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

Mohsen Bahmani-Oskooee, Muhammad Aftab and Hanafiah Harvey

The Journal of Economic Asymmetries, 2016, vol. 14, issue PB, 211-226

Abstract: One previous research examined the short-run and the long-run effects of exchange rate changes on the Malaysian trade balance with each of its 11 largest partners using the linear and nonlinear ARDL models. No significant impact was discovered in the Malaysian model with its largest partner, Singapore. In this paper when we disaggregate their trade flows by 65 industries which conduct 91% of the trade, we discover the short-run asymmetric effects of exchange rate changes on the trade balance of almost all industries, adjustment asymmetry in 31 industries, short-run significant impact or cumulative asymmetric effect in 10 industries, and significant long-run asymmetric effects in 20 industries. The two largest industries, i.e., Petroleum and Electrical machinery with 40% share of trade were found to benefit from ringgit depreciation but not hurt by ringgit appreciation.

Keywords: Nonlinear ARDL; Asymmetry; 65 Industries; Malaysia; Singapore (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:joecas:v:14:y:2016:i:pb:p:211-226

DOI: 10.1016/j.jeca.2016.10.001

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