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/ http://irep.iium.edu.my/31549/ http://irep.iium.edu.my/31549/1/5-Jarita_Duasa.pdf

id	iium-31549
recordtype	eprints
spelling	iium-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 PeerReviewed 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
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
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/ http://irep.iium.edu.my/31549/ http://irep.iium.edu.my/31549/1/5-Jarita_Duasa.pdf
first_indexed	2023-09-18T20:45:44Z
last_indexed	2023-09-18T20:45:44Z
_version_	1777409662570725376

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

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