Asymmetric Effects of Exchange Rates on Energy Demand in E7 Countries: New Evidence from Multiple Thresholds Nonlinear ARDL Model

Xiaohui Gong (), Bisharat Hussain Chang (), Xi Chen () and Kaiyang Zhong ()
Additional contact information
Xiaohui Gong: School of Mathematics and Statistics, Ludong University, Yantai, China;
Bisharat Hussain Chang: Department of Business Administration, Sukkur IBA University, Sukkur, Sindh, Pakistan
Xi Chen: Finance and Investment, Guangdong University of Finance, Guangzhou, China;
Kaiyang Zhong: School of Economic Information Engineering, Southwestern University of Finance and Economics, Chengdu, China;

Journal for Economic Forecasting, 2023, issue 2, 125-142

Abstract: This study investigates the impact of very small to very large changes in the exchange rate on energy demand in the emerging 7 (E7) countries - Brazil, China, India, Indonesia, Mexico, Russia, and Turkey, which has not been thoroughly explored in the literature. We use the multiple thresholds nonlinear ARDL (MTNARDL) approach and compare its results with conventional ARDL and nonlinear autoregressive distributed lag (NARDL) methods. Moreover, we use Granger causality in the quantile test for robustness purposes. Our findings reveal that the MTNARDL approach with decile series shows a long-run association between energy demand and the exchange rate for all E7 countries. In contrast, the conventional ARDL and NARDL approach only finds a long-run association for India. Finally, our results based on the Granger causality in quantile test suggest that the effect varies across various quantiles. The study provides valuable policy recommendations based on the results, emphasizing the importance of considering the impact of extreme exchange rate variations when formulating energy demand policies in E7 countries.

Keywords: Energy demand; E7 countries; exchange rate; multiple thresholds nonlinear ARDL model; MTNARDL model. (search for similar items in EconPapers)
JEL-codes: C32 F31 O57 Q41 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://www.ipe.ro/rjef/rjef2_2023/rjef2_2023p125-142.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:rjr:romjef:v::y:2023:i:2:p:125-142

Access Statistics for this article

Journal for Economic Forecasting is currently edited by Lucian Liviu Albu and Corina Saman

More articles in Journal for Economic Forecasting from Institute for Economic Forecasting Contact information at EDIRC.
Bibliographic data for series maintained by Corina Saman ( this e-mail address is bad, please contact ).