Exchange rate uncertainty and domestic investment in Ghana

Figures & data

Table 1. Summary statistics

Statistic	ln I	ln Y	r	ln RER	VOL	VOL_SD
Mean	1.212	10.244	23.812	2.232	0.266	1.481
Median	1.324	10.219	21.775	2.088	0.017	1.250
Maximum	1.502	10.667	47.880	3.563	2.763	3.802
Minimum	0.528	9.9214	9.600	1.841	0.000	0.645
Std. dev.	0.263	0.223	10.410	0.418	0.626	0.712
Skewness	−1.259	0.370	0.794	1.899	2.795	1.614
Kurtosis	3.535	2.036	3.018	5.713	10.034	5.131
Jarque-Bera	9.941	2.217	3.783	32.698	121.120	22.463
p-value	0.006	0.330	0.150	0.000	0.000	0.000
Sum	43.661	368.795	857.250	80.357	9.603	53.335
Sum sq. dev.	2.438	1.741	3793.535	6.138	13.753	17.748
Observations	36	36	36	36	36	36

Notes: Std. dev. and Sum sq. dev. denote, respectively, standard deviation and sum of squared deviations. ln denotes the natural log operator.

Table 2. The main results

Lag	0	1	2	3	4
Selected model: ARDL (1, 3, 2, 4, 3)
Short-run
∆ln I
∆ln Y	4.155 [4.366]	3.694 [2.860]	4.604 [3.802]
∆r	−0.000 [−0.074]	−0.003 [−1.908]
∆ln RER	−0.943 [−7.136]	0.629 [3.059]	1.002 [5.626]	0.456 [2.196]
∆VOL	0.277 [3.220]	−0.354 [−4.626]	−0.156 [−1.849]
ECM(−1)	−0.896 [−7.150]
Long-run
Constant	12.793 [7.142]
ln Y	−0.686 [−3.305]
r	0.005 [4.208]
ln RER	−1.765 [−5.939]
VOL	0.604 [4.012]
Diagnostics
Adj. R^2	F-statistic	RESET	LM	BPG	CUSUM	CUSUMSQ
0.929	7.952	0.002 (0.963)	3.635 (0.161)	7.623 (0.974)	S	S

Notes: The values in the block parentheses are the t-statistics. p-values for the diagnostic tests are in the parentheses. S denotes stable.

Table 3. Results based on ARDL model restricted to two lags

Lag	0	1	2
Selected model: ARDL (1, 1, 0, 1, 0)
Short-run
∆ln I
∆ln Y	2.756 [3.094]
∆r	0.001 [0.956]
∆ln RER	−0.120 [−1.663]
∆VOL	0.144 [3.342]
ECM(−1)	−0.649 [−5.104]
Long-run
Constant	1.722 [5.110]
ln Y	0.011 [0.060]
r	0.004 [1.995]
ln RER	−0.798 [−3.160]
VOL	0.256 [1.820]
Diagnostics
Adj. R^2	F-statistic	RESET	LM	BPG	CUSUM	CUSUMSQ
0.942	4.297	0.343 (0.563)	3.004 (0.181)	7.879 (0.343)	S	S

Notes: The values in the block parentheses are the t-statistics. p-values for the diagnostic tests are in the parentheses. S denotes stable.

Table 4. Results based on optimal choice of lags using SIC

Lags	0	1	2	3	4
Selected model: ARDL (1, 3, 1, 4, 2)
Short-run
∆ln I
∆ln Y	4.287 [4.265]	2.197 [1.808]	3.460 [3.036]
∆r	−0.000 [-0.259]
∆ln RER	−0.855 [-7.188]	0.420 [2.172]	0.864 [4.889]	0.090 [1.780]
∆VOL	0.156 [1.926]	−0.281 [-3.685]
ECM(-1)	−0.830 [-7.427]
Long-run
Constant	9.816 [7.427]
ln Y	−0.713 [-2.487]
r	0.004 [2.918]
ln RER	−1.705 [-4.304]
VOL	0.514 [2.726]
Diagnostics
Adj. R^2	F-statistic	RESET	LM	BPG	CUSUM	CUSUMSQ
0.923	8.825	0.081(0.778)	3.181(0.206)	7.730(0.934)	S	S

Notes: The values in the block parentheses are the t-statistics. p-values for the diagnostic tests are in the parentheses. S denotes stable.

Table 5. Results based on annualised standard deviation measure of uncertainty

Lag	0	1	2	3	4
Selected model: ARDL (2, 4, 3, 1, 4)
Short-run
∆ln I		0.244 [1.723]
∆ln Y	3.590 [3.493]	−2.117 [−1.803]	2.006 [1.963]	−3.162 [−3.815]
∆r	0.000 [0.410]	−0.001 [−0.663]	−0.004 [−3.482]
∆ln RER	−0.634 [−5.427]
∆VOL_SD	0.014 [0.422]	−0.001 [−0.042]	0.091 [3.461]	−0.036 [−1.579]
ECM(−1)	−0.902 [−5.660]
Long-run
Constant	0.180 [4.498]
ln Y	0.203 [1.327]
r	0.006 [3.973]
ln RER	−0.461 [−2.515]
VOL_SD	0.160 [2.749]
Diagnostics
Adj. R^2	F-statistic	RESET	LM	BPG	CUSUM	CUSUMSQ
0.921	4.900	0.017 (0.896)	4.237 (0.120)	15.744 (0.610)	S	S

Notes: The values in the block parentheses are the t-statistics. p-values for the diagnostic tests are in the parentheses. S denotes stable.

Table 6. Results based on a VECM approach

Lags	1	2
Model: VECM(2)
Short-run
∆lnI	0.223 [2.189]	0.288 [1.415]
∆lnY	2.903 [2.568]	1.889 [0.452]
∆r	−0.001 [−0.531]	−0.003 [−1.343]
∆lnRER	−0.528 [−2.657]	−0.355 [−1.071]
∆VOL	0.158 [2.148]	−0.008 [−0.238]
ECM(−1)	−0.830 [−2.658]
Long-run
Variable	Coefficient
Constant	0.022 [0.606]
lnY	−0.777 [−3.874]
r	0.005 [3.122]
lnRER	−1.729 [−6.139]
VOL	0.891 [5.091]
Diagnostics
Adj. R^2	χ^2	LM	Joint JB	Stability	Trace	Max-eigen
0.558	338.014	22.254	8.422	S	19.574	12.368
	0.3769	0.6210	0.587		0.452	0.512

Notes: χ² is the χ² statistic for the heteroscedasticity test, LM is the Lagrange multiplier statistic for serial correlation test, Joint JB is the joint Jarque-Bera statistic for the normality test, Stability denotes the status of the model based on the inverse roots of an autoregressive characteristic polynomial function (see Iyke, 2015). Trace and Max-Eigen are, respectively, the Trace and the Maximum eigen-value statistics for the Johansen cointegration test. S denotes stable.

Iyke, B. N. (2015). Electricity consumption and economic growth in Nigeria: A revisit of the energy-growth debate. Energy Economics, 51, 166–176.10.1016/j.eneco.2015.05.024

 Web of Science ®Google Scholar