Exchange Rate Effect on the Household Consumption in BRICST Countries: Evidence from MATNARDL Model

Derindag O. F., Chang B. H., Gohar R., Salman A.

JOURNAL OF INTERNATIONAL COMMERCE, ECONOMICS AND POLICY, cilt.12, sa.4, ss.1-20, 2022 (ESCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 12 Sayı: 4
  • Basım Tarihi: 2022
  • Doi Numarası: 10.1142/s1793993322500107
  • Dergi Adı: JOURNAL OF INTERNATIONAL COMMERCE, ECONOMICS AND POLICY
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), Scopus, International Bibliography of Social Sciences, Business Source Elite, Business Source Premier, EconLit
  • Sayfa Sayıları: ss.1-20
  • Anahtar Kelimeler: Exchange rate, BRICST countries, MATNARDL model, household consumption, asymmetry, MACROECONOMIC VARIABLES, RATE VOLATILITY, STOCK-PRICES
  • İnönü Üniversitesi Adresli: Evet

Özet

Various empirical methodologies have examined the relationship between exchange rate and household consumption expenditures. However, traditional methods fail to analyze the exchange rate effect on consumption across minor and major currency depreciation and appreciations. We attempt to extend the existing literature by examining the impact of minor and major currency appreciation and depreciation on household consumption expenditures in BRICST countries, including Brazil, Russia, India, China, South Africa and Turkey. We use an extended version of the nonlinear ARDL (NARDL) and multiple threshold nonlinear ARDL model called the multiple asymmetric ARDL (MATNARDL) model. Our estimates, based on the traditional NARDL model, indicate that the asymmetric effect is found in the context of India and China only. However, the MATNARDL estimates suggest that, in the long run, the asymmetric effect is found for all the sample countries except India whereas, in the short run, the asymmetric effect is found for all the sample countries except Turkey. Finally, this study recommends the policy implications based on the results obtained in this study.