Modeling Effect of Exchange Rate Volatility on Growth of Trade Volume in Pakistan
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- 2016.06.04
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- 2016.05
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서지정보
ㆍ발행기관 : 한국유통과학회
ㆍ수록지정보 : The Journal of Asian Finance, Economics and Business / 3권 / 2호
ㆍ저자명 : Muhammad Ayub Siddiqui, Naila Erum
목차
1. Introduction
2. Literature Review
3. Methodology
4. Results and Discussion
5. Findings and Recommendations
References
영어 초록
This study empirically evaluates the impact of exchange rate volatility, foreign direct investment, terms of trade, inflation, and industrial production and foreign exchange reserves on Pakistani trade volume over the period of 1975-2010 using quarterly data set. The study employs financial econometrics methods such as Augmented Dickey Fuller (ADF) test GARCH (1, 1) technique and Almon Polynomial Distributed Lag (APDL) models to estimate the relationship of variables. Findings of the study are in accordance with theoretical relationships presented by Clark, Tamirisa, Wei, Sadikov, & Zeng (2004), McKenzie (1999), Dellas & Zilberfarb (1993) and Côté (1994). These findings are also in accordance with the empirical studies which support positive relationship of exchange rate volatility and exports presented by Hsu & Chiang (2011), Chit (2008), Feenstra & Kendall (1991), Esquivel & Larraín (2002) and Onafowora & Owoye (2008). Findings of the study in terms of imports are supported by the studies such as Lee (1999), Alam & Ahmad (2011) and Arize (1998). The study also recommends some very important policy prescriptions.
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