The impact of the real exchange rate on non-oil exports. Is there an asymmetric adjustment towards the equilibrium?

Hasanov, Fakhri (2012): The impact of the real exchange rate on non-oil exports. Is there an asymmetric adjustment towards the equilibrium? Published in: The George Washington University, RPF Working Paper No. No. 2012-005 (May 2012): pp. 1-24.

Abstract

This study investigates the impact of the real exchange rate on the non-oil exports of the Republic of Azerbaijan in the framework of cointegration and an asymmetric error correction. Threshold and Momentum Threshold Autoregressive methods are applied over the quarterly period 2000Q1-2010Q4. The main finding of the study is that there is a long-run relationship between the variables with symmetric rather than asymmetric adjustment towards the equilibrium level.

• Item Type: MPRA Paper
• Language: English
• Keywords: Asymmetric adjustment; Threshold autoregressive; Momentum-threshold autoregressive; Exchange Rate; Non-oil Export; Azerbaijan Economy
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models

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