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Asymmetric cointegration and the J-curve: evidence from commodity trade between Turkey and EU

Mohsen Bahmani-Oskooee () and Nazif Durmaz ()

Empirica, 2020, vol. 47, issue 4, No 3, 757-792

Abstract: Abstract In this paper, we assess the asymmetric effects of exchange rate changes on the trade balance of 57 industries that trade between Turkey and EU. Since the analysis introduces nonlinear adjustment of the exchange rate, we find results that are different than previous research. More precisely, 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: F14 F31 (search for similar items in EconPapers)
Date: 2020
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Working Paper: Asymmetric cointegration and the J-Curve: Evidence from commodity trade between Turkey and EU (2016) Downloads
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DOI: 10.1007/s10663-019-09455-4

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