This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Impact of Exchange rate Volatility on Growth and Economic Performance: A Case Study of Pakistan, 1973-2003

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Toseef Azid (Markfield Institute of Higher Education (Loughborough University) Leicestershire, UK.)
Muhammad Jamil (Department of Economics, Bahauddin Zakariay, University, Multan.)
Aneela Kousar (Pakistan Institute of Development Economics, Islamabad.)

Additional information is available for the following registered author(s):

Abstract

This paper investigates the impact of volatility of exchange rates on the manufactured production of Pakistan’s economy. After a short introduction of the underlying theories and empirical literature, the relationship between these two variables is estimated. In the regression, the conditional variance of the real exchange rate is the measure of uncertainty (GARCH estimation). The results obtained are positive but are insignificant, and do not support the position that excessive volatility or shifting of exchange rate regimes has pronounced effects for manufacturing production. These results are consistent with what we obtain from the impulse responses. It is believed, however, that the thesis adds to the body of evidence, suggesting that exchange rate variability has no significant effect on manufacturing products.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.pide.org.pk/pdf/PDR/2005/Volume4/749-775.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Article provided by Pakistan Institute of Development Economics in its journal The Pakistan Development Review.

Volume (Year): 44 (2005)
Issue (Month): 4 ()
Pages: 749-775
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:pid:journl:v:44:y:2005:i:4:p:749-775

Contact details of provider:
Postal: Quaid-i-Azam University Campus, P.O.Box 1091, Islamabad-44000
Phone: (92)(51)9206610
Fax: (92)(51)9210886
Email:
Web page: http://www.pide.org.pk
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Irfan Shakeel).

Related research
Keywords:

Other versions of this item:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Jose Campa & Linda S. Goldberg, 1993. "Investment in Manufacturing, Exchange-Rates and External Exposure," NBER Working Papers 4378, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Pesaran, M. H. & Smith, Ron P., 1998. "Structural Analysis of Cointegrating VARs," Cambridge Working Papers in Economics 9811, Faculty of Economics, University of Cambridge.
    Other versions:
  3. Amuedo-Dorantes, Catalina & Pozo, Susan, 2001. "Exchange-Rate Uncertainty and Economic Performance," Review of Development Economics, Blackwell Publishing, vol. 5(3), pages 363-74, October. [Downloadable!] (restricted)
  4. Bleaney, Michael & Fielding, David, 2002. "Exchange rate regimes, inflation and output volatility in developing countries," Journal of Development Economics, Elsevier, vol. 68(1), pages 233-245, June. [Downloadable!] (restricted)
  5. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July. [Downloadable!] (restricted)
  6. Christopher F. Baum & Mustafa Caglayan & Neslihan Ozkan, 2000. "Nonlinear Effects of Exchange Rate Volatility on the Volume of Bilateral Exports," Boston College Working Papers in Economics 488, Boston College Department of Economics, revised 30 Jul 2002. [Downloadable!]
    Other versions:
  7. Gylfason, Thorvaldur & Risager, Ole, 1984. "Does devaluation improve the current account?," European Economic Review, Elsevier, vol. 25(1), pages 37-64, June. [Downloadable!] (restricted)
  8. Tim Bollerslev & Jeffrey Wooldridge, 1992. "Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances," Econometric Reviews, Taylor and Francis Journals, vol. 11(2), pages 143-172. [Downloadable!] (restricted)
  9. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November. [Downloadable!] (restricted)
  10. Hooper, Peter & Kohlhagen, Steven W., 1978. "The effect of exchange rate uncertainty on the prices and volume of international trade," Journal of International Economics, Elsevier, vol. 8(4), pages 483-511, November. [Downloadable!] (restricted)
  11. Collins, Susan M., 1996. "On becoming more flexible: Exchange rate regimes in Latin America and the Caribbean," Journal of Development Economics, Elsevier, vol. 51(1), pages 117-138, October. [Downloadable!] (restricted)
  12. Barbone, Luca & Rivera-Batiz, Francisco, 1987. "Foreign capital and the contractionary impact of currency devaluation, with an application to Jamaica," Journal of Development Economics, Elsevier, vol. 26(1), pages 1-15, June. [Downloadable!] (restricted)
  13. Caporale, Guglielmo Maria & Pittis, Nikitas, 1995. "Nominal exchange rate regimes and the stochastic behavior of real variables," Journal of International Money and Finance, Elsevier, vol. 14(3), pages 395-415, June. [Downloadable!] (restricted)
    Other versions:
  14. Rose, Andrew K, 1996. "After the Deluge: Do Fixed Exchange Rates Allow Inter-temporal Volatility Tradeoffs?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 1(1), pages 47-54, January. [Downloadable!] (restricted)
    Other versions:
  15. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June. [Downloadable!] (restricted)
  16. Taye, Haile Kebret, 1999. "The Impact of Devaluation on Macroeconomic Performance: The Case of Ethiopia," Journal of Policy Modeling, Elsevier, vol. 21(4), pages 481-496, July. [Downloadable!] (restricted)
  17. Aizenman, Joshua, 1994. "Monetary and Real Shocks, Productive Capacity and Exchange Rate Regimes," Economica, London School of Economics and Political Science, vol. 61(244), pages 407-34, November. [Downloadable!] (restricted)
  18. P. Joyce, Joseph & Kamas, Linda, 1994. "Money and output under alternative exchange rate regimes in the USA," Journal of International Money and Finance, Elsevier, vol. 13(6), pages 679-697, December. [Downloadable!] (restricted)
  19. Brada, Josef C & Mendez, Jose, 1988. "Exchange Rate Risk, Exchange Rate Regime and the Volume of International Trade," Kyklos, Blackwell Publishing, vol. 41(2), pages 263-80.
  20. Alexakis, Panayotis & Apergis, Nicholas, 1994. "The Feldstein-Horioka puzzle and exchange rate regimes: Evidence from cointegration tests," Journal of Policy Modeling, Elsevier, vol. 16(5), pages 459-472, October. [Downloadable!] (restricted)
  21. Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-26, November. [Downloadable!] (restricted)
  22. Kevin B. Grier & Mark J. Perry, 2000. "The effects of real and nominal uncertainty on inflation and output growth: some garch-m evidence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(1), pages 45-58. [Downloadable!]
  23. Gylfason, Thorvaldur & Radetzki, Marian, 1991. "Does Devaluation Make Sense in the Least Developed Countries?," Economic Development and Cultural Change, University of Chicago Press, vol. 40(1), pages 1-25, October.
  24. Jean-Marie Dufour & Eric Renault, 1998. "Short Run and Long Run Causality in Time Series: Theory," Econometrica, Econometric Society, vol. 66(5), pages 1099-1126, September.
    Other versions:
  25. Kroner, Kenneth F. & Lastrapes, William D., 1993. "The impact of exchange rate volatility on international trade: Reduced form estimates using the GARCH-in-mean model," Journal of International Money and Finance, Elsevier, vol. 12(3), pages 298-318, June. [Downloadable!] (restricted)
  26. Krugman, Paul & Taylor, Lance, 1978. "Contractionary effects of devaluation," Journal of International Economics, Elsevier, vol. 8(3), pages 445-456, August. [Downloadable!] (restricted)
    Other versions:
  27. Hamid Faruqee, 1994. "Long-Run Determinants of the Real Exchange Rate - A Stock-Flow Perspective," IMF Working Papers 94/90, International Monetary Fund.
  28. Thorvaldur Gylfason & Michael Schmid, 1983. "Does Devaluation Cause Stagflation?," Canadian Journal of Economics, Canadian Economics Association, vol. 16(4), pages 641-54, November. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? IDEAS was sponsored from 1997 to 2002 by the Université du Québec à Montréal.

This page was last updated on 2009-12-2.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.