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Bahmani-Oskooee, MBaek, J (2021). 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, JunghoBahmani-Oskooee, Mohsen Baek, Jungho (2021). "Exchange Rate Volatility and Domestic Consumption in the G7: An Asymmetric Analysis" Applied Economics Quarterly, vol. 67no. 1, 2021 pp. 1-25. https://doi.org/10.3790/aeq.67.1.1
Bahmani-Oskooee, MBaek, J (2021). Exchange Rate Volatility and Domestic Consumption in the G7: An Asymmetric Analysis. Applied Economics Quarterly, Vol. 67 (Issue 1), pp 1-25. https://doi.org/10.3790/aeq.67.1.1

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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

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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.

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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