Asymmetric cointegration and the J-Curve: Evidence from commodity trade between Turkey and EU

Mohsen Bahmani-Oskooee and Nazif Durmaz

MPRA Paper from University Library of Munich, Germany

Abstract: In testing the effects of exchange rate changes on the trade balance, the emphasis has now shifted towards application of asymmetric cointegration and error-correction modeling. Such approach that introduces nonlinear adjustment of the exchange rate yields results that are different than linear models. When we apply these new advanced techniques to the trade balance of 57 industries that trade between Turkey and EU, indeed we find short-run asymmetry effects in all industries, short run adjustment asymmetry in 24 industries, short-run impact asymmetry in 17 industries, and long-run asymmetry effects in 23 industries. Small and large industries seem to be subject to the same asymmetry effects.

Keywords: Asymmetric Cointegration; Nonlinear ARDL; Turkish-EU Trade; Industry data; J-Curve. (search for similar items in EconPapers)
JEL-codes: F1 F3 (search for similar items in EconPapers)
Date: 2016-01-12, Revised 2016-05-14
New Economics Papers: this item is included in nep-ara
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Asymmetric cointegration and the J-curve: evidence from commodity trade between Turkey and EU (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:83183

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