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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2019.1
- 수록면
- 696 - 718 (23page)
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This paper studies the effect of exchange rates’ volatility on India’s imports on a balanced panel of 73 commodities spanned from April 2013 to October 2016. Rather than using cross-country bilateral import flows, we test the relationship at the commodity level using disaggregated trade data with monthly frequency. Generalized autoregressive conditional heteroscedasticity model is used for estimating exchange rate. We employ pooled mean group estimator for simultaneously assessing long- and short-run association between nominal exchange rate volatility and import volume. In the long-run, for all commodities, a 100% increase in volatility results in a 12% drop in India’s imports. A significant dampening impact of volatility of exchange rate on imports is evidenced also in short-run. However, at the disaggregate level, imports in the agricultural and allied sector are found to be relatively more sensitive to exchange rate volatility as compared to the manufacturing sector. We also conducted a time series analysis for the aggregate data covering both pre- and postcrisis period. The results validate the findings of commodities-level panel data analysis. This paper concludes with policy implications of our findings.
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참고문헌 (66)
참고문헌 신청
Akhtar, M. / 1984 / Effects of exchange rate uncertainty on German and U.S. trade / Quarterly Review of Federal Reserve Bank of New York 9:7~16
Arellano, M. / 1991 / Some tests of specification for panel data : Monte Carlo evidence and an application to employment equations / The Review of Economic Studies 58(2):277~297
Arize, A. C. / 1998 / The effects of exchange rate volatility onUS imports : An empirical investigation / International Economic Journal 12(3):31~40
Arize, A. C. / 2000 / Exchange-rate volatility and foreign trade : evidence from thirteen LDC’s / Journal of Business & Economic Statistics 18(1):10~17
Asteriou, D. / 2016 / Exchange rate volatility and international trade : International evidence from the MINT countries / Economic Modelling 58(11):133~140
Arellano, M. / 1991 / Some tests of specification for panel data : Monte Carlo evidence and an application to employment equations / The Review of Economic Studies 58(2):277~297
Arize, A. C. / 1998 / The effects of exchange rate volatility onUS imports : An empirical investigation / International Economic Journal 12(3):31~40
Arize, A. C. / 2000 / Exchange-rate volatility and foreign trade : evidence from thirteen LDC’s / Journal of Business & Economic Statistics 18(1):10~17
Asteriou, D. / 2016 / Exchange rate volatility and international trade : International evidence from the MINT countries / Economic Modelling 58(11):133~140
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