학술논문
Symmetric and Asymmetric Effects of Financial Innovation and FDI on Exchange Rate Volatility: Evidence from South Asian Countries
이용수 2
- 영문명
- 발행기관
- 한국유통과학회
- 저자명
- Md. QAMRUZZAMAN Ahmed Muneeb MEHTA Rimsha KHALID Ayesha SERFRAZ Hina SALEEM
- 간행물 정보
- 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.1, 23~36쪽, 전체 14쪽
- 주제분류
- 경제경영 > 경제학
- 파일형태
- 발행일자
- 2021.01.30
무료
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국문 초록
영문 초록
The study explores the nexus between foreign direct investment (FDI), financial innovation, and exchange rate volatility in selected South Asian countries for 1980 to 2017. The study applies the unit root test, Autoregressive Distributed Lagged, nonlinear ARDL, and causality test following Toda-Yamamoto. Unit root tests ascertain that variables are integrated in a mixed order; few variables are stationary at a level and few after the first difference. Empirical model estimation with ARDL, Long-run cointegration revealed with the tests of FPSS, WPSS, and tBDM by rejecting the null hypothesis of “no cointegration.” This finding suggests that, in the long-run financial innovation, FDI inflows, and exchange rate volatility move together. Moreover, study findings established adverse effects running from FDI inflows and financial innovation to exchange rate volatility in the long run. These findings suggest that continual FDI inflows and innovativeness in the financial system assist in lessening the volatility in the foreign exchange market. Furthermore, nonlinear ARDL confirms the presence of asymmetric cointegration in the model. The standard Wald test established asymmetric effects running from FDI inflows and financial innovation to exchange rate volatility, both in the long and short run. Directional causality unveils feedback hypothesis holds for explaining causality between FDI, financial innovation, and exchange rate volatility.
목차
1. Background
2. Literature Review
3. Data and Methodology
4. Empirical Model Estimation and Interpretation
5. Findings and Conclusion
References
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