Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework

Shin, Yongcheol; Yu, Byungchul; Greenwood‐Nimmo, Matthew

doi:10.1007/978-1-4899-8008-3_9

Cited by 2,096 publications

(1,546 citation statements)

References 46 publications

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“…The J-curve is supported if the normalized coefficients 4 / 1 and 5 / 1 are positive and statistically significant. 5 Shin et al (2014) have shown that the bounds testing procedure of Pesaran et al (2001) is applicable in this case, meaning that we can verify the existence of cointegration by testing the hypothesis that 1 = 2 = 3 = 4 = 5 = 0. In what follows, we report and discuss the empirical results obtained by taking these models to data.…”

Section: Empirical Methodsologymentioning

confidence: 99%

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The Real Exchange Rate, the Ghanaian Trade Balance, and the J-curve

Iyke

2017

Journal of African Business

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Section: Empirical Methodsologymentioning

confidence: 99%

“…The nonlinear ARDL model is a model recently developed by Shin et al (2014). Unlike the linear ARDL model developed by Pesaran et al (2001), the nonlinear ARDL model accounts for nonlinearities in the movements of variables.…”

Section: Introductionmentioning

confidence: 99%

The Real Exchange Rate, the Ghanaian Trade Balance, and the J-curve

Iyke

2017

Journal of African Business

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“…The popular time series approach for testing asymmetries in all the above studies is the distributed lag model. Accordingly, following Shin et al (2014), a nonlinear asymmetric cointegration technique to test both the long run and short run asymmetries in a coherent way is applied. 5 In particular, the NARDL introduces the short run and long run nonlinearities in the positive and negative partial sum decompositions of the independent variables.…”

Section: The Asymmetric Dynamic Unemployment-output Tradeoff Modelmentioning

confidence: 99%

“…Since the incorrect asymmetry restrictions could jeopardise the identification of the long run relationship and affect the dynamic multipliers (Shin et al, 2014), we need to further confirm the dominance of the output shocks. Thus, Table 5 Table 4, the dynamic asymmetric estimation of the unemployment-output tradeoff in France suggests that both the long run and short run correlation are symmetric.…”

Section: Dynamic Multipliersmentioning

confidence: 99%

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Asymmetric unemployment-output tradeoff in the Eurozone

Tang

Bethencourt

2017

Journal of Policy Modeling

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This study investigates the asymmetric unemployment-output tradeoff in the Eurozone.Building upon the augmented Okun's law framework, the relationships between unemployment and output cannot be correctly specified in the static linear, static asymmetric and dynamic linear regressions. By contrast, the nonlinear autoregressive distributed lag (NARDL) model is well-specified and in this case indicates that the nature of Okun's law is asymmetric.For the Eurozone, the NARDL estimates demonstrate that labour markets quickly respond to cyclical outputs in a short period, while the adjustments towards new equilibrium become weak in the long run. Furthermore, the cross-sectional analysis of long run asymmetries indicates that government spending and trade balance are key factors affecting the asymmetric unemployment-output tradeoff. Thus, these results seem to suggest that, in spite of the fact that member states lack monetary sovereignty, flexible application of fiscal reforms or labour market reforms could help to reduce asymmetric effects. JEL Codes: C22, E32, J64.Keywords: unemployment-output tradeoff, nonlinear autoregressive distributed lag (NARDL), asymmetry determinants. * We thank Matthew Greenwood-Nimmo and Hanan Naser for their insightful comments on a previous version. The remaining errors are our own.

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Gravity Models and Asymmetric Exchange Rate Effects: Insights from German Beer Exports

Dreyer

Fedoseeva

2016

Agribusiness

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Recent developments in trade literature suggest that in the presence of strategic pricing in some markets and an incomplete exchange rate pass-through resulting from it, the standard gravity model has to be augmented with an exchange rate variable. As symmetry of pass-through has been questioned in new pricing-to-market (PTM) studies, we argue that this asymmetric impact of the exchange rate on trade should be explicitly modeled within the gravity framework. This consideration of asymmetric effects of exchange rate appreciations and depreciations on export values and quantities might provide insights into the driving forces of PTM in a particular market (or group of markets) given that the existing literature emphasizes two main hypotheses that explain the occurrence of an asymmetric PTM (market share hypothesis and marketing bottleneck hypothesis). In this paper, we propose a way to integrate individual (asymmetric) long-run effects of currency appreciations and depreciations on trade flows into the gravity model and empirically investigate which of the driving forces is relevant for the case of German beer exports. PTM studies often argue that the market share protection is a reason for local currency price stabilization mechanisms applied in the most important markets. Yet, the results of our analysis reveal that this might no longer be the case when all trading partners are considered. [EconLit citations: C33; F14; L66]. C 2016 Wiley Periodicals, Inc.

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Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework

Cited by 2,096 publications

References 46 publications

The Real Exchange Rate, the Ghanaian Trade Balance, and the J-curve

The Real Exchange Rate, the Ghanaian Trade Balance, and the J-curve

Asymmetric unemployment-output tradeoff in the Eurozone

Gravity Models and Asymmetric Exchange Rate Effects: Insights from German Beer Exports

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