Nonlinear ARDL Approach and the J-Curve Phenomenon

被引：184

作者：

Bahmani-Oskooee, Mohsen ^{[1
,2
]}

Fariditavana, Hadise ^{[1
,2
]}

机构：

[1] Univ Wisconsin, Ctr Res Int Econ, Milwaukee, WI 53211 USA

[2] Univ Wisconsin, Dept Econ, Milwaukee, WI 53211 USA

来源：

OPEN ECONOMIES REVIEW | 2016年 / 27卷 / 01期

关键词：

J-Curve; Non-linear ARDL approach; Asymmetry effects; Bilateral trade balance; MARKET;

D O I：

10.1007/s11079-015-9369-5

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Since introduction of cointegration and error-correction modeling, the definition of the J-curve has changed to reflect short-run deterioration combined with long-run improvement of the trade balance due to currency depreciation. Standard methods such as ARDL approach of Pesaran et al. (2001) assume that adjustment of variables follow a linear path. It is now recognized that the adjustment process could be nonlinear. Application of Non-linear ARDL approach of Shin et al. (2013) provides more evidence of the J-curve supporting non-linear adjustment of variables as well as asymmetric effects of exchange rate changes on the trade balance, using bilateral trade balance models of the U.S. with each of her six largest trading partners.

引用

页码：51 / 70

页数：20