Asymmetry Effects of Exchange Rate Changes on GDP：Evidence from Nonlinear ARDL model
| Autor: | TSAI, LING-CHEN, 蔡姈真 |
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| Rok vydání: | 2018 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 106 In traditional economic theory, the Keynesian school believes that currency devaluation will help improve the external conditions of the country. According to the increase in the output of trade finance, domestic exports will increase, imports will decline, and the devaluation expansion effect. In recent years, scholars used empirical research to raise doubts about the Keynesian school claim. Scholars believe that the devaluation policy will allow the price to readjust and that the price of imported raw materials will increase, the cost will increase, and the total supply will decrease, leading to the devaluation and contraction effects. This study will use a more rigorous empirical model- nonlinear ARDL model and more better measurement method to verify that 11 OECD countries are Canada, Denmark, France, Japan, Korea, New Zealand, Norway, Sweden, Switzerland, In the United Kingdom and the United States, the exchange rate changes in these countries have a long-term impact on GDP. The ARDL empirical results show that Denmark, Norway, and Sweden have long-term depreciation and contraction effects at the 5% significance level, France have long-term depreciation and expansion effects; To make the empirical results more diversified, including FM-OLS (N-FM-OLS) and ARDL (NARDL) for comparison, in the FM-OLS model, the US at 5% significance level has a long-term depreciation expansion effect. The long-term depreciation expansion effect of Korea in ARDL has no significant effect; in NARDL, at the 5% significance level, there have a long-term depreciation and contraction effect; N-FM-OLS has the effect of long-term depreciation and expansion. Japan has a long-term depreciation expansion effect in ARDL; FM-OLS has a long-term depreciation and contraction effect, and neither has a significant effect; in N-FM-OLS, 5% significance level shows there has a long-term depreciation expansion effect. Therefore, the depreciation expansion effect and depreciation contraction effect differ from country to country, and overall OECD 11 countries have apparent asymmetric effects. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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