Exchange Rate Effect on the Household Consumption in BRICST Countries: Evidence from MATNARDL Model

Omer Faruk Derindag (), Bisharat Hussain Chang, Raheel Gohar () and Asma Salman
Additional contact information
Omer Faruk Derindag: Department of International Trade and Business, Inonu University, Malatya, Turkey
Bisharat Hussain Chang: Department of Management Sciences, Shaheed Zulifqar Ali Bhutto Institute of Science and Technology, Larkana, Pakistan
Raheel Gohar: College of Business Administration, Al Yamamah University, Riyadh, Saudi Arabia

Journal of International Commerce, Economics and Policy (JICEP), 2022, vol. 13, issue 02, 1-20

Abstract: Various empirical methodologies have examined the relationship between exchange rate and household consumption expenditures. However, traditional methods fail to analyze the exchange rate effect on consumption across minor and major currency depreciation and appreciations. We attempt to extend the existing literature by examining the impact of minor and major currency appreciation and depreciation on household consumption expenditures in BRICST countries, including Brazil, Russia, India, China, South Africa and Turkey. We use an extended version of the nonlinear ARDL (NARDL) and multiple threshold nonlinear ARDL model called the multiple asymmetric ARDL (MATNARDL) model. Our estimates, based on the traditional NARDL model, indicate that the asymmetric effect is found in the context of India and China only. However, the MATNARDL estimates suggest that, in the long run, the asymmetric effect is found for all the sample countries except India whereas, in the short run, the asymmetric effect is found for all the sample countries except Turkey. Finally, this study recommends the policy implications based on the results obtained in this study.

Keywords: Exchange rate; BRICST countries; MATNARDL model; household consumption; asymmetry (search for similar items in EconPapers)
JEL-codes: D12 D16 I30 (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S1793993322500107
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:jicepx:v:13:y:2022:i:02:n:s1793993322500107

Ordering information: This journal article can be ordered from

DOI: 10.1142/S1793993322500107

Access Statistics for this article

Journal of International Commerce, Economics and Policy (JICEP) is currently edited by Ramkishen S. Rajan

More articles in Journal of International Commerce, Economics and Policy (JICEP) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().