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Non-linear cointegration and adjustment: exponential smooth-transition model for Malaysian export demand

The present study attempts to analyze the long-run equilibrium relationship between real exchange rate and export demand by non-linear cointegration tests. The Engle-Granger two-step cointegration test is expanding to incorporate an exponential smooth-transition error correction term (ESTAR model)...

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Main Author: Duasa, Jarita
Format: Article
Language:English
Published: Serials Publications 2012
Subjects:
HA29 Theory and method of social science statistics
HB131 Methodology.Mathematical economics. Quantitative methods
Online Access:http://irep.iium.edu.my/31549/1/5-Jarita_Duasa.pdf
http://irep.iium.edu.my/31549/
http://www.serialspublications.com/journals1.asp?jid=196&jtype=1
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spelling my.iium.irep.315492014-06-24T03:20:09Z http://irep.iium.edu.my/31549/ Non-linear cointegration and adjustment: exponential smooth-transition model for Malaysian export demand Duasa, Jarita HA29 Theory and method of social science statistics HB131 Methodology.Mathematical economics. Quantitative methods The present study attempts to analyze the long-run equilibrium relationship between real exchange rate and export demand by non-linear cointegration tests. The Engle-Granger two-step cointegration test is expanding to incorporate an exponential smooth-transition error correction term (ESTAR model) as it is expected that there might be non-linear adjustment aroused according to the size of the disequilibrium. Using Malaysian data of export volume and real exchange rate, the estimation of the model supports non-linear reversion to equilibrium when deviations from equilibrium become sufficiently large. The results reflect that any export deviation/shock, either positive or negative, is only be temporary once the deviation is sufficiently large as the speed of adjustment to the long-run value will be faster than when it is small in size. It is perceived that this dynamic movement of exports is due to extensive policy instruments used by Malaysian authority on exports which aim at sustainable economic growth to attain national vision of being a developed country in 2020. Serials Publications 2012 Article REM application/pdf en http://irep.iium.edu.my/31549/1/5-Jarita_Duasa.pdf Duasa, Jarita (2012) Non-linear cointegration and adjustment: exponential smooth-transition model for Malaysian export demand. Asian-African Journal of Economics and Econometrics, 12 (1). pp. 61-69. ISSN 0972-3986 http://www.serialspublications.com/journals1.asp?jid=196&jtype=1
institution Universiti Islam Antarabangsa Malaysia
building IIUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider International Islamic University Malaysia
content_source IIUM Repository (IREP)
url_provider http://irep.iium.edu.my/
language English
topic HA29 Theory and method of social science statistics
HB131 Methodology.Mathematical economics. Quantitative methods
spellingShingle HA29 Theory and method of social science statistics
HB131 Methodology.Mathematical economics. Quantitative methods
Duasa, Jarita
Non-linear cointegration and adjustment: exponential smooth-transition model for Malaysian export demand
description The present study attempts to analyze the long-run equilibrium relationship between real exchange rate and export demand by non-linear cointegration tests. The Engle-Granger two-step cointegration test is expanding to incorporate an exponential smooth-transition error correction term (ESTAR model) as it is expected that there might be non-linear adjustment aroused according to the size of the disequilibrium. Using Malaysian data of export volume and real exchange rate, the estimation of the model supports non-linear reversion to equilibrium when deviations from equilibrium become sufficiently large. The results reflect that any export deviation/shock, either positive or negative, is only be temporary once the deviation is sufficiently large as the speed of adjustment to the long-run value will be faster than when it is small in size. It is perceived that this dynamic movement of exports is due to extensive policy instruments used by Malaysian authority on exports which aim at sustainable economic growth to attain national vision of being a developed country in 2020.
format Article
author Duasa, Jarita
author_facet Duasa, Jarita
author_sort Duasa, Jarita
title Non-linear cointegration and adjustment: exponential smooth-transition model for Malaysian export demand
title_short Non-linear cointegration and adjustment: exponential smooth-transition model for Malaysian export demand
title_full Non-linear cointegration and adjustment: exponential smooth-transition model for Malaysian export demand
title_fullStr Non-linear cointegration and adjustment: exponential smooth-transition model for Malaysian export demand
title_full_unstemmed Non-linear cointegration and adjustment: exponential smooth-transition model for Malaysian export demand
title_sort non-linear cointegration and adjustment: exponential smooth-transition model for malaysian export demand
publisher Serials Publications
publishDate 2012
url http://irep.iium.edu.my/31549/1/5-Jarita_Duasa.pdf
http://irep.iium.edu.my/31549/
http://www.serialspublications.com/journals1.asp?jid=196&jtype=1
_version_ 1643610039568564224
score 13.211869

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