The Impact of the Exchange Rate Fluctuations on Pakistan's Export Sectors: An Empirical Analysis Based on the Sectorial Data

Abid Ali Shah, Iftikhar Mehboob and Syed Hassan Raza

Asian Economic and Financial Review, 2012, vol. 2, issue 6, 658-677

Abstract: This study examines the relationship between the exchange rates and the export sectors of Pakistan. The objective is to study the empirical relationship between the exchange rates and the export sectors. The analysis was conducted on the sectorally segregated monthly data of the exports from July 2003 to April 2010 with nominal exchange rates. The empirical estimation has been resorted to detect both the effects of the nominal exchange rates and the respective volatility of the exchange rates on the export sectors. For the estimation of the long run relationship cointegration and an autoregressive time series regression models are used while generalized autoregressive conditional heteroskedastic methodology has been used to estimate the effects of the exchange rates volatility on export sectors. The results of cointegration and ordinary least square revealed a significant longrun relationship between exchange rates and export sectors, which confirmed that the depreciating currency in case of Pakistan improves the competitiveness of the export sectors, while there is an evidence of volatility effects on the export sectors

Keywords: Exchange Rates Volatility; Auto Regressive Time Series Regression; GARCH. (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations:

Downloads: (external link)
https://archive.aessweb.com/index.php/5002/article/view/923/1404 (application/pdf)

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:asi:aeafrj:v:2:y:2012:i:6:p:658-677:id:923

Access Statistics for this article

More articles in Asian Economic and Financial Review from Asian Economic and Social Society
Bibliographic data for series maintained by Robert Allen ().