Halicioglu, Ferda (2008): The J-Curve Dynamics of Turkey: An Application of ARDL Model.
Download (178kB) | Preview
This article seeks an empirical evidence for the existence of the J-curve phenomenon both in the short-run and long-run for Turkey over the period 1980-2005. The bounds testing cointegration approach is employed to estimate the trade balance model. An augmented form of Granger causality analysis is implemented between trade balance, real effective exchange rates, foreign income and domestic income. The stability of the short-run as well as long-run coefficients in the trade balance model is tested too. The empirical results suggest that the J-curve phenomenon is supported only in the short-run. Whilst causality tests reveal mix results, the parameter stability tests seem to be inconclusive.
|Item Type:||MPRA Paper|
|Original Title:||The J-Curve Dynamics of Turkey: An Application of ARDL Model|
|English Title:||The J-Curve Dynamics of Turkey: An Application of ARDL Model|
|Keywords:||J-curve, trade balance, cointegration, causality, stability tests, Turkey|
|Subjects:||F - International Economics > F1 - Trade > F14 - Empirical Studies of Trade
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
F - International Economics > F3 - International Finance > F31 - Foreign Exchange
|Depositing User:||Ferda HALICIOGLU|
|Date Deposited:||15. Aug 2012 13:54|
|Last Modified:||15. Feb 2013 04:45|
Akbostanci, E. (2004) Dynamics of the trade balance: the Turkish J-curve, Emerging Markets Finance and Trade, 40, 57-73.
Akyurek, C. (2006) The Turkish crisis of 2001: a classic?, Emerging Markets Finance and Trade, 42, 5-32.
Arndt, H. W. and Dorrance, G. (1987) The J-curve, The Australian Economic Review, 11, 9-19.
Bahmani-Oskooee, M. (1985) Devaluation and the J-curve: some evidence from LDCs, The Review of Economics and Statistics, 17, 500-504.
Bahmani-Oskooee, M. and Alse, J. (1994) Short-run versus long-run effects of devaluation: error correction modelling and cointegration, Eastern Economic Journal, 20, 453-464.
Bahmani-Oskooee, M. and Brooks, T. J. (1999) Bilateral J-curve between US and her trading partners, Weltwirtschaftliches Archiv, 135, 156-165.
Bahmani-Oskooee, M. and Malixi, M. (1992) More evidence on the J-curve from LDCs, Journal of Policy Modeling, 14, 641-653.
Bahmani-Oskooee, M. and Goswami, G. G. (2003) A disaggregated approach to test the J-curve phenomenon: Japan versus her major trading partners, International Journal of Economics and Finance, 27, 102-113.
Bahmani-Oskooee, M. and Ratha, A. (2004a) The J-curve: a literature review, Applied Economics, 36, 1377-1398.
Bahmani-Oskooee, M. and Ratha, A. (2004b) The J-curve dynamics of U.S. bilateral trade, Journal of Economics and Finance, 28, 32-38.
Bahmani-Oskooee, M., Goswami, G.G., and Talukdar, B. K. (2005) The Bilateral J-curve: Australia versus her 23 trading partners, Australian Economic Papers, 44, 110-120.
Bahmani-Oskooee, M. C. Economidou, G.G. Goswami (2006) Bilateral J-curve between the UK vis-à-vis her major trading partners, Applied Economics, 38, 879-888.
Brada, J.C., Kutan, A.H., and Zhou, S. (1997) The exchange rate and the balance of trade: the Turkish experience, Journal of Development Studies, 33, 675-692.
Brown, R.L., Durbin, J. and Evans, J.M. (1975) Techniques for testing the constancy of regression relations over time, Journal of the Royal Statistical Society, 37, 149-163.
Dickey, D.A., and Fuller, W.A., (1979) Distributions of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association, 74, 427-431.
Dickey, D.A., and Fuller, W.A. (1981) Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica, 49, 1057-1072
Ertugrul, A. and Selcuk, F. (2001) A brief account of the Turkish economy, 1980-2000, Emerging Markets Finance and Trade, 37, 6-30.
Engle, R. and Granger, C. (1987) Cointegration and error correction representation: estimation and testing, Econometrica, 55, 251-276.
Hacker, R.S. and Hatemi, A.J. (2004) The effect of exchange rate changes on trade balances in the short and long run, Economics of Transition, 12, 777-799.
Johansen, S. (1988) Statistical analysis of cointegrating vectors, Journal of Economic Dynamics and Control, .12, 231-254.
Johansen, S. (1996) Likelihood-Based Inference in Cointegrated Vector Auto-Regressive Models, 2nd ed., Oxford University Press, Oxford.
Johansen, S. and Juselius, K. (1990) Maximum likelihood estimation and inference on cointegration–with application to the demand for money, Oxford Bulletin of Economics and Statistics, 52, 169-210.
Kale, P. (2001) Turkey’s trade balance in the short and the long run: an error correction modelling and cointegration, The International Trade Journal, 15, 27-56.
Krueger, A.D. (1983) Exchange Rate Determination Cambridge University Press, Cambridge.
Narayan, P.K. (2004) New Zealand’s trade balance: evidence from the J-curve and granger causality, Applied Economics Letters, 11, 351-354.
Narayan, P.K. and Narayan, S. (2004) The J-curve: evidence from Fiji, International Journal of Applied Economics, 18, 369-380.
Peseran, M. H. and Shin, Y. (1999) An autoregressive distributed lag modelling approach to cointegration analysis, In Strom, S. (Ed.): Econometrics and Economic Theory in 20th Century: The Ragnar Frisch Centennial Symposium, Chapter 11, Cambridge University Press, Cambridge.
Pesaran, M.H., Shin, Y., and Smith, R.J. (2001) Bounds testing approaches to the analysis of level relationships, Journal of Applied Econometrics, 16, 289-326.
Phillips, P.C. B. and Perron, P. (1988) Testing for a unit root in time series regression, Biometrika, 75, 335-359.
Phillips, P. and Hansen, B. (1990) Statistical inference in instrumental variables regression with I(1) process, Review of Economic Studies, 57, 99-125.
Rose, A. K. (1990) Exchange rates and the trade balance: some evidence from developing countries, Economics Letters, 34, 271-275.
Rose, A. K. and Yellen, J. L. (1989) Is there a J-curve?, Journal of Monetary Economics, 24, 53-58.