Purpose

The purpose of this paper is to show that in some industries the linear model may not reveal any significance link between exchange rate volatility and trade flows but once nonlinear adjustment of exchange rate volatility is introduced, the nonlinear model reveals significant link.

Design/methodology/approach

This paper uses the linear ARDL approach of Pesaran et al. (2001) and the nonlinear ARDL approach of Shin et al. (2014) to assess asymmetric effects of exchange rate volatility on trade flows between Germany and Turkey.

Findings

This paper consider the experiences of 75 2-digit industries that trade between Turkey and Germany. When the study assumed the effects of volatility to be symmetric, the study found short-run effects in 31 (30) Turkish (German) exporting industries that lasted into the long run in only 10 (13) Turkish (German) exporting industries. However, when the study assumed asymmetric effects and relied upon a nonlinear model, the study found short-run asymmetric effects of volatility on exports of 55 (56) Turkish (German) industries. Short-run asymmetric effects lasted into long-run asymmetric effects in 10 (25) Turkish (German) exporting industries. All in all, we found that almost 25% of trade is hurt by exchange rate volatility.

Originality/value

This is the first paper that assesses the possibility of asymmetric effects of exchange rate volatility on German–Turkish commodity trade.

中文翻译：

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汇率波动和土耳其-德国商品贸易：不对称分析

目的

本文的目的是表明，在某些行业中，线性模型可能不会揭示汇率波动与贸易流量之间的任何显着联系，但一旦引入汇率波动的非线性调整，非线性模型就会揭示显着联系。

设计/方法/方法

本文使用了 Pesaran等人的线性 ARDL 方法。(2001) 和 Shin等人的非线性 ARDL 方法。(2014) 评估汇率波动对德国和土耳其之间贸易流量的不对称影响。

发现

本文考虑了土耳其和德国之间贸易的 75 个 2 位数行业的经验。当研究假设波动性的影响是对称的时，研究发现 31 (30) 个土耳其（德国）出口行业的短期影响持续到只有 10（13）个土耳其（德国）出口行业的长期影响。然而，当该研究假设不对称效应并依赖于非线性模型时，该研究发现波动对 55 (56) 个土耳其（德国）行业的出口存在短期不对称影响。在 10 (25) 个土耳其（德国）出口行业中，短期不对称效应持续为长期不对称效应。总而言之，我们发现近 25% 的贸易受到汇率波动的影响。

原创性/价值

这是第一篇评估汇率波动对德国-土耳其商品贸易的不对称影响的可能性的论文。