Asymmetry cointegration and the J-curve: New evidence from Malaysia-Singapore commodity trade

Bahmani‐Oskooee, Mohsen; Aftab, Muhammad; Harvey, Hanafiah

doi:10.1016/j.jeca.2016.10.001

Cited by 30 publications

(26 citation statements)

References 29 publications

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“…One major issue is that our model is linear and symmetric, that is, it treats exchange rate depreciation and appreciation shocks symmetrically, and therefore cannot draw inferences for how exchange rate appreciation and depreciation may affect the U.S. economy in asymmetric ways. There has been a growing interest along this line of research and evidence of nonlinearity of exchange rates has been documented (Bahmani‐Oskooee, Aftab, and Harvey ; Bahmani‐Oskooee and Saha ; Bussiere and Ignatieva and Ponomareva ). Second, the post–Bretton Woods period spans a long time and the U.S. economy has gone through the sub‐periods of Great Inflation, Great Moderation, and Post Great Recession.…”

Section: Resultsmentioning

confidence: 99%

Real Exchange Rate, Monetary Policy, and the U.S. Economy: Evidence From a Favar Model

Sun

2018

Economic Inquiry

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This paper examines the effects of exchange rate depreciation to the U.S. economy in a factor‐augmented vector autoregression model using monthly data of 148 variables for the post–Bretton Woods period of 1973–2017. Exchange rate shock is identified to reflect exogenous disturbances to the foreign exchange market, and movements in exchange rate that are not accounted for by changes in the U.S. monetary policy. We find that depreciation is expansionary and inflationary to the broad U.S. economy, the current account improves over time conforming to the J‐curve theory, and monetary policy is leaning against the wind. (JEL E3, E5, F31, F32, F41)

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Section: Resultsmentioning

confidence: 99%

Real Exchange Rate, Monetary Policy, and the U.S. Economy: Evidence From a Favar Model

Sun

2018

Economic Inquiry

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“…In order to also infer the short-run effects of all the exogenous variables we need to turn (1) into an errorcorrection specification [23].…”

Section: Propositionmentioning

confidence: 99%

A Non-Linear Regression Modeling is used for Asymmetry Co-Integration and Managerial Economics in Iraqi Firms

Azeez¹,

Han²,

Mahmood³

2017

ijacsa

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Abstract-This paper analyzes the cost asymmetry through managerial expectations in a nonlinear regression function. Two development determinants, asymmetry co-integration and managerial expectations are also considered. The results revealed that managerial expectation had an impact on the wholesale cost asymmetry response. The managerial optimism is pronounced that show cost asymmetry response for sales, and inventory assets increased higher than decreased with the changing of the expectation basic coefficient and the values of contract parameters. Finally, the impacts of the managerial expectations, cost basic coefficient, and values of the contract parameters are analyzed for illustrating the results of the proposed nonlinear models with the help of numerical experiments. The research examined the short-run and the long-run effects of asymmetry co-integration and managerial expectation changes on the cost behavior in Iraq using the nonlinear regression function.

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“…(), Bahmani‐Oskooee et al . (,), Bahmani‐Oskooee and Fariditavana (, ), Bahmani‐Oskooee and Ratha (, , ), Bahmani‐Oskooee and Xi () and Bahmani‐Oskooee and Zhang (), among others.…”

Section: Introductionmentioning

confidence: 99%

“… Bahmani‐Oskooee et al . (,) pointed out that since the ARDL approach “works for stationary as well as I(1) variables, preliminary unit‐root testing is not necessary since almost all macro variables are either I(0) or I(1).” Nonetheless, it remains crucial to check the unit‐root properties of variables since ARDL does not accommodate I(2) variables. …”

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confidence: 99%

An Investigation of China‐U.S. Bilateral Trade and Exchange Rate Changes Using the Autoregressive Distributed Lag Model

Hurley

Papanikolaou

2018

J of App Econs and Policy

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This paper examines how China's bilateral trade with the U.S. responds to exchange rate changes of the real Chinese yuan against the U.S. dollar using annual data covering the period 1985 to 2014. The short‐run dynamics of the China‐U.S. trade balance vs. the yuan's depreciation is examined through the S‐curve and J‐curve effects, and the long‐run relationship is established using the autoregressive distributed lag model. The paper found evidence of the S‐curve but not of the J‐curve in the short‐run although the J‐curve effect is found to be present in the long‐run. China's bilateral ratio of exports to imports with the U.S. is found to have an inelastic response to the yuan's exchange rate change against the U.S. dollar in the short‐run, but in the long‐run, it has the expected elastic response. Compared with the influence of the Yuan‐U.S. dollar exchange rate change and China's real income, U.S. real GDP has the largest impact on China‐U.S. bilateral trade relations in the long‐run. Additionally, the structural break in the data series in 2008 from the Great Recession had a small but significant short‐term effect on the bilateral trade between the two nations. Following an exchange rate shock, the deviation of China's trade ratio from its long‐run level takes less than 2 years to converge.

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Asymmetry cointegration and the J-curve: New evidence from Malaysia-Singapore commodity trade

Cited by 30 publications

References 29 publications

Real Exchange Rate, Monetary Policy, and the U.S. Economy: Evidence From a Favar Model

Real Exchange Rate, Monetary Policy, and the U.S. Economy: Evidence From a Favar Model

A Non-Linear Regression Modeling is used for Asymmetry Co-Integration and Managerial Economics in Iraqi Firms

An Investigation of China‐U.S. Bilateral Trade and Exchange Rate Changes Using the Autoregressive Distributed Lag Model

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