How stable is M2 money demand function in Japan?

The cointegrating property of the demand for money in Japan has been investigated by several researchers who have provided mixed results. None has investigated its stability. In this paper we employ the ARDL approach combined with CUSUM and CUSUMSQ tests to show that not only M2 is cointegrated with income and interest rate, but the estimated relation is stable.     

The J-Curve at industry level: Evidence from Sweden–US trade

Previous research that investigated the impact of real depreciation of kronor on Swedish trade balance used trade data either between Sweden and the rest of the world or between Sweden and each of her trading partners. Not much support was provided for a significant effect, especially in the case of Swedish–US trade. In this paper we consider the trade flows between Sweden and the US one more time and try to disaggregate the data by industry. We consider the trade balance of each of the 87 industries that trade between the two countries and investigate the short-run and the long-run effects of real depreciation of kronor on each industry's trade balance. While we find short-run significant effects in the majority of the industries, the short-run effects last into the long-run favorable effects only in 23 of 87 industries.     

Role of Advertising and Promotion in Brand Equity Creation

This article surveys the effects of the individual's attitude toward advertising and nonmonetary promotions besides other subjects, namely advertising cost and monetary promotions on brand equity. It has been surveyed on 392 consumers in Iran. Its results prove the effective role of the individual's attitude toward advertising in promoting the brand equity. The deficiency of advertising in affecting the perceived quality and brand association, and the inefficacy of nonmonetary promotions on brand equity are the fascinating ramifications. In addition, the findings show that businesses can improve the process of the brand equity management by contemplating the relations between the dimensions of the brand equity.     

Exchange-rate volatility and industry trade between the U.S. and Malaysia

Previous research that investigated the impact of exchange rate volatility on the trade flows of Malaysia concentrated only on the aggregate exports of Malaysia to the rest of the world. In this paper we first concentrate on the trade flows between Malaysia and the U.S. After showing that exchange rate volatility has neither short-run nor long-run effect on the trade flows between the two countries, we disaggregate the trade data by industry and consider the experience of 101 U.S. exporting industries to Malaysia and 17 U.S. importing industries from Malaysia. While exchange rate volatility seems to have significant short-run effects on the trade flows of most industries, short-run effects translate into the long run only in a limited number of small industries.     

Exchange Rate Sensitivity of U.S. Trade Flows: Evidence from Industry Data

Previous research that investigated the relation between U.S. trade flows and the value of the dollar either employed trade data between the United States and the rest of the world or between the United States and her major trading partners. In this paper we use monthly import and export data from 66 industries in the United States SITC Commodity Groupings over the January 1991-August 2002 period as well as cointegration analysis and show that in the long run real depreciation of the dollar stimulates export earnings of many U.S. industries, whereas it has no significant impact on most importing industries.     

Productivity Bias Hypothesis and The Purchasing Power Parity: a review article

Abstract.  Productivity differentials among countries are said to be one of the major sources that contribute to the deviation of the Purchasing Power Parity-based exchange rate from the equilibrium rate, hence the productivity bias hypothesis. Prior to last review article on the productivity bias hypothesis in 1976, almost all studies relied upon cross-sectional regression analysis. Since then, two groups of empirical studies have emerged. While one group has employed time-series data, the other one has used panel data. These two later groups have provided more support to the hypothesis than the earlier cross-sectional studies. This paper reviews and criticizes each group separately and provides tables that summarize main features of each study.     

Graphical Diagnostics for Modeling Unstructured Covariance Matrices

Prudent statistical analysis of correlated data requires accounting for the correlation among the measurements. Specifying a form for the covariance matrix of the data could reduce the high number of parameters of the covariance and increase efficiency of the inferences about the regression parameters. Motivated by the success of ordinary, partial and inverse correlograms in identifying parsimonious models for stationary time series, we introduce generalizations of these plots for nonstationary data. Their roles in detecting heterogeneity and correlation of the data and identifying parsimonious models for the covariance matrix are illuminated using a longitudinal dataset. Decomposition of a covariance matrix into "variance" and "dependence" components provides the necessary ingredients for the proposed graphs. This amounts to replacing a 3-D correlation plot by a pair of 2-D plots, providing complementary information about dependence and heterogeneity. Models identified and fitted using the variance-correlation decomposition of a covariance matrix are not guaranteed to be positive definite, but those using the modified Cholesky decomposition are. Limitations of our graphical diagnostics for general multivariate data where the measurements are not (time-) ordered are discussed.     

The J-Curve and Japan–China commodity trade

Previous studies that have tested the J-Curve phenomenon for Japan or China employed either aggregate trade data between each country and the rest of the world, or aggregate bilateral data between two trade partners. These studies have found no support for the J-Curve. Suspecting that their models could suffer from aggregation bias, in this paper, we disaggregate bilateral trade flows between the two countries and examine trade by 73 industries. We find evidence of the J-Curve phenomenon in 24 industries, a unique finding for trade between Japan and China.     

U.S.-German commodity trade and the J-curve: New evidence from asymmetry analysis

Since the introduction of the nonlinear ARDL approach and asymmetric cointegration and error-correction modeling, old relations are receiving renewed attention, and the link between the trade balance and the exchange rate is no exception. We add to this new literature by using industry-level data from 59 2-digit industries that trade between the U.S. and Germany. We find that when the old approach of the linear model was used, the real dollar-euro rate had short-run effects in 17 industries that lasted into the long run in 26 industries. However, when the nonlinear model was estimated, we found short-run asymmetric effects of exchange rate changes in 49 industries, which lasted into long-run asymmetric effects in 28 industries. The J-curve effect was supported in a total of 18 industries.     

Exchange rate volatility and Japan–U.S. commodity trade: An asymmetry analysis

Exchange rate volatility is said to affect trade flows in either direction. When increased volatility is separated from decreased volatility, asymmetric analysis reveals even more support for the fact that both increased volatility and decreased volatility affect trade flows in either direction. We add to this new literature by considering 57 industries that trade between Japan and the US. In addition to providing evidence of asymmetric response of their trade flows to a measure of exchange rate volatility, our approach identifies industries that could benefit from increased exchange rate volatility and those that could be hurt. Similarly, we identify industries that could benefit from decreased volatility and those that could be hurt. The overall conclusion is the adverse effects of dollar–yen volatility on the trade between the two countries.