Journal Global Business review (Impact factor 0.

39 (2018)) = SAGE Publications

Paper Published The Effect of Exchange Rate Volatility on Pakistan’s Bilateral Exports to
Major Recipients
Published Date 2018
Method ARDL
Exports Aggregate Export of Pakistan with Major Trading Partners
Time Period 1982Q1 to 2013Q2
Explanatory Variables Foreign income, relative prices, exchange rate, and volatility
Reference Alam, S., Ahmed, Q. M., & Shahbaz, M. (2018). The effect of exchange
rate volatility on Pakistan’s bilateral exports to major recipients. Global
Business Review, 19(2), 328-341.
Paper: 01

Paper Abstract

The dynamic relationship between bilateral exports demand for Pakistan and exchange rate
volatility as well as some selected explanatory variables with six major trading partners’
countries, namely, USA, UK, Japan, Saudi Arabia, Germany and UAE, has been examined
during 1982Q1 to 2013Q2. The autoregressive distributed lag (ARDL) bound testing
approach suggests a stable long-run relationship among selected explanatory variables over
the sample period from Pakistan’s bilateral exports to each of its chosen trading partner
except Japan. The result suggests that exchange rate volatility adversely affects the demand
for Pakistani exports to USA but it positively affects demand for Pakistani exports to
Germany in the long run. The short-run causality analysis of ARDL demonstrates that
exchange rate volatility causes demand for Pakistani exports in USA and UK adversely,
while in case of Germany it causes positively. For Saudi Arabia and UAE, real effective
exchange rate volatility does not affect demand for Pakistani exports in the short run as well
as in the long run. The study concludes that different export elasticities for different export
recipient countries derived in the present study suggest that a single trade policy will not
provide a solution to improve country’s external trade sector.
Journal Journal of Risk and Financial Management (0.44 Impact Factor)
 Included in Economic Literature (American Economic Association)
 decision provided to authors approximately 16.2 days after
submission; acceptance to publication is undertaken in 4.9 days
Paper Published Exchange Rate Volatility and Disaggregated Manufacturing Exports:
Evidence from an Emerging Country
Published Date 2019
Method Dynamic Ordinary Least Squares
Exports Disaggregated Manufacturing exports of Vietnam
Time Period 2000–2015
Explanatory Variables Exchange rate, foreign country income, GDP, and Volatility
Reference Vo, D. H., & Zhang, Z. (2019). Exchange rate volatility and disaggregated
manufacturing exports: Evidence from an emerging country. Journal of
Risk and Financial Management, 12(1), 12.
Paper: 02

Paper Abstract

The link between export performance and exchange rate policy has been attracting attention
from policymakers, academics, and practitioners for some time, particularly for emerging
countries. It has been recently claimed that implementing a policy that devalues the currency
in Vietnam is an important factor for enhancing its export performance. However, it is also
argued that such a policy could result in the harmful consequence of exchange rate volatility.
This study analyses the link between exchange rate devaluation, volatility, and export
performance. The analysis focuses on the manufacturing sector and 10 of its subsectors that
were engaged in the export of goods between Vietnam and 26 key export partners during the
2000–2015 period. Potential factors that could affect this relationship, such as the global
financial crisis, Vietnam’s participation in the World Trade Organization, or even the export
partners’ geographic structures, are also accounted for in the model. The findings confirm
that a strategy that depreciates Vietnam’s currency appears to enhance manufacturing exports
in the short run, whereas the resulting exchange rate volatility has clear negative effects in the
long run. The impact of exchange rate volatility on manufacturing subsectors depends on two
factors, namely, (i) the type of export and (ii) the export destination. Policy implications
emerging from these conclusions are presented.

Journal The Chinese Economy

Paper Published Asymmetric Effects of Exchange Rate Changes on Thailand-China
Commodity Trade: Evidence From 45 Industries
Published Date May-2019
Method ARDL and NARDL
Exports Disaggregated Manufacturing exports of Vietnam
Explanatory Variables Exchange rate and GDP
Reference Mohsen Bahmani-Oskooee & Tatchawan Kanitpong (2019) Asymmetric
Effects of Exchange Rate Changes on Thailand-China Commodity Trade:
Evidence From 45 Industries, The Chinese Economy, 52:3, 203-231
Paper: 03

Paper Abstract

China is now Thailand’s largest trading partner and 15% of Thailand’s total trade with the
world belongs to China. A previous study that assessed the asymmetric effects of the real
baht-yuan rate on the bilateral trade balance between the two countries found that a real
depreciation of the baht against Yuan has a worsening effect in the long run. We disaggregate
the two countries’ trade by industry and consider trade balance of each of the 45 industries
that trade between Thailand and China. When we estimated a linear model, we found no
favourable effects of baht depreciation in any industry. However, when a nonlinear model
was estimated, we found significant short-run cumulative or impact asymmetric effects in 27
industries and significant long-run asymmetric effects in 15 industries. Additional analysis
revealed that four industries will benefit from baht depreciation and six will be hurt from baht
appreciation, supporting a new definition of the asymmetric J-curve in a total of 10 industries.

Journal INTERNATIONAL ECONOMIC JOURNAL

Paper Published Does Exchange Rate Volatility Dampen Imports? Commodity-Level Evidence
From India
Published Date June-2019
Method Balanced Panel
Data April 2013 to October, 2016
Imports Aggregated and then disaggregated commodity level imports of India
Explanatory Variables Price of commodity imported, Quantity of commodity imported, exchange rate
volatility
Reference Sharma, C., & Pal, D. (2019). Does Exchange Rate Volatility Dampen
 Imports? Commodity-Level Evidence From India. International Economic
Journal, 1-23.
Paper: 04

Paper Abstract

This paper studies the effect of exchange rates’ volatility on India’s imports on a balanced
panel of 73 commodities spanned from April 2013 to October 2016. Rather than using cross-
country bilateral import flows, we test the relationship at the commodity level using
disaggregated trade data with monthly frequency. Generalized autoregressive conditional
heteroscedasticity model is used for estimating exchange rate. We employ pooled mean
group estimator for simultaneously assessing long- and short-run association between
nominal exchange rate volatility and import volume. In the long-run, for all commodities, a
100% increase in volatility results in a 12% drop in India’s imports. A significant dampening
impact of volatility of exchange rate on imports is evidenced also in short-run. However, at
the disaggregate level, imports in the agricultural and allied sector are found to be relatively
more sensitive to exchange rate volatility as compared to the manufacturing sector. We also
conducted a time series analysis for the aggregate data covering both pre- and post-crisis
period. The results validate the findings of commodities-level panel data analysis. This paper
concludes with policy implications of our findings.

Paper: 05

Journal Emerging markets finance and trade

Paper Published On the Asymmetric Effects of Exchange Rate Volatility on Trade Flows:
Evidence from Africa
Published Date 2019
Method ARDL and NARDL, 13 African countries.
Data Quarterly inconsistent sample period across countries.
Imports + Exports Aggregate Both imports and exports
Explanatory Variables Volume of exports of a country to the world, Real income, Real exchange rate.
Reference Bahmani-Oskooee, M., & Arize, A. C. (2019). On the Asymmetric Effects of
Exchange Rate Volatility on Trade Flows: Evidence from Africa. Emerging
Markets Finance and Trade, 1-27.

Paper Abstract
A glance through the literature on the effects of exchange rate uncertainty on the trade flows
reveals that African countries have received the least attention. We consider the response of
exports and imports of 13 African nations to a Generalized Autoregressive Conditional
Heteroskedasticity (GARCH)-based measure of exchange rate uncertainty. Like previous
research, when we used linear models in which the effects are assumed to be symmetric, we
found significant long-run effects in almost one-third of the countries in our sample.
However, when we shifted to nonlinear export and import demand models, we found
significant long-run effects of exchange rate uncertainty on trade flows of almost all
countries. These effects were asymmetric in nature.

Paper: 06

Oil prices, exchange rates and stock markets under uncertainty and
regime-switching
A paper in finance research letter journal that investigates the association between currency,
stock market, oil prices and economic policy uncertainty in American settings.

The paper published in 2018.

The effect is also checked over the different time periods (Regime-switching).

The economic policy uncertainty is measured through the index proposed by Baker et al.
(2016).

Results
 Oil Returns are negatively associated with US dollar exchange rate.
 US dollar exchange rate is negatively associated with Stock market returns.
 Negative association exist between stock market return and economic policy
uncertainty.
 the relationships between the variables are rather non-linear
  the links between the variables change from one regime to the next, but they are
stronger during high volatility periods
 oil seems to play an active role in the transmission of price shocks to both the
exchange rate and stock markets

Paper Abstract

We contribute to the ongoing literature on the interactions between oil prices, exchange rates
and stock markets by considering the effects of economic policy uncertainty (EUP). Based on
a VAR and a multivariate Markov switching vector autoregressive (MS-VAR) models, we
show (i) significant interrelations between currency, oil and stock markets; (ii) relationships
between the variables are rather non-linear; (iii) links between the variables change from one
regime to the next, but they are stronger during volatile periods; and (iv) oil plays an active
role in the transmission of price shocks to both the exchange rate and stock markets.

Reference Article:

Roubaud, D., & Arouri, M. (2018). Oil prices, exchange rates and stock markets under
uncertainty and regime-switching. Finance Research Letters, 27, 28-33.