Asymmetric Cointegration, Nonlinear ARDL, and the J-Curve: A Bilateral Analysis of China and Its 21 Trading Partners

被引：20
|
作者：
Bahmani-Oskooee, Mohsen [1 ,2 ]
Bose, Niloy [2 ]
Zhang, Yun [3 ]
机构：
[1] Univ Wisconsin, Dept Econ, Ctr Res Int Econ, Milwaukee, WI 53201 USA
[2] Univ Wisconsin, Dept Econ, Milwaukee, WI 53201 USA
[3] Shanghai Lixin Univ Accounting & Finance, Sch Finance, Shanghai 201620, Peoples R China
来源：
EMERGING MARKETS FINANCE AND TRADE | 2018年 / 54卷 / 13期
关键词：
asymmetry cointegration; bilateral J-curve; China; nonlinear ARDL; ERROR-CORRECTION; STOCK-MARKET; DEVALUATION; DYNAMICS; BALANCE; TURKEY; TESTS;
D O I：
10.1080/1540496X.2017.1373337
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This article follows the nonlinear Autoregressive Distributed Lag (ARDL) error-correction methodology to explore nonlinearity in the relationship between the trade balances and the real exchange rates for China and its 21 partners. We find evidence for short-run asymmetric effects of exchange rate in cases of 18 partners, short-run adjustment asymmetry in cases of 11 partners, short-run cumulative asymmetry in cases of seven partners, and a significant long-run asymmetric effect cases of five partners. We find support for the "J-curve" that is only due to appreciation or depreciation of the Yuan in cases of five partners, including the U.S.
引用
收藏
页码：3130 / 3150
页数：21
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