"Non-linear Autoregressive Distributed Lag Model Approach and the J-Cur" by Alex Hunter

Article Title

Non-linear Autoregressive Distributed Lag Model Approach and the J-Curve Phenomenon: China and Her Major Trading Partners

Authors

Alex Hunter, University of Northern Iowa

Document Type

Article

Abstract

Following Bahmani-Oskooee and Fariditavana (2016), I use the non-linear autoregressive distributed lag model approach of Shin et al. (2013) to examine the J-curve phenomenon for the Chinese economy. Most recent studies have used methods such as the linear autoregressive distributed lag model approach of Pesaran et al. (2001) which assumes a linear relationship between the exchange rate and the trade balance. I argue that lack of support for the J-curve effect could be due to assuming that effects of exchange rate changes are symmetric. Using a linear autoregressive distributed lag model approach, I am able to find support for the J-curve effect in two out of four models. When using a non-linear autoregressive distributed lag model approach, however, I am able to find support for the J-curve effect in three out of four models.

Publication Date

Spring 2019

Journal Title

Major Themes in Economics

Volume

Issue

First Page

Last Page

Copyright

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.

Language

File Format

application/pdf

Recommended Citation

Hunter, Alex (2019) "Non-linear Autoregressive Distributed Lag Model Approach and the J-Curve Phenomenon: China and Her Major Trading Partners," Major Themes in Economics, 21, 1-13.
Available at: https://scholarworks.uni.edu/mtie/vol21/iss1/3