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The relationship between real exchange rate and services export diversification is at the heart of this study.
Abstract
Purpose
The relationship between real exchange rate and services export diversification is at the heart of this study.
Design/methodology/approach
The analysis is performed using a sample of 113 countries over the period 1985–2014, and the 2-step system Generalized Method of Moments (GMM) approach. The analysis uses both the Theil index and Herfindahl–Hirschman index of services export concentration.
Findings
The analysis shows that over the full sample, the real effective exchange rate appreciation induces a greater services export diversification. This outcome applies to high-income countries and developing countries. However, the positive effect of the appreciation of the real exchange rate on services export concentration is lower in least developed countries than in other countries. Finally, the effect of the appreciation of the real exchange rate on services export concentration in tax haven countries depends on the indicator of services export concentration, as this is positive for the Theil index and negative for the Herfindahl–Hirschman index of services export concentration.
Research limitations/implications
These findings highlight the strong influence of real exchange policies on countries' path of services export diversification.
Originality/value
To the best of the authors' knowledge, this topic is being addressed in the empirical literature for the first time.
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Davoud Mahmoudinia and Seyed Mohammad Mostolizadeh
The purpose of this study was to investigate the dynamic interactive link between housing prices, stock market price and effective exchange rate in the Iranian economy for a…
Abstract
Purpose
The purpose of this study was to investigate the dynamic interactive link between housing prices, stock market price and effective exchange rate in the Iranian economy for a monthly period from April, 2004, to March, 2019. In addition, for a more accurate analysis, three control and determinates variables including real interest rate, real GDP and FDI have been added to the base model.
Design/methodology/approach
For this purpose, we will consider this issue by developing the study of Lean & Smyth (2014), Ali & Zaman (2017) and Coskun et al (2017) in the framework of ADRL and NARDL models. Also, this study analyzed the asymmetric/non-linear impact of stock market indexes and effective exchange rate on Iran’s housing inflation. Asymmetries imply to both positive and negative changes in the variables.
Findings
The results obtained from the ADRL and NARDL models suggest that the existence of cointegration relationship between housing market price and its determinants. From linear model, we found that the exchange rate and stock market price have a positive effect on the real estate inflation in the short run; this relationship is also confirmed in the long run. Other empirical results indicate that the GDP stimulates housing price in both long and short run cases, while FDI and real interest rate have an opposite effect. In addition, the results provided by the asymmetric model lead to the rejection of the null hypothesis of no co-integration between the variables. In addition, we found that the effect of stock price in the short and long term are asymmetric and there also is an asymmetric long-run effect of real exchange rate on the real estate price.
Originality/value
Finally, to analyze the sensitivity, we entered two explanatory variables of inflation and money supply to the baseline equation. The finding represented that in both linear and nonlinear framework, a positive correlation between these two variables with housing prices have been proved.
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This study aims to examine the impact of some real variables such as real effective exchange rates, real mortgage rates, real money supply, real construction cost index and…
Abstract
Purpose
This study aims to examine the impact of some real variables such as real effective exchange rates, real mortgage rates, real money supply, real construction cost index and housing sales on the real housing prices.
Design/methodology/approach
This study uses a nonlinear autoregressive distributed lag (NARDL) model in the monthly period of 2010:1–2021:10.
Findings
The real effective exchange rate has a positive and symmetric effect. The decreasing effect of negative changes in real money supply on real housing prices is higher than the increasing effect of positive changes. Only positive changes in the real construction cost index have an increasing and statistically significant effect on real house prices, while only negative changes in housing sales have a small negative sign and a small increasing effect on housing prices. The fact that the positive and negative changes in real mortgage rates are negative and positive, respectively, indicates that both have a reducing effect on real housing prices.
Originality/value
This study suggests the first NARDL model that investigates the asymmetric effects on real housing prices instead of nominal housing prices for Turkey. In addition, the study is the first, to the best of the authors’ knowledge, to examine the effects of the five real variables on real housing prices.
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Sami Zaki Alabdulwahab and Ahmed Sabry Abou-Zaid
This paper aims to empirically investigate the sources of real exchange rate fluctuations in Egypt using structural vector autoregression (SVAR). The data covers the period…
Abstract
Purpose
This 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/approach
This 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.
Findings
The 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/value
In 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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The purpose of this paper is to assess the long-run and short-run drivers of real house prices in Nigeria from 1991Q1 to 2020Q4.
Abstract
Purpose
The purpose of this paper is to assess the long-run and short-run drivers of real house prices in Nigeria from 1991Q1 to 2020Q4.
Design/methodology/approach
Vector autoregression and cointegration tests were used to assess the key drivers of Nigeria’s real house prices in the long run and short run.
Findings
The empirical findings revealed that household disposable income is the most important determinant of house prices in Nigeria. House prices increased by 1.6% and 60.8% in response to a 1% increase in disposable income in the long run and short run, respectively, while real mortgage credits pushed up house prices by 5% and have no long-run effects, suggesting that most Nigerians depend on their money income rather than credits in securing a home. In addition, prices of oil sector products and real interest rates had negative and significant relationship with house prices, while positive correlations were found for real effective exchange rate and real housing investments regardless of the time horizon. The impact of construction costs and cement prices was also documented.
Originality/value
This is likely a pioneering study of its kind to focus on the determinants of real house prices in Nigeria. It is probably the first study, the best of the author’s knowledge, to empirically examine the impact of the oil sector on house prices in the country.
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This article examines if the national productions of West African Economic and Monetary Union (WAEMU) countries can be substituted for the imports by testing MLRC in these…
Abstract
Purpose
This article examines if the national productions of West African Economic and Monetary Union (WAEMU) countries can be substituted for the imports by testing MLRC in these countries.
Design/methodology/approach
The Mundell–Fleming model (MMF) is the analytical framework adopted in this paper with import demand and export supply functions estimation borrowed to Thirlwall (1979). This study covers four countries in West Africa from 1990 to 2021. The estimation procedure used is an Autoregressive Distributed Lag (ARDL) approach to cointegration.
Findings
The findings reveal that there is a strong marginal propensity to import in the WAEMU countries. The hypothesis of a non-significant price effect on imports in the short-term is confirmed for several countries while only Togo satisfies the MLRC in the short and long run.
Originality/value
This study presents several originalities: (1) it evaluates MLRC with a clear analytical framework; (2) unlike other studies, this article quantifies the MLRC from a theoretical, econometric and empirical point of view; (3) this article presents the results country by country in order to reveal heterogeneity between countries; (4) this study adds to the Marshall–Lerner condition for the derivation of Robinson by considering a situation where initially the trade balance is not in equilibrium.
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Naser Yenus Nuru and Hayelom Yrgaw Gereziher
The main purpose of this study is to investigate the symmetric and asymmetric effects of exchange rate uncertainty on employment in South Africa’s manufacturing sector over the…
Abstract
Purpose
The main purpose of this study is to investigate the symmetric and asymmetric effects of exchange rate uncertainty on employment in South Africa’s manufacturing sector over the period 1985Q1–2019Q2.
Design/methodology/approach
Jorda’s (2005) local projection method is employed and following Koop et al. (1996); generalized impulse response functions are generated to see the effect of exchange rate uncertainty on employment in South Africa’s manufacturing sector.
Findings
The results show that exchange rate uncertainty affects negatively and significantly employment in South Africa’s manufacturing sector. Employment also responds negatively and significantly to export shock. Inflation and output shocks, however, positively and significantly affect employment on impact. Asymmetric responses of employment to exchange rate uncertainty are also found in this study. While high exchange rate uncertainty leads to a reduction in employment, low exchange rate uncertainty brings an increase in employment in South Africa’s manufacturing sector.
Originality/value
This research adds to the scarce empirical literature on the effect of exchange rate uncertainty on employment in South Africa’s manufacturing sector by incorporating mainly non-linearities into the model.
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Siti Hafsah Zulkarnain and Abdol Samad Nawi
The purpose of this study is to analyse numerous aspects affecting residential property price in Malaysia against macroeconomics issues such as gross domestic product (GDP)…
Abstract
Purpose
The purpose of this study is to analyse numerous aspects affecting residential property price in Malaysia against macroeconomics issues such as gross domestic product (GDP), exchange rate, unemployment and wage.
Design/methodology/approach
The hedonic pricing model has been adopted as econometric model for this research to investigate the relationship between residential property price against macroeconomics indicator. The data for residential property price and macroeconomic variables were collected from 1991 to 2019. Multiple linear regression had been adopted to find the relationship between the dependent and independent variables.
Findings
The result shows that the GDP has a significant positive impact on residential property price, while exchange rate has no significant impact although it was positive. In addition, the unemployment rate has a significant impact on the residential property price and has a negative relationship. Similar to the wage that shows the negative relationship with residential property prices. Moreover, during the pandemic COVID-19 in Malaysia, this research shows a more transparent view of the relationship between residential property price and the macroeconomic issues of GDP, exchange rate, unemployment and wage.
Originality/value
The findings of this research found that macroeconomics issue cannot be eliminated due to Malaysia is a developing country, and there will always be an issue that will happen, but the issues can be reduced to maximise the advantages, e.g. during COVID-19, the solution to fight against COVID-19 were crucial and weaken the macroeconomics issues.
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This chapter examines the influence of external public borrowing resources on economic progress in Tunisia. The study focuses on two stages: First, the influence is studied in a…
Abstract
This chapter examines the influence of external public borrowing resources on economic progress in Tunisia. The study focuses on two stages: First, the influence is studied in a direct sense and then in an indirect sense, i.e., through a transmission channel of this influence. By applying the autoregressive distributed technique with staggered lags (ARDL), over a period ranging from 1986 to 2019, the results showed that the influence of external borrowing resources on growth seems to be unfavorable in the short term but positive in the long term, hence the importance of the empirical technique chosen. Second, three interaction variables were tested, namely total government expenditure, government investment expenditure, and the real effective exchange rate. The results obtained call for better attention to the channels identified to maximize the positive influence of external public debt on the country's economic progress.
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Çağlayan Aslan and Senay Acikgoz
The purpose of this paper to examine how global economic policy uncertainty (GEPU) affects export flows of emerging market economies.
Abstract
Purpose
The purpose of this paper to examine how global economic policy uncertainty (GEPU) affects export flows of emerging market economies.
Design/methodology/approach
This study examines the effect of GEPU on 28 emerging markets' export performance. GEPU variable used in the authors’ empirical analysis is measured by partial least square (PLS) factor loading model with the help of 24 countries' economic policy uncertainty index. A panel vector autoregression (VAR) model is employed for the estimations and monthly data over the 2006:01–2019:12 period are used.
Findings
The empirical findings show that while the real external income is the main factor that affects export flows, the real exchange rate is the least effective variable with regard to the variance decomposition, which is not expected by the related economic theory. Panel VAR estimations results confirm the previous studies and find that GEPU affects export flows negatively and significantly.
Originality/value
To the best of the authors’ knowledge, this is the sole study in terms of focusing on the impacts of GEPU on the export volume of emerging markets. The contribution of this paper is twofold. Firstly, a large set of countries with monthly frequented data that assist to capture uncertainties better is used. Secondly, the global economic policy index is obtained by employing the PLS method, which provides more robust results that are calculated with respect to the dependent variable.
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