Is the effect of exchange rate volatility on export diversification symmetric or asymmetric? Evidence from Ghana

Figures & data

Table 1. Long run results for export diversification

Variable	Linear ARDL model	Nonlinear ARDL model
LGDPca	0.035003**	0.059549*
	(0.014863)	(0.018442)
LGFC	0.126228**	0.130281**
	(0.054488)	(0.063047)
Tel	0.125056**	0.126675***
	(0.061934)	(0.070905)
ExVol	−0.068557**	–
	(0.026729)
ExPos	–	−0.050065**
		(0.021970)
ExNeg	–	0.047353***
		(0.013701)
INF	−0.011287***	−0.011570***
	(0.001749)	(0.001840)
OPEN	0.003602*	0.013497***
	(0.001784)	(0.002700)
C	0.739595	0.171233

Source: Author’s own computation using EVIEWS version 9.

Note: Figures in brackets are standard errors.

* Represent significance at 10%.

** Represent significance at 5%.

*** Represent significance at 1%.

Table 2. Short run results for export diversification

Variable	Linear ARDL model	Non-Linear ARDL (model)
D(LGDPca)	0.142205**	0.113763**
	(0.069138)	(0.045852)
D(LGDPca(-1))	0.252310***	–
	(0.057661)
D(LGFC)	0.113417***	0.115675***
	(0.037067)	(0.035245)
D(LGFC(-1))	–	0.165632***
		(0.030508)
D(TEL)	0.092388***	0.088900***
	(0.028239)	(0.025306)
D(ExVol)	−0.011695*	–
	(0.006417)
D(ExVol(-1)	−0.022531	–
	(0.000588)
D(ExPos)	–	−0.033028***
		(0.006322)
D(ExNeg)	–	0.014754***
		(0.003940)
D(ExNeg(-1))	–	0.011488***
		(0.004170)
D(INF)	−0.001541**	−0.001318**
	(0.000588)	(0.000539)
D(OPEN)	0.003049***	0.001001
	(0.000974)	(0.000720)
D(OPEN(-1))	–	0.002166***
		(0.000717)
Ecm(-1)	−0.749822***	−0.552692***
	(0.107658)	(0.097200)

Note: Figures in brackets are standard errors.

Source: Author’s own computation using EVIEWS version 9.

* Represent significance at 10%.

** Represent significance at 5%.

*** Represent significance at 1%.

Table 3. Diagnostic test results

Test	Linear ARDL model		Non-linear ARDL model
	F-statistic	p-value	F-statistic	p-value
Serial correlation	0.825585	0.4569	0.737009	0.4975
Heteroskedasticity	1.469171	0.2279	0.509019	0.8966
Normality	0.435987	0.8041	1.293267	0.5238
Functional form	1.31920	0.2687	2.593605	0.1128
CUSUM	–	Stable	–	Stable
SUSUMSQ	–	Stable	–	Stable

Source: Author’s computation using EVIEWS version 9.

Table

	Augmented Dickey–Fuller test		Philips–Perron test		Order of cointegration
Variable	Trend & intercept	Intercept	Trend & intercept	Intercept
Dindex	−4.354876	−4.281417	−4.360114	−4.426270	I(0)
LGDPca	−3.892590	−0.046551	−1.751856	−0.261951
LGFC	−2.427059	−2.869530	−2.396374	−2.871499
Inf	−3.970342	−3.568561	−3.909136	−3.637215	I(0)
Open	−2.535438	−1.664484	−2.402363	−1.225187
Tel	−5.198127	−5.276934	−5.198521	−5.281354

Table

Variable	Augmented Dickey–Fuller test		Philips–Perron test		Order of cointegration
	Intercept	Trend & intercept	Intercept	Trend & intercept
Dindex	−7.580797	−7.458174	−7.580787	−7.458174
LGDPca	−4.030291	−1.915286	−3.980966	−3.830023	I(1)
LGFC	−5.417768	−5.469206	−5.440071	−5.520604	I(1)
Inf	−5.029325	−4.901858	−14.30383	−15.52766
Open	−5.138347	−5.037602	−8.340196	−8.131603	I(1)
Tel	−5.214051	−8.492758	−7.054467	−7.012026	I(1)
Exvol	−8.611608	−8.437094	−14.02546	−19.43890

Table

Significance	Lower bound	Upper bound
10%	1.99	2.94
5%	2.27	3.28
2.5%	2.55	3.61
1%	2.88	3.99
Test statistic	Value	k
F-statistic	3.60	6