Bilateral Trade Balances of Malaysia with Her 11 Largest Trading Partners: New Evidence from Asymmetry Cointegration |
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Authors: | Mohsen Bahmani-Oskooee Hanafiah Harvey |
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Institution: | 1. The Center for Research on International Economics and Department of Economics, The University of Wisconsin-Milwaukee, Milwaukee, WI, USAbahmani@uwm.edu;3. Department of Economics, Penn State University, Mont?Alto, PA, USA |
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Abstract: | Research on the effects of exchange rate changes on the trade balance is now moving in a new direction, by investigating whether exchange rate changes have symmetric or asymmetric effects. The approach that relies upon separating depreciations from appreciations introduces nonlinearity into the adjustment process and relies upon the nonlinear ARDL approach of Shin et al. 2014. Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework, in: R. Sickels and W. Horrace (Eds), Festschrift in Honor of Peter Schmidt: Econometric Methods and Applications, 281–314 (Springer)]. When we applied this new method to the bilateral trade balances of Malaysia with each of her 11 largest partners, we found adjustment asymmetry in all models, short-run impact asymmetry effects and long-run asymmetry effects in the trade balance models between Malaysia and Asian countries. |
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Keywords: | Malaysia J-curve asymmetry nonlinear ARDL approach |
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