Exchange rate volatility and Turkish-German commodity trade: an asymmetry analysis
Küçük Resim Yok
Tarih
2021
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Emerald Group Publishing Ltd
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
Purpose The purpose of this paper is to show that in some industries the linear model may not reveal any significance link between exchange rate volatility and trade flows but once nonlinear adjustment of exchange rate volatility is introduced, the nonlinear model reveals significant link. Design/methodology/approach This paper uses the linear ARDL approach of Pesaran et al. (2001) and the nonlinear ARDL approach of Shin et al. (2014) to assess asymmetric effects of exchange rate volatility on trade flows between Germany and Turkey. Findings This paper consider the experiences of 75 2-digit industries that trade between Turkey and Germany. When the study assumed the effects of volatility to be symmetric, the study found short-run effects in 31 (30) Turkish (German) exporting industries that lasted into the long run in only 10 (13) Turkish (German) exporting industries. However, when the study assumed asymmetric effects and relied upon a nonlinear model, the study found short-run asymmetric effects of volatility on exports of 55 (56) Turkish (German) industries. Short-run asymmetric effects lasted into long-run asymmetric effects in 10 (25) Turkish (German) exporting industries. All in all, we found that almost 25% of trade is hurt by exchange rate volatility. Originality/value This is the first paper that assesses the possibility of asymmetric effects of exchange rate volatility on German-Turkish commodity trade.
Açıklama
Anahtar Kelimeler
Germany, Turkey, Asymmetry analysis, 75 industries, Lira-euro volatility, F14, F30, F31
Kaynak
Studies in Economics and Finance
WoS Q Değeri
N/A
Scopus Q Değeri
Q2
Cilt
38
Sayı
4
