Exchange Rate Risk and Uncertainty and Trade Flows: Asymmetric Evidence from Asia

Mohsen Bahmani-Oskooee, Parveen Akhtar, Sana Ullah, Majeed Muhammad Tariq
2020 Journal of Risk and Financial Management  
Very recently, the link between exchange rate volatility and trade flows has entered into a new direction in which researchers assess the possibility of asymmetric response of trade flows to a measure of exchange rate uncertainty. We add to this literature by estimating a linear and a nonlinear ARDL model to learn about the experiences of Asian countries, i.e., Pakistan, Japan, China, Korea, Singapore, Malaysia, the Philippines, and India. Like other studies in the literature, nonlinear models
more » ... , nonlinear models yielded relatively more significant results. In some cases, while the linear models showed no significant effects of exchange rate volatility on trade flows, the nonlinear models revealed significant effects. In some other cases, the opposite was true.
doi:10.3390/jrfm13060128 fatcat:fml677xf5fhbfd7ejjgwe4w6bu