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The impact of the real exchange rate on non-oil exports. Is there an asymmetric adjustment towards the equilibrium?

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  • Fakhri Hasanov

    (George Washington University)

Abstract

This study investigates the impact of the real exchange rate on the non-oil exports of the Republic of Azerbaijan in the framework of cointegration and an asymmetric error correction. Threshold and Momentum Threshold Autoregressive methods are applied over the quarterly period 2000Q1-2010Q4. The main finding of the study is that there is a long-run relationship between the variables with symmetric rather than asymmetric adjustment towards the equilibrium level.

Suggested Citation

  • Fakhri Hasanov, 2012. "The impact of the real exchange rate on non-oil exports. Is there an asymmetric adjustment towards the equilibrium?," Working Papers 2012-005, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    • Handle: RePEc:gwc:wpaper:2012-005
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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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