Non-linear cointegration and adjustment: exponential smooth-transition model for Malaysian export demand
The present study attempts to analyze the long-run equilibrium relationship between real exchange rate and export demand by non-linear cointegration tests. The Engle-Granger two-step cointegration test is expanding to incorporate an exponential smooth-transition error correction term (ESTAR model)...
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| Format: | Article |
| Language: | English |
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Serials Publications
2012
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| Online Access: | http://irep.iium.edu.my/31549/ http://irep.iium.edu.my/31549/1/5-Jarita_Duasa.pdf |
| _version_ | 1848780429906149376 |
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| author | Duasa, Jarita |
| author_facet | Duasa, Jarita |
| author_sort | Duasa, Jarita |
| building | IIUM Repository |
| collection | Online Access |
| description | The present study attempts to analyze the long-run equilibrium relationship between real exchange rate and export demand by non-linear cointegration tests. The Engle-Granger two-step cointegration test is expanding to incorporate an exponential smooth-transition error correction term (ESTAR model) as it is expected that there might be non-linear adjustment aroused according
to the size of the disequilibrium. Using Malaysian data of export volume and real exchange rate, the estimation of the model supports non-linear reversion to equilibrium when deviations from equilibrium become sufficiently large. The results reflect that any export deviation/shock, either positive or negative, is only be temporary once the deviation is sufficiently large as the speed of adjustment to the long-run value will be faster than when it is small in size. It is perceived that this dynamic movement of exports is due to extensive policy instruments used by Malaysian authority on exports which aim at sustainable economic growth to attain national vision of being a developed country in 2020. |
| first_indexed | 2025-11-14T15:33:32Z |
| format | Article |
| id | iium-31549 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T15:33:32Z |
| publishDate | 2012 |
| publisher | Serials Publications |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | iium-315492014-06-24T03:20:09Z http://irep.iium.edu.my/31549/ Non-linear cointegration and adjustment: exponential smooth-transition model for Malaysian export demand Duasa, Jarita HA29 Theory and method of social science statistics HB131 Methodology.Mathematical economics. Quantitative methods The present study attempts to analyze the long-run equilibrium relationship between real exchange rate and export demand by non-linear cointegration tests. The Engle-Granger two-step cointegration test is expanding to incorporate an exponential smooth-transition error correction term (ESTAR model) as it is expected that there might be non-linear adjustment aroused according to the size of the disequilibrium. Using Malaysian data of export volume and real exchange rate, the estimation of the model supports non-linear reversion to equilibrium when deviations from equilibrium become sufficiently large. The results reflect that any export deviation/shock, either positive or negative, is only be temporary once the deviation is sufficiently large as the speed of adjustment to the long-run value will be faster than when it is small in size. It is perceived that this dynamic movement of exports is due to extensive policy instruments used by Malaysian authority on exports which aim at sustainable economic growth to attain national vision of being a developed country in 2020. Serials Publications 2012 Article PeerReviewed application/pdf en http://irep.iium.edu.my/31549/1/5-Jarita_Duasa.pdf Duasa, Jarita (2012) Non-linear cointegration and adjustment: exponential smooth-transition model for Malaysian export demand. Asian-African Journal of Economics and Econometrics, 12 (1). pp. 61-69. ISSN 0972-3986 http://www.serialspublications.com/journals1.asp?jid=196&jtype=1 |
| spellingShingle | HA29 Theory and method of social science statistics HB131 Methodology.Mathematical economics. Quantitative methods Duasa, Jarita Non-linear cointegration and adjustment: exponential smooth-transition model for Malaysian export demand |
| title | Non-linear cointegration and adjustment: exponential smooth-transition model for Malaysian export demand |
| title_full | Non-linear cointegration and adjustment: exponential smooth-transition model for Malaysian export demand |
| title_fullStr | Non-linear cointegration and adjustment: exponential smooth-transition model for Malaysian export demand |
| title_full_unstemmed | Non-linear cointegration and adjustment: exponential smooth-transition model for Malaysian export demand |
| title_short | Non-linear cointegration and adjustment: exponential smooth-transition model for Malaysian export demand |
| title_sort | non-linear cointegration and adjustment: exponential smooth-transition model for malaysian export demand |
| topic | HA29 Theory and method of social science statistics HB131 Methodology.Mathematical economics. Quantitative methods |
| url | http://irep.iium.edu.my/31549/ http://irep.iium.edu.my/31549/ http://irep.iium.edu.my/31549/1/5-Jarita_Duasa.pdf |