Testing Nonlinear Dynamics in Terms of Trade with Aggregated Data: Implications for Economic Growth Models

Škare, Marinko; Tomić, Daniel; Rochoń, Małgorzata Porada

doi:10.5755/j01.ee.30.3.23446

Cited by 3 publications

(4 citation statements)

References 13 publications

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“…The simplicity and intuitive qualities of linear models have dominated theoretical and applied economics and econometrics for most of the 20th century [18]. However, due to the possibility of nonlinear relationships in time series data, nonlinear models are starting to gain attention.…”

Section: Methodsmentioning

confidence: 99%

“…However, due to the possibility of nonlinear relationships in time series data, nonlinear models are starting to gain attention. The assumption of linearity in linear models can result in stationary solutions that converge to a point with a tendency towards infinity, and they may fail to explain nonlinear phenomena in natural sciences [18]. The applicability of the Vector Error Correction Model (VECM) assumes linear behavior in time series data.…”

Section: Methodsmentioning

confidence: 99%

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Asymmetric Price Transmission Analysis of the International Soybean Market

Martignone¹,

Paparas²,

Behrendt³

2023

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This study analyzed the asymmetric price transmission in the international soybean market, using data from the US (Chicago Futures), European (Rotterdam), Brazilian (Paranaguá), Argentinian (Rosario Futures and Rosario Spot), and Chinese (Spot and Futures) markets. The study looked at the price transmission between these markets over a period of almost 10 years, from September 2009 to May 2019. The Phillips-Perron unit root test was used to determine the order of integration of the time series. The Engle-Granger cointegration test failed to find any evidence of cointegration between the Chinese and Argentinian markets with any others of the international markets. The lack of cointegration was associated with highly government intervened markets. The cointegration and threshold test proposed by Enders and Siklos, succeeded in rejecting the Null hypothesis and finding cointegration among the series after structural breaks had been taken into account. The BDS test for nonlinearity showed that most of the time series were nonlinear, which prompted the investigation to look into nonlinear modelling. To evaluate asymmetric price transmission, the study used the Threshold autoregressive (TAR) model and the momentum threshold model (MTAR). The Argentine and Chinese markets were primarily suspected of exhibiting asymmetric price transmission due to structural government intervention. However, the test results failed to reject the null hypothesis and revealed asymmetric price transmission between these markets and the international market. As expected, the results found no evidence of asymmetric price transmission in the Paranaguá, Rotterdam, and Chicago markets. Hence, it can be concluded that symmetric price transmission is more prevalent in the global soybean market than asymmetric price transmission.

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Section: Methodsmentioning

confidence: 99%

Section: Methodsmentioning

confidence: 99%

Asymmetric Price Transmission Analysis of the International Soybean Market

Martignone¹,

Paparas²,

Behrendt³

2023

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“…For a start, we use the standard BDS (Broock, Scheinkman, Dechert and LeBaron) test for nonlinear dependence for both the individual series and the ARDL model residuals (Broock et al , 1996). A rejection of the null of independently and identically distributed data against the alternative of nonlinear dependence suggests that the NARDL model is more suitable than the ARDL one for the series under examination (Skare et al , 2019). We also test for the possible presence of structural breaks by employing the CUSUM (cumulative sum) test for parameter stability and carry out other diagnostic tests and parameter symmetry tests after the estimation has been performed.…”

Section: Empirical Frameworkmentioning

confidence: 99%

Nonlinearities and asymmetric adjustment to PPP in an exchange rate model with inflation expectations

Anderl

Caporale

2021

JES

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PurposeThis paper aims to explain real exchange rate fluctuations by means of a model including both standard fundamentals and two alternative measures of inflation expectations for five inflation targeting countries (the UK, Canada, Australia, New Zealand and Sweden) over the period January 1993–July 2019.Design/methodology/approachBoth a benchmark linear autoregressive distributed lag (ARDL) model and a nonlinear autoregressive distributed lag (NARDL) specification are considered.FindingsThe results suggest that the nonlinear framework is more appropriate to capture the behaviour of real exchange rates given the presence of asymmetries both in the long and short run. In particular, the speed of adjustment towards the purchasing power parity (PPP) implied long-run equilibrium is three times faster in a nonlinear framework, which provides much stronger evidence in support of PPP. Moreover, inflation expectations play an important role, with survey-based ones having a more sizable effect than market-based ones.Originality/valueThe focus on linearities and the estimation of a NARDL model, which is shown to outperform the linear ARDL model both within sample and out of sample, is an important contribution to the existing literature which has rarely applied this type of framework; the choice of an appropriate econometric method also makes the policy implications of the analysis more reliable; in particular, monetary authorities should aim to achieve a high degree of credibility to manage them and thus currency fluctuations effectively; the inflation targeting framework might be especially appropriate for this purpose.

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“…In macroeconomic modelling (dynamic models of the creative industries included), it is important to detect whether there is nonlinearity in terms of growth, for misinterpretation of the data could guide towards model misspecification by using linear models. A failure to recognize and deal with the presence of nonlinearity in the generating mechanism of a time series can often lead to poorly behaved parameter estimates and models who miss significant serial dependencies altogether [9].…”

Section: Introductionmentioning

confidence: 99%

Dynamic Models of the Creative Industries’ Entities in the Globalized Environment

Trúchliková

Barteková

2021

SHS Web of Conf.

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Research background: The creative industries, from this point of view, have dynamic and not just static economic value. They supply the economic growth and development over and above their addition to culture and society. Purpose of the article: The aim of this paper is to analyse the two models that present the two potential answers to the research question: namely expansion and modernization. This paper will summarize these two models and assemble a sample of remaining evidence to set up the process of separating among them. Methods: However, this paper does not seek a complete study. For that, a much more precise approach to modelling, data and statistical analysis would be required. We provide here only a concept of the classes of models suggested and an explanation of how different sorts of data might be applied to them. The model of economic growth actively involves the creative industries in the growth of the whole economy. The second model – model of innovation as suggested for the effect of science, education and technology in the national systems of innovation approach. The creative industries, in the second model, come from and integrate change in the knowledge base of the economy. Findings & Value added: We proposed the two possible primary relations between the creative industries’ entities and the rest of the economy. We define the relation of each model to various theoretical foundations and the relevant policy framework in each situation.

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Testing Nonlinear Dynamics in Terms of Trade with Aggregated Data: Implications for Economic Growth Models

Cited by 3 publications

References 13 publications

Asymmetric Price Transmission Analysis of the International Soybean Market

Asymmetric Price Transmission Analysis of the International Soybean Market

Nonlinearities and asymmetric adjustment to PPP in an exchange rate model with inflation expectations

Dynamic Models of the Creative Industries’ Entities in the Globalized Environment

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