The University of Southampton
University of Southampton Institutional Repository

UK imports, the third country effect and the global financial crisis: evidence from the asymmetric ARDL method

UK imports, the third country effect and the global financial crisis: evidence from the asymmetric ARDL method
UK imports, the third country effect and the global financial crisis: evidence from the asymmetric ARDL method
This paper examines the role of exchange rate volatility in determining real imports. As a robustness check, it further explores the impact of the recent global financial crisis which is a period characterized by heightened exchange rate volatility. More specifically, we investigate the impact of exchange rate volatility on UK real imports from Germany, Japan and the US during the period January 1991–March 2013. In contrast to most studies which focus on bilateral trade, we additionally explore the third country exchange rate volatility effect on UK imports. To capture the nonlinear features which often characterize macroeconomic data, we employ the asymmetric autoregressive distributed lag (ARDL) approach to cointegration. Our results suggest that exchange rate volatility plays an important role and reveal that there is a significant effect of the recent financial crisis on UK imports. This finding is consistent when we test for the third country volatility effect. Finally, we find that there is a significant causal relationship between exchange rate volatility and UK imports both in bilateral tests and in tests which account for the third country exchange rate volatility.
real imports, exchange rate volatility, asymmetric cointegration, financial crisis
1057-5219
199-208
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728
Hassan, Syed Shabi UI
6693bc95-e19e-4e21-a856-c82bf33e98b2
Papadimitriou, Fotios I.
e90e7f7a-0d8d-4fbb-9b08-729d2dd2e217
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728
Hassan, Syed Shabi UI
6693bc95-e19e-4e21-a856-c82bf33e98b2
Papadimitriou, Fotios I.
e90e7f7a-0d8d-4fbb-9b08-729d2dd2e217

Choudhry, Taufiq, Hassan, Syed Shabi UI and Papadimitriou, Fotios I. (2014) UK imports, the third country effect and the global financial crisis: evidence from the asymmetric ARDL method. International Review of Financial Analysis, 32, 199-208. (doi:10.1016/j.irfa.2013.11.003).

Record type: Article

Abstract

This paper examines the role of exchange rate volatility in determining real imports. As a robustness check, it further explores the impact of the recent global financial crisis which is a period characterized by heightened exchange rate volatility. More specifically, we investigate the impact of exchange rate volatility on UK real imports from Germany, Japan and the US during the period January 1991–March 2013. In contrast to most studies which focus on bilateral trade, we additionally explore the third country exchange rate volatility effect on UK imports. To capture the nonlinear features which often characterize macroeconomic data, we employ the asymmetric autoregressive distributed lag (ARDL) approach to cointegration. Our results suggest that exchange rate volatility plays an important role and reveal that there is a significant effect of the recent financial crisis on UK imports. This finding is consistent when we test for the third country volatility effect. Finally, we find that there is a significant causal relationship between exchange rate volatility and UK imports both in bilateral tests and in tests which account for the third country exchange rate volatility.

Text
UK Imports, Third country effect and the Global financial crisis. IRFA 2014.pdf - Other
Download (339kB)

More information

Accepted/In Press date: 12 November 2013
e-pub ahead of print date: 3 February 2014
Published date: 1 March 2014
Keywords: real imports, exchange rate volatility, asymmetric cointegration, financial crisis
Organisations: Centre for Digital, Interactive & Data Driven Marketing

Identifiers

Local EPrints ID: 359799
URI: http://eprints.soton.ac.uk/id/eprint/359799
ISSN: 1057-5219
PURE UUID: 6a65389d-8841-488f-9ae3-473582c19ef4
ORCID for Taufiq Choudhry: ORCID iD orcid.org/0000-0002-0463-0662

Catalogue record

Date deposited: 13 Nov 2013 13:29
Last modified: 15 Mar 2024 03:06

Export record

Altmetrics

Contributors

Author: Taufiq Choudhry ORCID iD
Author: Syed Shabi UI Hassan
Author: Fotios I. Papadimitriou

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of http://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×