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Exchange Rate Volatility and Import Trade Flow Evidence From India-U.S. at Industry Level

Mohini Gupta and Sakshi Varshney
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Mohini Gupta: Jaypee Institute of Information Technology, Noida, India
Sakshi Varshney: Jaypee Institute of Information Technology, Noida, India

International Journal of Asian Business and Information Management (IJABIM), 2021, vol. 12, issue 3, 1-21

Abstract: The centre interest of the study is to explore the impact of exchange rate volatility on the India-U.S. trade flow of Import on 6 industries spanned from September 2002 to June 2019. We investigate the relationship at disaggregate level by industry-wise data with monthly frequency. We employ exponential generalized autoregressive conditional heteroscedasticity (E-GARCH) model to gauge volatility and thereafter ARDL bound testing approach to unveil the short and long-run association of real exchange rate volatility and import. The empirical analysis implies the existence of both short-run and long-run effect in 5 importing industries except manufactured (engineering) goods. While real exchange volatility appears to have statistically significant effect in short-run, but also estimated short-run lasts onto long-run effect in only three industries. The results confirm the information of import in time-series analysis. The finding of the study helps to undertake the view of invariability and considering the industry before policy making.

Date: 2021
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