Menu Expand
  1. Journals
  2. Economics, Finance, Business & Management
  3. Applied Economics Quarterly
  4. Vol. 67, Issue 1
  5. pp. 1–25

JOURNAL ARTICLE

Cite JOURNAL ARTICLE

Style
Bahmani-Oskooee, M., Baek, J. Exchange Rate Volatility and Domestic Consumption in the G7: An Asymmetric Analysis. Applied Economics Quarterly, 67(1), 1-25. https://doi.org/10.3790/aeq.67.1.1
Bahmani-Oskooee, Mohsen and Baek, Jungho "Exchange Rate Volatility and Domestic Consumption in the G7: An Asymmetric Analysis" Applied Economics Quarterly 67.1, , 1-25. https://doi.org/10.3790/aeq.67.1.1
Bahmani-Oskooee, Mohsen/Baek, Jungho: Exchange Rate Volatility and Domestic Consumption in the G7: An Asymmetric Analysis, in: Applied Economics Quarterly, vol. 67, iss. 1, 1-25, [online] https://doi.org/10.3790/aeq.67.1.1
Format
Download

Exchange Rate Volatility and Domestic Consumption in the G7: An Asymmetric Analysis

Bahmani-Oskooee, Mohsen | Baek, Jungho

Applied Economics Quarterly, Vol. 67 (2021), Iss. 1 : pp. 1–25

Preview Login to order (PDF)

Additional Information

Article Details

Publisher Name
Duncker & Humblot
DOI
https://doi.org/10.3790/aeq.67.1.1
Language
German
Pages
25
Keywords

Pricing

Individual
€ 24.00 (incl. local VAT if applicable)

Author Details

Mohsen Bahmani-Oskooee, Corresponding author: The Center for Research on International Economics and Department of Economics, University of Wisconsin-Milwaukee, Milwaukee, USA.

Jungho Baek, Department of Economics, School of Management, University of Alaska Fairbanks.

References

  1. Aftab, M./Syed, K. B. S./Katper, N. A. (2017): “Exchange-rate volatility and Malaysian-Thai bilateral industry trade flows,” Journal of Economic Studies 44, 99–114.  Google Scholar
  2. Al-Shayeb, A./Hatemi-J., A. (2016): “Trade openness and economic development in the UAE: an asymmetric approach,” Journal of Economic Studies 43, 587–597.  Google Scholar
  3. Alexander, S. S. (1952): “Effects of Devaluation on a Trade Balance.” IMF-Staff Papers 3, 263–277.  Google Scholar
  4. Apergis, N./Miller, S. (2006): “Consumption Asymmetry and the Stock Market: Empirical Evidence,” Economics Letters 93, 337–342.  Google Scholar
  5. Arize, A. C./Malindretos, J./Igwe, E. U. (2017): “Do Exchange Rate Changes Improve the Trade Balance: An Asymmetric Nonlinear Cointegration Approach,” International Review of Economics and Finance 49, 313–326.  Google Scholar
  6. Baghestani, H./Kherfi, S. (2015): “An error-correction modeling of US consumer spending: are there asymmetries?,” Journal of Economic Studies 42, 1078–1094.  Google Scholar
  7. Bahmani-Oskooee, M. (2020): “The J-Curve and the Effects of Exchange Rate Changes on the Trade Balance,” in: International Money and Finance, Volume 2 of the Encyclopedia of International Economics and Global Trade, ed. Francisco L. Rivera-Batiz, World Scientific Publishing Co., Singapore, Chapter 11, 2020, 297–319.  Google Scholar
  8. Bahmani-Oskooee, M./Aftab, M. (2017): “On the Asymmetric Effects of Exchange Rate Volatility on Trade Flows: New Evidence from US-Malaysia Trade at Industry Level,” Economic Modelling 63, 86–103.  Google Scholar
  9. Bahmani-Oskooee, M./Hajilee, M. (2012): “On the Relation between Currency Depreciation and Domestic Consumption,” Economia Internazionale/International Economics 65, 503–512.  Google Scholar
  10. Bahmani-Oskooee, M./Kutan, A./Xi, D. (2015): “Exchange Rate Volatility and Domestic Consumption: Evidence from Emerging Economies,” International Economics 144, 53–65.  Google Scholar
  11. Bahmani-Oskooee, M./Xi, D. (2011): “Exchange Rate Volatility and Domestic Consumption: A Multi-Country Analysis,” Journal of Post Keynesian Economics 34, 319–330.  Google Scholar
  12. Bahmani-Oskooee, M./Xi, D. (2012): “Exchange Rate Volatility and Domestic Consumption: Evidence from Japan,” Economic Systems 36, 326–335.  Google Scholar
  13. Banerjee, A./Dolado, J. J./Mestre, R. (1998): “Error-Correction Mechanism Tests for Cointegration in a Single-Equation Framework,” Journal of Time Series Analysis 19, 267–283.  Google Scholar
  14. Blinder, A. S./Deaton, A. S. (1985): “The Time Series Consumption Function Revisited.” Brookings Papers on Economic Activities 2, 465–511.  Google Scholar
  15. Campbell, J. Y./Mankiw, N. G. (1989): “Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence.” NBER Chapters 4, 185–246.  Google Scholar
  16. Chishti, M. Z./Azeem, H. K./Mahmood, F./Sheikh, A. (2019): “Exchange Rate Volatility and Domestic Consumption: A Comparative Study of Developed, Developing and Emerging Economies,” International Journal of Accounting and Financial Reporting 9, 164–179.  Google Scholar
  17. Durmaz, N. (2015), “Industry Level J-Curve in Turkey,” Journal of Economic Studies, 42, 689–706.  Google Scholar
  18. Gogas, P./Pragidis, I. (2015): “Are there asymmetries in fiscal policy shocks?,” Journal of Economic Studies 42, 303–321.  Google Scholar
  19. Gregoriou, A. (2017): “Modelling non-linear behavior of block price deviations when trades are executed outside the bid-ask quotes,” Journal of Economic Studies 44, 206–213.  Google Scholar
  20. Halicioglu, F. (2007): “The J-Curve Dynamics of Turkish Bilateral Trade: A Cointegration Approach,” Journal of Economic Studies 34, 103–119.  Google Scholar
  21. Hall, S. G./Psaradakis, Z./Sola, M. (1997): “Cointegration and Changes in Regime: The Japanese Consumption Function,” Journal of Applied Econometrics 12, 151–168.  Google Scholar
  22. Hajilee, M./Al-Nasser, O. M. (2014): “Exchange Rate Volatility and Stock Market Development in Emerging Economies,” Journal of Post Keynesian Economics 37, 163–180.  Google Scholar
  23. Hajilee, M./Niroomand, F. (2019): “On the link between financial market inclusion and trade openness: An Asymmetric Analysis,” Economic Analysis and Policy 62, 373–381.  Google Scholar
  24. Istiak, K./Alam, M. R. (2019), “Oil prices, policy uncertainty and asymmetries in inflation expectations,” Journal of Economic Studies 46, 324–334.  Google Scholar
  25. Jin, F. (1995): “Cointegration of Consumption and Disposable Income: Evidence from Twelve OECD Countries,” Southern Economic Journal 62, 77–88.  Google Scholar
  26. Kugler, B. (1985): “Autoregressive Modeling of Consumption, Income. Inflation and Interest Rate Data: A Multi-Country Study.” Empirical Economics 10, 37–50.  Google Scholar
  27. Lima, L./Vasconcelos, C. F./ Simão, J./de Mendonça, H. (2016): “The quantitative easing effect on the stock market of the USA, the UK, and Japan: An ARDL approach for the crisis period,” Journal of Economic Studies 43, 1006–1021.  Google Scholar
  28. Njindan, I. B./Ho, S. Y. (2017), “Real Exchange Rate Volatility and Domestic Consumption in Ghana,” MPRA Paper No. 78852, 1–12.  Google Scholar
  29. Nusair, S. A. (2012): “Nonlinear Adjustment of Asian Real Exchange Rates,” Economic Change and Restructuring 45, 221–246.  Google Scholar
  30. Nusair, S. A. (2016): “The J-Curve phenomenon in European transition economies: A nonlinear ARDL approach,” International Review of Applied Economics 31, 1–27.  Google Scholar
  31. Obstfeld, M. (1982): “Aggregate Spending and the Terms of Trade: Is There a Laursen-Metzler Effect?,” The Quarterly Journal of Economics 97, 251–270.  Google Scholar
  32. Obstfeld, M./Rogoff, K. (1998): “Risk and Exchange Rates,” NBER Working Paper No. 6694.  Google Scholar
  33. Olaniyi, C. (2019): “Asymmetric information phenomenon in the link between CEO pay and firm performance: An innovative approach,” Journal of Economic Studies 46, 306–323.  Google Scholar
  34. Oseni, I. O. (2016): “Exchange Rate Volatility and Private Consumption in Sub-Saharan African Countries: A System-GMM Dynamic Panel Analysis,” Future Business Journal 2, 103–115.  Google Scholar
  35. Pesaran, M. H./Shin, Y./Smith, R. J. (2001): “Bounds Testing Approaches to the Analysis of Level Relationships,” Journal of Applied Econometrics 16, 289–326.  Google Scholar
  36. Shapiro, M. D. (1984): “The Permanent Income Hypothesis and The Real Interest Rate: Some Evidence from Panel Data.” Economics Letters 14, 93–100.  Google Scholar
  37. Shin, Y./Yu, B./Greenwood-Nimmo, M. (2014): “Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework,” Festschrift in Honor of Peter Schmidt: Econometric Methods and Applications, eds. R. Sickels and W. Horrace: New York, NY. Springer, 281–314.  Google Scholar
  38. Villagomez, A. (1994): “Aggregate Consumption, Interest Rates and Inflation in LDCs: An Error Correction Model,” Journal of Development Studies 31, 157–178.  Google Scholar

Abstract

Previous studies that assessed the effects of exchange rate volatility on domestic consumption assumed that the effects are symmetric. In this paper, we argue that due to downward price rigidity, exchange rate volatility could have asymmetric effects on consumption. As in previous research assuming symmetric effects, we only found short-run effects in France and the United States. However, when we assumed the effects to be asymmetric and introduced nonlinear adjustment of the volatility measure, we found short-run asymmetric effects in France, Italy, Japan, the United Kingdom, and the United States. No substantial long-run effects were found.

Table of Contents

Section Title Page Action Price
Mohsen Bahmani-Oskooee / Jungho Baek: Exchange Rate Volatility and Domestic Consumption in the G7: An Asymmetric Analysis 1
Abstract 1
1. Introduction 1
2. The Models and the Methods 3
3. The Results 5
4. Summary and Conclusion 2
References 2
Appendix 2
Data Sources and Definition 2

Contact

Duncker & Humblot GmbH Carl-Heinrich-Becker-Weg 9 12165 Berlin, Deutschland T: +49 30 790006-0

Quick Navigation

2024 Duncker & Humblot GmbH

Powered by CloudPublish

We use cookies to ensure that you get the best experience on our website. Learn more about how we use cookies.