New Evidence on Exchange-Rate Volatility and Export Flows in Thailand: Nonlinearity and Asymmetric ARDL Investigation

被引：5

作者：

Arize, Augustine C. ^{[1
]}

Ogunc, Asli ^{[1
]}

Kalu, Ebere Ume ^{[2
]}

Malindretos, John ^{[3
]}

机构：

[1] Texas A&M Univ Commerce, Coll Business, Dept Econ & Finance, Commerce, TX USA

[2] Univ Nigeria, Ctr Distance & E Learning, Nsukka, Nigeria

[3] William Paterson Univ, Dept Finance, Wayne, NJ USA

来源：

INTERNATIONAL TRADE JOURNAL | 2021年 / 35卷 / 02期

关键词：

Foreign activity; relative price; exchange-rate volatility; export flows; asymmetry and nonlinear asymmetric cointegration; TRADE-FLOWS; RATE UNCERTAINTY; COMMODITY TRADE; UNITED-STATES; IMPACT; GROWTH; PRICES; VOLUME; TESTS; US;

D O I：

10.1080/08853908.2020.1799886

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This is the first study of Thailand's export demand relations utilizing the new nonlinear autoregressive distributed lag (NARDL) technique by Shin, Yu, and Greenwood-Nimmo. The study reports long-run elasticities and exposes the short-run adjustment of real exports to changes in foreign economic activity, relative export price, and exchange-rate risk using long-run and short-run asymmetry as well as nonlinear asymmetric cointegration. Results from nonlinear and asymmetry cointegration analysis and short-run asymmetric error-correction modeling indicate cointegration and negative effects of exchange-rate risks on export volume in both the long run and short run.

引用

页码：194 / 218

页数：25

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