed by Anh et al (2021) that the appreciation of the domestic currency, a more active monetary policy in response to inflation, and a higher degree of trade openness are found to explain the decline in oil price pass-through.…”

Section: Related Literaturementioning

confidence: 99%

Modelling Inflation Dynamics and Global Oil Price Shocks in OAPEC Countries: TVP-VAR

Elsherif

2024

IJEEP

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This paper aims to examine the dynamic pass-through effect of oil price shocks on inflation in OAPEC countries using quarterly data ranging from 1990:Q1 to 2022:Q4. The incorporation of the TVP-VAR model along with the Markov Chain Monte Carlo method with stochastic volatility estimation offers a robust framework for capturing the time-varying nature of the relationship. Additionally, the analysis of the Impulse Response Function provides valuable insights into the short-term and long-term dynamics following oil price shocks. The results demonstrate a significant positive pass-through effect of oil prices on inflation in the sample member states, with heterogeneous magnitude and persistence. These variations are attributed to diversity in oil dependency, exchange rate regimes, monetary policy frameworks and the degree of openness to global markets. The study suggests the need for effective inflation management strategies and appropriate policy responses to oil price fluctuations. Furthermore, policymakers may consider adjusting exchange rates, interest rates, or trade policies to manage inflationary pressures effectively.

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Time-Varying Exchange Rate Exposure on Non-Financial Firms

Cited by 3 publications

References 32 publications

Analyzing the Pump Diesel and Gasoline Prices on Inflation in Pakistan: A New Evidence from Non-Linear ARDL

Analyzing the Pump Diesel and Gasoline Prices on Inflation in Pakistan: A New Evidence from Non-Linear ARDL

Asymmetric Effects of World Energy Prices on Inflation in Indonesia

Modelling Inflation Dynamics and Global Oil Price Shocks in OAPEC Countries: TVP-VAR

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