New Evidence on Exchange-Rate Volatility and Export Flows in Thailand: Nonlinearity and Asymmetric ARDL Investigation

Augustine C. Arize, Asli Ogunc, Ebere Ume Kalu and John Malindretos

The International Trade Journal, 2021, vol. 35, issue 2, 194-218

Abstract: This is the first study of Thailand’s export demand relations utilizing the new nonlinear autoregressive distributed lag (NARDL) technique by Shin, Yu, and Greenwood-Nimmo. The study reports long-run elasticities and exposes the short-run adjustment of real exports to changes in foreign economic activity, relative export price, and exchange-rate risk using long-run and short-run asymmetry as well as nonlinear asymmetric cointegration. Results from nonlinear and asymmetry cointegration analysis and short-run asymmetric error-correction modeling indicate cointegration and negative effects of exchange-rate risks on export volume in both the long run and short run.

Date: 2021
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DOI: 10.1080/08853908.2020.1799886

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