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Asymmetric cointegration and the J-Curve: Evidence from commodity trade between Turkey and EU

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  • Bahmani-Oskooee, Mohsen
  • Durmaz, Nazif

Abstract

In testing the effects of exchange rate changes on the trade balance, the emphasis has now shifted towards application of asymmetric cointegration and error-correction modeling. Such approach that introduces nonlinear adjustment of the exchange rate yields results that are different than linear models. When we apply these new advanced techniques to the trade balance of 57 industries that trade between Turkey and EU, indeed we find short-run asymmetry effects in all industries, short run adjustment asymmetry in 24 industries, short-run impact asymmetry in 17 industries, and long-run asymmetry effects in 23 industries. Small and large industries seem to be subject to the same asymmetry effects.

Suggested Citation

  • Bahmani-Oskooee, Mohsen & Durmaz, Nazif, 2016. "Asymmetric cointegration and the J-Curve: Evidence from commodity trade between Turkey and EU," MPRA Paper 83183, University Library of Munich, Germany, revised 14 May 2016.
    • Handle: RePEc:pra:mprapa:83183
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    Cited by:

    1. Mohsen Bahmani-Oskooee & Amirhossein Mohammadian, 2018. "Asymmetry Effects of Exchange Rate Changes on Domestic Production in Emerging Countries," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(6), pages 1442-1459, May.
    2. Mohsen Bahmani-Oskooee & Muhammad Aftab, 2018. "Malaysia-EU trade at the industry level: Is there an asymmetric response to exchange rate volatility?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(3), pages 425-455, August.
    3. Mohsen Bahmani-Oskooee & Huseyin Karamelikli, 2021. "The Turkey-US commodity trade and the asymmetric J-curve," Economic Change and Restructuring, Springer, vol. 54(4), pages 943-973, November.
    4. Wei Sun & Kuhelika De, 2019. "Real Exchange Rate, Monetary Policy, And The U.S. Economy: Evidence From A Favar Model," Economic Inquiry, Western Economic Association International, vol. 57(1), pages 552-568, January.
    5. Mohsen Bahmani-Oskooee & Huseyin Karamelikli, 2021. "Asymmetric J-curve: evidence from UK-German commodity trade," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 48(4), pages 1029-1081, November.

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    More about this item

    Keywords

    Asymmetric Cointegration; Nonlinear ARDL; Turkish-EU Trade; Industry data; J-Curve.;
    All these keywords.

    JEL classification:

    • F1 - International Economics - - Trade
    • F3 - International Economics - - International Finance

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