The effect of Exchange rate volatility on import: Evidence from emerging markets

Abstract

This study investigates the co-integration relationships among the import, exchange rate volatility, income, and real exchange rate for the emerging market economies during 2000 - 2020. Apart from the previous studies, we consider the cross-section dependency in emerging markets. For the co - integration analysis, Westerlund and Edgerton (2007) co-integration test was used to obtain effective results by allowing autocorrelation and varying variance in the co - integration equation. The findings of this study show that there is a co -integration relationship between the variables. The impact of volatility, income, and real exchange rate on imports are estimated using common correlated effects (CCE). The findings of the panel indicate that long-run imports are significantly impacted negatively whenever there is volatility in emerging markets. It is seen that tastes and preferences are directed towards imported goods, and an increase in income leads to an increase in imports. At the same time findings contradict theoretical projection and shows that an increase in the value of the currency exchange rate has a positive influence on the quantity of goods imported. This could be due to the fact that exports revenue in emerging market countries depend on imports.

Keywords

• Exchange rate volatility
• Emerging market economies
• Co-integration
• CCE

Döviz kuru oynaklığının ithalat üzerindeki etkisi: Yükselen piyasalardan kanıtlar

Öz

Bu çalışma, 2000 - 2020 yılları arasında yükselen piyasa ekonomileri için ithalat, döviz kuru oynaklığı, gelir ve reel döviz kuru arasındaki eş - bütünleşme ilişkisini incelemektedir. Bu çalışma önceki çalışmalardan farklı olarak, gelişmekte olan piyasalardaki yatay kesit bağımlılığını dikkate almaktadır. Eş – bütünleşme analizinde otokorelasyon ve değişen varyans durumunu dikkate alan Westelund ve Edgerton (2007) eş bütünleşme testi kullanılmıştır. Çalışmanın bulguları değişkenler arasında eş bütünleşme ilişkisi olduğunu göstermektedir. Oynaklık, gelir ve reel döviz kurunun ithalat üzerindeki etkisi, ortak ilişkili etkiler (CCE) yöntemi kullanılarak tahmin edilmektedir. Gelişmekte olan piyasalara ilişkin panel bulguları, uzun dönemde oynaklığın ithalat üzerinde istatistiksel olarak anlamlı, negatif bir etkiye sahip olduğunu göstermektedir. Zevk ve tercihlerin ithal mallara yöneldiği, gelir artışının ithalat artışına yol açtığı görülmektedir. Aynı zamanda bulgular teorik tahminle çelişmekte ve döviz kurunun değerindeki artışın ithal edilen mal miktarı üzerinde olumlu bir etkiye sahip olduğunu göstermektedir. Bunun nedeni gelişmekte olan ülkelerdeki ihracat gelirlerinin ithalata bağlı olmasından kaynaklanıyor olabilir.

Anahtar Kelimeler

• Döviz kuru oynaklığı
• Gelişmekte olan piyasa ekonomileri
• Eşbütünleşme
• CCE

Kaynakça

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