Search results

The purpose is to assess the asymmetric effects of exchange rate changes on the trade balance using data from African nations.

The methodology is based on the most recent development in asymmetry cointegration and error-correction modeling.

While the authors find short-run asymmetric effects in many of the countries in their sample, asymmetry cointegration yields support for the new definition of the J-curve in Algeria, Cameroon, Ethiopia, Morocco, Tanzania and Zambia.

This is the first study that applies nonlinear ARDL approach of Shin et al. (2014) using data from each of the 13 countries in Africa.

The purpose of this paper is to assess asymmetric effects of exchange rate changes on Thailand’s trade balances.

The design methodology is based on the nonlinear ARDL approach of Shin et al. (2014).

The authors find strong support for the asymmetric effects of exchange rate changes on the Thailand trade balance with most partners, including the three largest partners, China, Japan and the USA.

The long-run asymmetric effects revealed that while baht depreciation will hurt Thailand’s trade balance with China, it will improve its trade balance with the USA and has no effects with Japan.

The trade balance of different partners reacts differently to currency depreciation.

A currency depreciation that improves the trade balance by promoting exports also helps to reduce the rate of unemployment.

No study has assessed the asymmetric effects of exchange rate changes on the Thailand’s trade balance with its major partners.

The purpose of this paper is to show that in some industries the linear model may not reveal any significance link between exchange rate volatility and trade flows but once nonlinear adjustment of exchange rate volatility is introduced, the nonlinear model reveals significant link.

This paper uses the linear ARDL approach of Pesaran et al. (2001) and the nonlinear ARDL approach of Shin et al. (2014) to assess asymmetric effects of exchange rate volatility on trade flows between Germany and Turkey.

This paper consider the experiences of 75 2-digit industries that trade between Turkey and Germany. When the study assumed the effects of volatility to be symmetric, the study found short-run effects in 31 (30) Turkish (German) exporting industries that lasted into the long run in only 10 (13) Turkish (German) exporting industries. However, when the study assumed asymmetric effects and relied upon a nonlinear model, the study found short-run asymmetric effects of volatility on exports of 55 (56) Turkish (German) industries. Short-run asymmetric effects lasted into long-run asymmetric effects in 10 (25) Turkish (German) exporting industries. All in all, we found that almost 25% of trade is hurt by exchange rate volatility.

This is the first paper that assesses the possibility of asymmetric effects of exchange rate volatility on German–Turkish commodity trade.

The purpose of this paper is to assess and compare the symmetric and asymmetric effects of consumer sentiment on house prices in each state of the USA. This is the first study that uses state-level data.

Both linear and nonlinear autoregressive distributed lag approaches are used to assess the asymmetric effects of consumer sentiment on house prices in each state of the USA.

When the authors estimated a linear symmetric model, this paper found short-run effects of consumer sentiment on house prices in 34 states that lasted into the long-run in only 13 states. The comparable numbers by estimating a nonlinear asymmetric model were 47 and 22, respectively. The increase in the number of states where consumer sentiment affects house prices was attributed to the nonlinear adjustments of consumer sentiment.

The authors deviate from previous research and assess the impact of consumer sentiment on house prices by using data from each state of the USA. The authors also deviate from previous research by demonstrating that the effects could be asymmetric. No study has done this at the state-level.

Since the introduction of the concepts of the J‐ and S‐curves, many researchers have tried to verify their validity empirically. This paper aims to review the related papers and to offer direction for future research.

This is a review paper. As such, no method is employed here. Rather, the methodologies used by others to test the J‐ and S‐curves are explained and reviewed.

No new findings are offered since this is a review paper.

The J‐ and S‐curves show whether currency depreciation worsens the trade balance first before improving it. Since the majority of studies are country‐specific, policymakers could benefit by learning whether currency depreciation will be effective in improving the trade balance.

This is a literature review paper and its originality is in terms of collecting the literature together and presenting it in one single paper.

The purpose of this study is to assess the symmetric and asymmetric impact of a measure of policy uncertainty on house permits issued in each state of the USA.

To assess the symmetric effects, the authors use Pesaran et al.’s (2001) linear autoregressive distributed lag (ARDL) approach to error-correction modeling. To assess the asymmetric effects, they rely upon Shin et al.’s (2014) nonlinear ARDL approach to error-correction modeling. Both approaches have the advantage of producing short-run and long-run effects in one step.

The authors find short-run symmetric effects of policy uncertainty on house permits issued in 22 states that lasted into the long run in three states only. However, the numbers were much higher when they estimated the possibility of asymmetric effects of policy uncertainty. Indeed, they found short-run asymmetric effects in 38 states and long-run asymmetric effects in 18 states.

Some previous studies assessed the effects of a measure of policy uncertainty on house prices. In this paper, the authors extend the same analysis to the supply side of the housing market by assessing the effects of policy uncertainty on house permits in each state of the USA.

Previous research that investigated the effects of currency depreciation on the trade balance assumed that the adjustment of all variables in a given model is in linear fashion. The authors wonder if introduction of nonlinearity in the adjustment of some variables such as the exchange rate can shed additional light on evidence of the J-curve. The new approach also allows to test whether exchange rate changes have symmetric or asymmetric effects on the trade balance. Estimates of a trade balance model for Canada, China, Japan, and the USA reveal that the effects are indeed asymmetric. The paper aims to discuss these issues.

The methodology is based on linear and nonlinear ARDL approach.

When nonlinearity is introduced into testing approach for the J-curve, more evidence is found in support of the J-curve.

The models are estimated using aggregate trade flows of each country with the rest of the world, hence they suffer from aggregation bias. Using trade flows at bilateral level and at commodity level are highly recommended for future research.

This is the first paper that applies nonlinear ARDL approach to test the short-run and long-run effects of currency depreciation on the trade balance.

Studies that have addressed the stability of the demand for money in African countries are rare. A few papers have addressed the issue in a small number of individual countries. For cross‐country comparison, this paper aims to investigate the stability of the M2 demand for money in 21 African countries using quarterly data over the period 1971Q1‐2004Q3.

A standard money demand function is designed. It is estimated using a bounds testing approach to co‐integration and error‐correction modeling.

Application of the CUSUM and CUSUMSQ tests to the residuals of error‐correction models reveals that in almost all 21 countries, M2 demand for money is stable. This could be due to incorporating the short‐run adjustment process in testing for the stability of the long‐run elasticity estimates.

Due to data limitations, the study could not be extended to all countries in Africa.

This is the most comprehensive study in the literature for Africa.

The Marshall‐Lerner (M‐L) condition, which stipulates that a devaluation or depreciation of its currency will improve a country's trade balance only if the sum of the absolute values of a country's import and export price elasticities are greater than one, is a fundamental tenet of international economics. The purpose of this study is to survey the literature that has tested the M‐L condition, examining in particular whether previous studies' results are statistically significant. The authors then conduct their own estimation of 29 countries' trade elasticities, over the past few decades.

While mostly a review paper, the paper also applies statistical techniques in two ways. First, the authors use t‐tests on previously‐published statistical results to see if the sums of their elasticities are significantly greater than one. The authors also apply the recently developed ARDL cointegration method, which has a number of attractive statistical properties, to estimate 29 countries' long‐run import and export elasticities and test the M‐L condition using recent data.

The authors re‐estimation using previous studies' coefficients and standard errors shows that, although the point estimates in many studies suggest that the M‐L condition is met, it really is not met in half of the cases. This lack of evidence is confirmed with the authors' own empirical tests.

Not only does this paper collect the relevant literature in a way that will assist future researchers on the topic, these findings suggest that support for the M‐L condition is much weaker that commonly thought. This therefore makes an important contribution to thinking regarding the potential benefits of devaluation, and to economic theory in general.

Policymakers who hope to improve their countries' competitive position could benefit from learning that this policy is indeed less effective than might be supposed. This could lead to the implementation of more effective economic policies.

As a literature review, the originality of this paper is that it collects relevant studies into one single paper. The statistical analyses allow the reader to re‐interpret these studies' findings in a new light.