Asymmetric Cointegration, Nonlinear ARDL, and the J-Curve: A Bilateral Analysis of China and Its 21 Trading Partners. Issue 13 (21st October 2018)

• Record Type: Journal Article
• Authors: Bahmani-Oskooee, Mohsen; Bose, Niloy; Zhang, Yun
• Is Part Of: Emerging markets finance & trade. Volume 54:Issue 13(2018)
• Page Start: 3131
• Page End: 3151
• Publication Date: 2018-10-21
• Subjects: asymmetry cointegration -- bilateral J-curve -- China -- nonlinear ARDL; F31; Balkan Peninsula -- Commerce -- Periodicals; Balkan Peninsula -- Foreign economic relations -- Periodicals; Europe, Central -- Commerce -- Periodicals; Europe, Central -- Foreign economic relations -- Periodicals; Europe, Eastern -- Commerce -- Periodicals; Europe, Eastern -- Foreign economic relations -- Periodicals; Turkey -- Commerce -- Periodicals; Turkey -- Foreign economic relations -- Periodicals; Asia -- Commerce -- Periodicals; Asia -- Foreign economic relations -- Periodicals; Eurasia -- Commerce -- Periodicals; Eurasia -- Foreign economic relations -- Periodicals; 382.05
• DOI: 10.1080/1540496X.2017.1373337
• Languages: English
• ISSNs: 1540-496X

Abstract

ABSTRACT: 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.