Asymmetry cointegration and the J-curve: new evidence from Africa

Mohsen Bahmani-Oskooee and Augustine Chuck Arize

Journal of Economic Studies, 2020, vol. 47, issue 5, 969-984

Abstract: Purpose - The purpose is to assess the asymmetric effects of exchange rate changes on the trade balance using data from African nations. Design/methodology/approach - The methodology is based on the most recent development in asymmetry cointegration and error-correction modeling. Findings - While the authors find short-run asymmetric effects in many of the countries in their sample, asymmetry cointegration yields support for the new definition of the J-curve in Algeria, Cameroon, Ethiopia, Morocco, Tanzania and Zambia. Originality/value - This is the first study that applies nonlinear ARDL approach of Shinet al.(2014) using data from each of the 13 countries in Africa.

Keywords: Nonlinear ARDL approach; Asymmetry analysis; The trade balance; The exchange rate; African countries; F31 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eme:jespps:jes-09-2018-0333

DOI: 10.1108/JES-09-2018-0333

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