Asymmetric cointegration with threshold adjustment model of exchange rates and the trade balance in Turkey

This paper aims to investigate the long-run equilibrium relationship between the trade balance and exchange rates in Turkey using the asymmetric error correction model with threshold cointegration. The results provide new evidence for the asymmetric long-run relationship between the trade balance an...

Full description

Saved in:
Bibliographic Details
Published in:The journal of international trade & economic development 2017-03, Vol.26 (2), p.174-194
Main Authors: Dedeoglu, Dincer, Ogut, Kaan
Format: Article
Language:English
Subjects:
asymmetric adjustment
causality
Cointegration analysis
Economic models
Exchange rate
Exchange rates
Foreign exchange rates
Purchasing power parity
threshold autoregression
trade balance
Turkey
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:This paper aims to investigate the long-run equilibrium relationship between the trade balance and exchange rates in Turkey using the asymmetric error correction model with threshold cointegration. The results provide new evidence for the asymmetric long-run relationship between the trade balance and exchange rates. Besides, deviations from the long-run equilibrium due to a relative increase in real exchange rates have a lower speed of adjustment in comparison to the deviations caused by a relative decrease in real exchange rates.
ISSN:0963-8199
1469-9559
DOI:10.1080/09638199.2016.1233288