Impact of Exchange Rate Volatility on the US Exports: A New Evidence From Multiple Threshold Nonlinear ARDL Model

Bisharat Chang, Suresh Kumar Oad Rajput and Niaz Ahmed Bhutto
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Suresh Kumar Oad Rajput: #x2020;Department of Business Administration, Sukkur IBA University, Sukkur, Pakistan
Niaz Ahmed Bhutto: #x2020;Department of Business Administration, Sukkur IBA University, Sukkur, Pakistan

Journal of International Commerce, Economics and Policy (JICEP), 2019, vol. 10, issue 02, 1-26

Abstract: This study extends previous literature by examining the effect of extremely large to extremely small changes in the exchange rate volatility on the US exports to developing countries such as Brazil, India, Mexico, and South Africa. We use novel approach called multiple threshold nonlinear ARDL (MTNARDL) and compare its results with ARDL and nonlinear ARDL models. The ARDL model supports insignificant results, whereas standard nonlinear ARDL model indicates asymmetric effect of exchange rate volatility on the US exports to Mexico only. Finally, the MTNARLD model indicates that in the short run, the effect of extremely large changes in exchange rate volatility does not significantly differ from the effect of small changes in exchange rate volatility on the US exports to all sample countries. Whereas in the long run, the effect of extremely large changes in exchange rate volatility is significantly different from the effect of small changes in exchange rate volatility on the US exports to all sample countries. The findings of this novel methodology suggest different policies in the long run and short run.

Keywords: Exchange rate volatility; exports; US; MTNARDL (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (17)

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DOI: 10.1142/S1793993319500091

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