Asymmetric cointegration relationship between real exchange rate and trade variables: The case of Malaysia
作者： Jarita Duasa
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摘要: The present study attempts to analyze the long-run equilibrium relationship between real exchange rate and trade balance, imports exports demand by cointegration tests assuming asymmetric adjustment. Following Enders Siklos (2001), Engle-Granger two-step test is expanding incorporate an error correction term. It found that there exists balance of when momentum-threshold autoregressive (M-TAR) model conducted also import volume under threshold (TAR) model. From estimation M-TAR error-correction model, adjustment back more rapid following relative increase in (above value) compared decrease (below value). TAR suggests quick once it below value. results reflect evidence persistence deficit case Malaysia which probably due policies defend overvalued protectionist or capital controls. In addition, shock on likely be temporary nature.
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