Bibliometrics Literature Revise on Exchange Rate: A Future Research Agenda

Muhammad Naeem, Hammad Ejaz Khan, Raza Ali

Abstract


This study aims to conduct a bibliometric citation and content analysis of the scholarly literature on the behavior and dynamics of the exchange rate (5,295 articles) over the past 85 years between 1935-2020. This research identifies five different research streams such as (i) Dynamics of the exchange rate; (ii) Exchange rate volatility using the autoregressive model; (iii) Relationship between exchange rate and interest rate; (iv) Impact of exchange rate volatility on growth, trade, and investment;  (v) Effects of exchange rate fluctuation on firms earning management. In addition to these research streams, the influential articles, authors, journals, organizations, and countries have been evaluated through network diagrams. Finally, sixteen future research questions have been developed through content analysis. How to Cite:
Naeem, M., Khan, H. E., & Ali, R. (2022). Bibliometric Literature Review on Exchange Rate: A Future Research Agenda. Etikonomi 21(1), 41-54. https://doi.org/10.15408/etk.v21i1.22412.

Keywords


exchange rate; volatility; behavior; content analysis; bibliometric citation analysis

References


Aghion, P., Bacchetta, P., Ranciere, R., & Rogoff, K. (2009). Exchange Rate Volatility and Productivity Growth: The Role of Financial Development. Journal of Monetary Economics, 56(4), 494-513.

Agramunt, L. F., Berbel-Pineda, J. M., Capobianco-Uriarte, M. M., & Casado-Belmonte, M. P. (2020). Review on the Relationship of Absorptive Capacity with Interorganizational Networks and the Internationalization Process. Complexity, 2020, 7604579. https://doi.org/10.1155/2020/7604579.

Ahmed, F., Owais, M., Kumari, S., & Rajjani, R. (2018). Exchange Rate Pass-through to Macroeconomic Indicators Using Vector Auto Regression: Empirical Evidence from Pakistan. Theoretical & Applied Economics, 25(3), 61-75.

Aloui, C., Hkiri, B., Hammoudeh, S., & Shahbaz, M. (2018). A Multiple and Partial Wavelet Analysis of the Oil Price, Inflation, Exchange Rate, and Economic Growth Nexus in Saudi Arabia. Emerging Markets Finance and Trade, 54(4), 935-956. https://doi.org/10.1080/1540496X.2017.1423469.

Andersen, T. G., Bollerslev, T., Diebold, F. X., & Vega, C. (2003). Micro Effects of Macro Announcements: Real-time Price Discovery in Foreign Exchange. American Economic Review, 93(1), 38-62.

Andersen, T. M., & Chiriaeva, J. (2007). Exchange Rate Pegs, Fiscal Policy, and Credibility. Open Economies Review, 18(1), 53-76.

Aria, M., & Cuccurullo, C. (2017). Bibliometric: An R-tool for Comprehensive Science Mapping Analysis. Journal of Informetrics, 11(4), 959-975.

Bahmani-Oskooee, M., & Gelan, A. (2018). Exchange-rate Volatility and International Trade Performance: Evidence from 12 African Countries. Economic Analysis and Policy, 58, 14-21.

Bahoo, S., Alon, I., & Paltrinieri, A. (2020). Corruption in International Business: A Review and Research Agenda. International Business Review, 29(4), 101660.

Bartov, E., & Bodnar, G. M. (1994). Firm Valuation, Earnings Expectations, and the Exchange‐Rate Exposure Effect. The Journal of Finance, 49(5), 1755-1785.

Bates, D. S. (1996). Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options. The Review of Financial Studies, 9(1), 69-107.

Bekaert, G. (1994). Exchange Rate Volatility and Deviations from Unbiasedness in a Cash-in-Advance Model. Journal of International Economics, 36(1-2), 29-52.

Betts, C., & Devereux, M. B. (2000). Exchange Rate Dynamics in a Model of Pricing-to-Market. Journal of International Economics, 50(1), 215-244.

Bouakez, H., & Kano, T. (2008). Terms of Trade and Current Account Fluctuations: The Harberger–Laursen–Metzler Effect Revisited. Journal of Macroeconomics, 30(1), 260-281.

Boubakri, S., Guillaumin, C., & Silanine, A. (2019). Non-linear Relationship Between Real Commodity Price Volatility and Real Effective Exchange Rate: The Case of Commodity-Exporting Countries. Journal of Macroeconomics, 60, 212-228.

Bulut, L. (2018). Google Trends and the Forecasting Performance of Exchange Rate Models. Journal of Forecasting, 37(3), 303-315.

Byrne, J. P., Korobilis, D., & Ribeiro, P. J. (2018). On the Sources of Uncertainty in Exchange Rate Predictability. International Economic Review, 59(1), 329-357.

Calvo, G. A., & Reinhart, C. M. (2002). Fear of Floating. The Quarterly Journal of Economics, 117(2), 379-408.

Cainelli, G., Maggioni, M. A., Uberti, T. E., & De Felice, A. (2012). Co-Authorship and Productivity Among Italian Economists. Applied Economics Letters, 19(16), 1609-1613.

Carter, D. A., Rogers, D. A., Simkins, B. J., & Treanor, S. D. (2017). A Review of the Literature on Commodity Risk Management. Journal of Commodity Markets, 8, 1-17.

Casarin, R., Sartore, D., & Tronzano, M. (2018). A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets. Journal of Business & Economic Statistics, 36(1), 101-114.

Devereux, M. B., & Engel, C. (2003). Monetary Policy in the Open Economy Revisited: Price Setting and Exchange-rate Flexibility. The Review of Economic Studies, 70(4), 765-783.

Diebold, F. X., & Nason, J. A. (1990). Nonparametric Exchange Rate Prediction?. Journal of International Economics, 28(3-4), 315-332.

Diebold, F. X., & Nerlove, M. (1989). The Dynamics of Exchange Rate Volatility: a Multivariate Latent Factor ARCH Model. Journal of Applied Econometrics, 4(1), 1-21.

Domowitz, I., & Hakkio, C. S. (1985). Conditional Variance and the Risk Premium in the Foreign Exchange Market. Journal of International Economics, 19(1-2), 47-66.

Dumas, B. (1992). Dynamic Equilibrium and The Real Exchange Rate in a Spatially Separated World. The Review of Financial Studies, 5(2), 153-180.

Engle, R. F. (1990). Stock Volatility and The Crash of'87: Discussion. The Review of Financial Studies, 3(1), 103-106.

Evans, M. D., & Lyons, R. K. (2002). Order Flow and Exchange Rate Dynamics. Journal of Political Economy, 110(1), 170-180.

Frankel, J. A., & Froot, K. (1990). Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market. National Bureau of Economic Research No. w3470.

Frankel, J. A., & Froot, K. A. (1987). Short-Term and Long-term Expectations of The Yen/dollar Exchange Rate: Evidence from Survey Data. Journal of the Japanese and International Economies, 1(3), 249-274.

Fratzscher, M., Gloede, O., Menkhoff, L., Sarno, L., & Stöhr, T. (2019). When is Foreign Exchange Intervention Effective? Evidence from 33 Countries. American Economic Journal: Macroeconomics, 11(1), 132-56.

French, D., & Vigne, S. (2019). The Causes and Consequences of Household Financial Strain: A Systematic Review. International Review of Financial Analysis, 62, 150-156.

Frenkel, J. A. (1976). A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence. The Scandinavian Journal of Economics, 78(2), 200-224.

Freund, C., & Warnock, F. (2007). Current Account Deficits in Industrial Countries: the Bigger They are, the Harder They Fall?. NBER Working Paper No. 11823.

Gali, J., & Monacelli, T. (2005). Monetary Policy and Exchange Rate Volatility in a Small Open Economy. The Review of Economic Studies, 72(3), 707-734.

Gaur, A., & Kumar, M. (2018). A Systematic Approach to Conducting Review Studies: An Assessment of Content Analysis in 25 Years of IB Research. Journal of World Business, 53(2), 280-289.

Gil-Alana, L. A., & Carcel, H. (2020). A Fractional Cointegration VAR Analysis of Exchange Rate Dynamics. The North American Journal of Economics and Finance, 51, 100848.

Guzman, M., Ocampo, J. A., & Stiglitz, J. E. (2018). Real Exchange Rate Policies for Economic Development. World Development, 110, 51-62.

Hsieh, D. (1989). Testing for Nonlinearity in Daily Foreign Exchange Rate Changes. Journal of Business, 62(3), 339-368.

Huntington, H. G. (2015). Crude Oil Trade and Current Account Deficits. Energy Economics, 50, 70-79. https://doi.org/10.1016/j.eneco.2015.03.030.

Jorion, P. (1990). The Exchange-Rate Exposure of US Multinationals. Journal of Business, 63(3), 331-345.

Jorion, P. (1995). Predicting Volatility in the Foreign Exchange Market. The Journal of Finance, 50(2), 507-528.

Kesriyeli, M., Özmen, E., & Yiğit, S. (2005). Corporate Sector Debt Composition and Exchange Rate Balance Sheet Effect in Turkey. Central Bank of Turkey Working Paper No. 0516.

Kim, S., & Roubini, N. (2000). Exchange Rate Anomalies in the Industrial Countries: A Solution with a Structural VAR Approach. Journal of Monetary Economics, 45(3), 561-586. https://doi.org/10.1016/S0304-3932(00)00010-6.

Kouri, P. J. (1976). The Exchange Rate and the Balance of Payments in the Short run and the Long run: A Monetary Approach. The Scandinavian Journal of Economics, 78(2), 280-304.

Kumar, S. (2019). Asymmetric Impact of Oil Prices on Exchange Rate and Stock Prices. The Quarterly Review of Economics and Finance, 72, 41-51.

Levy-Yeyati, E., & Sturzenegger, F. (2003). To Float or to Fix: Evidence on the Impact of Exchange Rate Regimes on Growth. American Economic Review, 93(4), 1173-1193.

Levy-Yeyati, E., & Sturzenegger, F. (2005). Classifying Exchange Rate Regimes: Deeds vs. Words. European Economic Rview, 49(6), 1603-1635.

Lothian, J. R., & Taylor, M. P. (1996). Real Exchange Rate Behavior: the Recent Float from the Perspective of the Past Two Centuries. Journal of political economy, 104(3), 488-509.

Mauro, P. (1995). Corruption and Growth. The Quarterly Journal of Economics, 110(3), 681-712.

Meese, R. A., & Rogoff, K. (1983). Empirical Exchange Rate Models of the Seventies: Do They Fit out of Sample?. Journal of International Economics, 14(1-2), 3-24.

Meese, R., & Rogofb, K. (1988). Was It Real? The Exchange Rate-Interest Differential Relation Over the Modern Floating-Rate Period. The Journal of Finance, 43(4), 933-948.

Müller, U. A., Dacorogna, M. M., Olsen, R. B., Pictet, O. V., Schwarz, M., & Morgenegg, C. (1990). A Statistical Study of Foreign Exchange Rates, Empirical Evidence of a Price Change Scaling Law, and Intraday Analysis. Journal of Banking & Finance, 14(6), 1189-1208. https://doi.org/10.1016/0378-4266(90)90009-Q.

Mussa, M. (1979). Empirical Regularities in the Behavior of Exchange Rates and Theories of the Foreign Exchange Market. Carnegie-Rochester Conference Series on Public Policy, 111, 9-57. https://doi.org/10.1016/0167-2231(79)90034-4..

Njindan Iyke, B. (2020). The Disease Outbreak Channel of Exchange Rate Return Predictability: Evidence from COVID-19. Emerging Markets Finance and Trade, 56(10), 2277-2297.

Obstfeld, M., & Rogoff, K. (1995). Exchange Rate Dynamics Redux. Journal of Political Economy, 103(3), 624-660.

Patton, A. J. (2006). Modelling Asymmetric Exchange Rate Dependence. International Economic Review, 47(2), 527-556.

Paltrinieri, A., Hassan, M. K., Bahoo, S., & Khan, A. (2019). A Bibliometric Review of Sukuk Literature. International Review of Economics & Finance, In-Press. https://doi.org/10.1016/j.iref.2019.04.004.

Rath, K., & Wohlrabe, K. (2016). Recent Trends in Co-Authorship in Economics: Evidence from RePEc. Applied Economics Letters, 23(12), 897-902.

Sommer, V., & Wohlrabe, K. (2017). Citations, Journal Ranking and Multiple Authorships Reconsidered: Evidence from Almost One Million Articles. Applied Economics Letters, 24(11), 809-814.

Sharma, C., & Pal, D. (2018). Exchange Rate Volatility and India's Cross-Border Trade: A Pooled Mean Group and Nonlinear Cointegration Approach. Economic Modelling, 74, 230-246.

Tang, X., & Yao, X. (2018). Do Financial Structures Affect Exchange Rate and Stock Price Interaction? Evidence from Emerging Markets. Emerging Markets Review, 34, 64-76.

Terán-Yépez, E., Marín-Carrillo, G. M., del Pilar Casado-Belmonte, M., & de las Mercedes Capobianco-Uriarte, M. (2020). Sustainable Entrepreneurship: Review of Its Evolution and New Trends. Journal of Cleaner Production, 252, 119742. https://doi.org/10.1016/j.jclepro.2019.119742.

Usman, O., & Elsalih, O. M. (2018). Testing the Effects of Real Exchange Rate Pass-Through to Unemployment in Brazil. Economies, 6(3), 49-60. https://doi.org/10.3390/economies6030049.

Wen, F., Xiao, J., Huang, C., & Xia, X. (2018). Interaction Between Oil and US Dollar Exchange Rate: Nonlinear Causality, Time-varying Influence and Structural Breaks in Volatility. Applied Economics, 50(3), 319-334.

Winkler, A., Mazzaferro, F., Nerlich, C., & Thimann, C. (2004). Official Dollarisation/Euroisation: Motives, Features and Policy Implications of Current Cases. ECB Occasional Paper No. 11.

Zhou, S., & Mahdavi, S. (1996). Simple vs. Generalized Interest Rate and Purchasing Power Parity Models of Exchange Rates. The Quarterly Review of Economics and Finance, 36(2), 197-218.

Zupic, I., & Čater, T. (2015). Bibliometric Methods in Management and Organization. Organizational Research Methods, 18(3), 429-472.


Full Text: PDF

DOI: 10.15408/etk.v21i1.22412

Refbacks

  • There are currently no refbacks.




Copyright (c) 2022 Authors

Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.