Extreme exchange rate dynamics and export trade in the selected oil-exporting countries in Africa. Multiple asymmetric threshold non-linear ARDL approach

Abstract

This study examines the impact of extremely small and extreme large variations in the exchange rate on export trade of selected oil-exporting countries in Africa over the period 1981Q1–2020Q4. The standard non-linear ARDL provides inconsistency among the estimates, shows the unreliable diagnostic test, and cannot account for the effects of extreme variations in the exchange rate. Multiple asymmetric threshold non-linear ARDL is more superior and revealed a robust long-run asymmetric between exchange rate variation and export with the exclusion of Nigeria (symmetric) and short-run asymmetric for all the countries. On the parameter estimates, the findings indicate that the effects of extremely large changes in the exchange rate major and minor appreciation/depreciation significantly differ from the effects of extremely small changes in the exchange rate on export trade which is linked to exchange rate practices in various countries. However, the effects on the short-run show a great deal of inconsistency across the quantile. In contrast, Algeria is unaffected by exchange rate major/minor variations in all quantiles of positive and negative shocks. Consequently, policy implications for the selected countries are discussed within the manuscript.

KEYWORDS:

• Oil-exporting countries
• MATNARDL
• exchange rate
• export trade
• Africa
• asymmetric

JEL Classifications:

• F31
• C23
• C24
• E42
• N77

Disclosure statement

No potential conflict of interest was reported by the author(s).

Data availability statement

The data that support the findings of this study are available from the corresponding author upon reasonable request.