Asymmetric effects of exchange rate changes on the demand for money in Africa

In order to account for currency substitution, the exchange rate is included in the demand for money. More recent studies have demonstrated that exchange rate changes could have asymmetric effects on the demand for money or domestic currency. In this paper, we consider the experiences of 18 African countries and show that in most countries, indeed exchange rate changes have short-run asymmetric effects on the demand for money. However, short-run effects translate to long-run asymmetric effects only in a limited number of African countries.     

Asymmetric J-curve: evidence from UK-German commodity trade

Empirica - Previous studies that have investigated the J-curve phenomenon between the UK and its largest trading partner from the European Union (EU), Germany, used aggregate bilateral trade data...     

Job satisfaction and co-worker pay in Canadian firms

One reason to be concerned about income inequality is the idea that people care about not only their own absolute income but also their income relative to various reference groups (co-workers, friends, neighbours, relatives, etc.). We use Canadian linked employer–employee data to estimate the casual effect of co-worker pay on a worker's reported job and pay satisfaction. Since worker satisfaction can affect the worker's productivity, organizational commitment, turnover, creativity and innovation as well as the firm's productivity and profitability, this is an issue that requires more attention and careful examination. In models that control for a rich set of workplace characteristics, we find that co-worker pay has a large positive and significant effect on both pay and job satisfaction. In our preferred models with establishment-level fixed effects, the effect of co-worker pay on pay satisfaction is half as large and the effect on job satisfaction completely disappears, suggesting that part (all) of what previous studies attribute to the effect of co-worker pay on worker pay (job) satisfaction is driven by unobserved heterogeneity across firms or establishments. Our results also suggest that the effect of co-worker pay on worker satisfaction is much stronger for workers who leave their job during the following year. Finally, we find that while co-worker pay has a positive effect on pay satisfaction among Canadian-born whites, it has a negative effect among immigrants and Canadian-born visible minorities.     

Exchange rate sensitivity of commodity flows between the Philippines and the US

Previous studies that tried to assess the impact of exchange rate changes on the inpayments and outpayments of a country used aggregate trade flows between two countries. They are said to suffer from aggregation bias, and disaggregation by industry is recommended. In this paper, we consider response to exchange rate changes of export earnings (inpayments) of 133 industries that export from the US to the Philippines (Philippines’ importing industries) and outpayments of 65 US industries (Philippines exporting industries) that import from the Philippines using annual data over the period 1973–2012. While in most industries exchange rate changes had significant effects in the short run, the short-run effects did not last into the long run in most industries. Economic activity played more role in the long run than the exchange rate.     

Panel asymmetric nonlinear unit root test and PPP in Africa

This study revisits purchasing power parity (PPP) theory for 20 African countries using panel asymmetric nonlinear unit root test proposed by Emirmahmutoglu and Omay (2014), through the sequential panel selection method of Chortareas and Kapetanios (2009). While standard panel unit root tests fail to support the PPP, the empirical results from panel asymmetric nonlinear unit root test do support the PPP. However, additional tests reveal that support in all 20 African countries is mostly due to stationarity of the real effective exchange rates of Ghana and Rwanda where the adjustment process towards equilibrium is nonlinear and asymmetric.     

Bilateral Trade Balances of Malaysia with Her 11 Largest Trading Partners: New Evidence from Asymmetry Cointegration

Research on the effects of exchange rate changes on the trade balance is now moving in a new direction, by investigating whether exchange rate changes have symmetric or asymmetric effects. The approach that relies upon separating depreciations from appreciations introduces nonlinearity into the adjustment process and relies upon the nonlinear ARDL approach of Shin et al. [2014. Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework, in: R. Sickels and W. Horrace (Eds), Festschrift in Honor of Peter Schmidt: Econometric Methods and Applications, 281–314 (Springer)]. When we applied this new method to the bilateral trade balances of Malaysia with each of her 11 largest partners, we found adjustment asymmetry in all models, short-run impact asymmetry effects and long-run asymmetry effects in the trade balance models between Malaysia and Asian countries.     

Nominal and real effective exchange rates of middle eastern countries and their trade performance

Indexes of real and nominal effective exchange rates that are published by the IMF, are mostly for industrial countries. None of the Middle Eastern countries have received any attention on this regard. This paper tries to close the gap by constructing such indexes for 11 middle eastern countries over 1971(I)–1994(IV) period. As an application, long-run response of their trade balance to devaluation is also investigated.     

On the relationship between the value of the mark and German production

This study employs Johansen's cointegration technique to determine the long-run relationship between exchange value of the DM and German production. It is shown that depreciation of the DM has a long-run expansionary impact on German production. This conclusion is based on a new method of selecting the order of VAR and the appropriate cointegrating vector simultaneously.     

Shannon information in record data

In this article we present results on the Shannon information (SI) contained in upper (lower) record values and associated record times in a sequence of i.i.d continuous variables. We then establish an interesting relationship between the SI content of a random sample of fixed size, and the SI in the data consisting of sequential maxima. We also consider the information contained in the record data from an inverse sampling plan (ISP).