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

页码：3130 / 3150

页数：21

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