Asymmetric Effects of Exchange Rate Changes on Domestic Production and Stock Prices in Pakistan
Author: Shujaat Hussain

This study focuses on examining the nature of impact i.e. ‘Symmetric or Asymmetric’, of exchange rate on output and stock prices in Pakistan. The study uses Linear and Non-linear Autoregressive Distributed Lag models on monthly data of macro-economic variables from the period January 2001 to November 2017. From the results, the study concludes that exchange rate has asymmetric impact on output in both short-run and long run while impact on stock prices is asymmetric in the short-run only. Moreover, results revealed that different sectors of the economy react differently to the changes in macroeconomic variables and exchange rate. Exchange rate changes have been found to have asymmetric effects on the stock price indices of three sectors (Energy, Cement and Textile) in Pakistan. The study recommends various policies that can be implemented to avoid exchange rate fluctuation risk. Supervisor: Dr. Hafsa Hina

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Supervisor: Hafsa Hina

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