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Asymmetric cointegration and the J-curve: new evidence from commodity trade between the U.S. and Canada

Mohsen Bahmani-Oskooee () and Hadiseh Fariditavana ()
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Hadiseh Fariditavana: The University of Southern Mississippi

International Economics and Economic Policy, 2020, vol. 17, issue 2, No 5, 427-482

Abstract: Abstract Previous research that investigated asymmetric effects of exchange rate changes on the bilateral trade balance of the U.S. with Canada using their aggregate bilateral trade flows did not find support for such effects. In this paper we disaggregate the trade flows of the two countries by commodity and consider experiences of 161 industry that trade between them. After estimating the linear and nonlinear ARDL models we find support for the asymmetric short-run effects in all industries, short-run adjustment asymmetry in 69 industries, significant short-run cumulative or impact asymmetry in 37 industries and significant long-run asymmetric effects in 62 industries. Small as well as large industries were in the list.

Keywords: J-curve; Asymmetry Cointegration; Nonlinear ARDL; Industry data; Canada; The U.S (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s10368-019-00447-0

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