Exchange Rate and Economic Growth in Pakistan (1975-2011)

Author  : Arslan Ahmad, Najid Ahmad, Sharafat Ali

Source  : Journal of Basic and Applied Scientific Research, 3(8)740-746, 2013

Publication Date: September 2013

Abstract:
This paper investigates the impact of inflation, nominal exchange rate, FDI and capital stock on economic growth of Pakistan by using time series data for the period of 1975-2011. Augmented Dickey Fuller (ADF) test is applied to check the stationary of variables. All variables found stationary at level. So Ordinary Least Squares method is applied to check the relation between dependent variable (GDP) and independent variables (Exchange rate, FDI, capital stock). The results of OLS show that inflation and exchange rate has negative and significant affect economic growth of Pakistan. Capital stock (GFCF) does not significantly affect economic growth. Foreign direct investment has positive and significant effect on economic growth of Pakistan. Our model is free from hetroskedasticity and autocorrelation with satisfactory functional form that suggests the stability of the model. The CUSUM and CUSUMSQ are showing that the model is structurally stable within the 5% of critical bounds.

Keywords: Economic Growth, FDI, Inflation, Pakistan

Publication Type: Journal Article
(https://mpra.ub.uni-muenchen.de/49395/1/MPRA_paper_49395.pdf)

ISSN: 2090-4304

Authors’s Email: Email: najid_2iqbal@yahoo.com

國際金融學習記事 (Learning Notes) 丁淑妤 10292026

2015/10/19

Tools (methods) for econometric modeling in Int. Finance

1.       Classical assumption on residuals of OLS (Gauss – Markov theorem)
à to ensure the randomness of OLS residuals
à in multiple regression: X and Z should be independent

2.       Testing classical assumptions on residuals
à   E(u_t) = 0 (ignored if there is an intercept in OLS)

è Cov(u_t,u_t-j) = 0  for j¹1 (no autocorrelation in u_t)

è Var(u_t) = s_u for all t (Homoskedasticity)

è Jarque-Bera (JB) test (Test if the residual is normally distributed)

3.       Doornick-Hansen test (for multivariate normality)

4.       Statistical significance testing P-values
- Choose the certain a (level of significance), for example 5%
- If p-value > a, fail to reject Ho
- If p-value  < a, reject Ho

5.       Testing for no-autocorrelation (Q Tests)
à H0: there is no autocorrelation among residuals (u_t) up to lag p
       -   If reject H0, there exists autocorrelation among u_t and u_t-j 

-   If fail to reject H0,  no autocorrelation among u_t and u_t-j

6.       Testing for homeskedasticity (Q² tests)
à H0: there is no ARCH-type heteroscedasticity among residuals (u_t) up to lag p
       -  If reject H0,  there exists (ARCH-type) heteroskedasticity among u_t
       -  If fail to reject H0,  homeskedasticity, no (ARCH-type) heteroskedasticity among u_t

7.       JB Normality test on residuals
ex: Jarque-bera test = 0.310095, with P-Value 0.856374 we can say that P-Value of JB test suggest failure to reject HO. It means that “residuals are normally distributed”

Notes:
* Check OLS residuals before estimating the result of OLS in order to get BLUE estimates
BLUE means: Best, Liniear, Unbiased, Estimators.
* make sure that there are no autocorrelation, homoscesadticity, in small sample (N<30)
* Implication of the autocorrelation in residuals à Estimated coefficients are not BLUE
* Possible rescues for problems in OLS diagnosis
   - Re-estimate OLS with “robut standard errors”
   - model/Time sereies/AR(1)
   - Re-specify the model

News Related to International Finance:

1.       Discordant Financial Messages From China Spur Global Unease
(http://www.nytimes.com/2015/10/20/business/international/discordant-financial-messages-from-china-spur-global-unease.html?_r=0)

2.       Federal Reserve Beige Book Reveals Strong US Dollar Is Restraining Manufacturing Activity

(http://www.ibtimes.com/federal-reserve-beige-book-reveals-strong-us-dollar-restraining-manufacturing-2141667)

The unemployment effect of exchange rate volatility in industrial countries

作者:Feldmann, Horst

作者關係機構:

U Bath

資料來源:

Economics Letters, June 2011, v. 111, iss. 3, pp. 268-71

出版日期:

June 2011

摘要:

Using data on 17 industrial countries from 1982 to 2003 and controlling for a wide array of factors, this paper finds that higher exchange ratevolatility increases the unemployment rate. The magnitude of the effect is small. The results are robust to variations in specification.

描述項:

Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital (E24)
Foreign Exchange (F31)

關鍵字:

Exchange Rate; Unemployment; Unemployment Rate

地理位置描述項:

Selected MDCs

ISSN:

01651765

出版品類型:

Journal Article

數位物件識別碼:

http://0-dx.doi.org.cylis.lib.cycu.edu.tw/10.1016/j.econlet.2011.01.003

有無:

http://0-www.sciencedirect.com.cylis.lib.cycu.edu.tw/science/journal/01651765

更新代碼:

201107

入藏號碼:

1243262

How Sensitive Are Malaysia's Bilateral Trade Flows to Depreciation?

圖片

    

作者:

Bahmani-Oskooee, Mohsen; Harvey, Hanafiah

作者關係機構:

U WI, Milwaukee; U WI, Milwaukee

資料來源:

Applied Economics, June 2006, v. 38, iss. 11, pp. 1279-86

出版日期:

June 2006

摘要:

In an attempt to assess the impact of currency depreciation on the trade balance, recent studies are employing disaggregated trade data to avoid aggregation bias. However, since import and export prices are not available at disaggregated level, recent studies are using export and import values rather than their volumes so that they can establish direct relation between inpayments and theexchange rate as well as between outpayments and the exchange rate. This study explores the experience of Malaysia. Bilateral inpayments and outpayments models are estimated between Malaysia and her 14 trading partners using quarterly data and bound testing approach to cointegration. The results show that while real depreciation of the ringgit has short-run effects, in the long-run it increases Malaysia's inpayments from only five trading partners.

描述項:

Empirical Studies of Trade (F14)
Foreign Exchange (F31)
International Linkages to Development; Role of International Organizations (O19)

關鍵字:

Exchange Rate; Exports; Import; Trade

地理位置描述項:

Malaysia; Selected Countries

Geographic Region:

Asia

ISSN:

00036846

出版品類型:

Journal Article

有無:

http://0-www.tandfonline.com.cylis.lib.cycu.edu.tw/loi/raec20

更新代碼:

200611

入藏號碼:

0868914

Exchange-rate volatility, exchange-rate regime, and trade volume: evidence from the UK–US export function (1889–1999)

Aristotelous, Kyriacos

作者關係機構:

Otterbein College

資料來源:

Economics Letters, July 2001, v. 72, iss. 1, pp. 87-94

出版日期:

July 2001

摘要:

This paper investigated the impact of exchange-rate volatility and exchange-rate regime on the British exports to the United States using data for the period 1889-1999. The empirical findings suggest that neither exchange-rate volatility nor the different exchange-rate regimesthat spanned the last century had an effect on export volume.

描述項:

Foreign Exchange (F31)
International Monetary Arrangements and Institutions (F33)
Empirical Studies of Trade (F14)
Economic History: Transport, Trade, Energy, Technology, and Other Services: U.S.; Canada: 1913- (N72)
Economic History: Transport, Trade, Energy, Technology, and Other Services: Europe: 1913- (N74)

關鍵字:

Exchange Rates; Exports; Trade

地理位置描述項:

U.K.; U.S.

Geographic Region:

Europe; Northern America

ISSN:

01651765

出版品類型:

Journal Article

有無:

http://0-www.sciencedirect.com.cylis.lib.cycu.edu.tw/science/journal/01651765

更新代碼:

200110

入藏號碼:

0582021

MEASURING EXCHANGE RATE VOLATILITY, OIL PRICE SHOCKS & ECONOMIC GROWTH

ABSTRACT : Exchange rate volatility and oil price shocks has received attention from last many era and its importance is certain in all sectors of the economy. This paper seeks to identify factor affecting exchange rate volatility and the impact of oil prices on economic growth of Canada from year 1971 to 2012. Firstly, cointegration technique applied and result indicates that relationship of oil prices shocks and exchange rate volatility on economic growth is significant in the long run and its error correction adjustment mechanism in short run is significant and correctly signed. Secondly, data was analyzed to check the factor affecting exchange rate volatility and it is estimated that imports, exports, inflation, interest rate, government consumption expenditure and foreign direct investment has a significant impact on real effective exchange rate in the long run and short run.

KEY WORDS: Exchange rate volatility, Oil prices shocks, Economic growth

數據資料 (季)

數據資料(年)

Does Exchange Rate Variation Effect African Trade Flows?

International Conference on Applied Economics (ICOAE) 2014

Abstract
This paper examines the effect of exchange rate volatility for a set of three African countries: Malawi, Morocco and South Africa to aggregate exports during the period of 1973: q1-1990:q1. It is claimed by some researchers that exchange rate volatility causes a reduction on the overall level of trade. Empirical researchers often utilize the standard deviation of the moving average of the logarithm of the exchange rate as a measure of exchange rate fluctuation. In this study we propose a new measure for volatility. Overall our results have suggested significant negative effects from volatility on exports for all the countries in our sample when a measure of unexpected fluctuation was used.

INFLUENCES OF EXCHANGE RATES ON ROMANIAN EXPORTS.

INFLUENCES OF EXCHANGE RATES ON ROMANIAN EXPORTS.

作者:

BOROACĂ, Luis-Raul1 luisboroaca@yahoo.com
ANTTILA, Cristina1 cristina.anttila@uamsibiu.ro

資料來源:

Buletin Stiintific. 2014, Vol. 19 Issue 1, p5-12. 8p.

文件類型:

Article

主題術語:

*FOREIGN exchange rates
*EXPORTS
*GROSS domestic product
*GLOBALIZATION
*CORRELATION (Statistics)

地理詞彙:

ROMANIA

作者提供的關鍵字:

currency
depreciation
exchange rate
Export

摘要:

Exports represent a major component of gross domestic product. In a more and more globalized world, the importance of export activity increased. Export depends on a large variety of factors that can have a positive or negative effect on it. Some consider that exchange ratesare a factor that can influence the dynamics of exports. In this paper, the author presented different points of view on the topic of the correlation between exchange rates and export. The author analyzed the possible influence of exchange rates on Romanian exports. The period took into consideration for the research is 1990-2012. [ABSTRACT FROM AUTHOR]

 

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作者所屬機構:

1"ALMA MATER" UNIVERSITY, SIBIU, ROMANIA