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

Author

Listed:
  • Omer Faruk Derindag

    (Department of International Trade and Business, Inonu University, Malatya, Turkey)

  • Bisharat Hussain Chang

    (Department of Management Sciences, Shaheed Zulifqar Ali Bhutto Institute of Science and Technology, Larkana, Pakistan)

  • Raheel Gohar

    (College of Business Administration, Al Yamamah University, Riyadh, Saudi Arabia)

  • Asma Salman

    (College of Business Administration, American University in the Emirates, Dubai, UAE)

Abstract

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.

Suggested Citation

  • Omer Faruk Derindag & Bisharat Hussain Chang & Raheel Gohar & Asma Salman, 2022. "Exchange Rate Effect on the Household Consumption in BRICST Countries: Evidence from MATNARDL Model," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 13(02), pages 1-20, June.
    • Handle: RePEc:wsi:jicepx:v:13:y:2022:i:02:n:s1793993322500107
    DOI: 10.1142/S1793993322500107
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    Keywords

    Exchange rate; BRICST countries; MATNARDL model; household consumption; asymmetry;
    All these keywords.

    JEL classification:

    • D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis
    • D16 - Microeconomics - - Household Behavior - - - Collaborative Consumption
    • I30 - Health, Education, and Welfare - - Welfare, Well-Being, and Poverty - - - General

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