Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework

Nonlinear ARDL Approach and the J-Curve Phenomenon

“…Could this assumption cause J-curve to fail? If the answer is in the affirmative, we try an additional step and use Nonlinear ARDL approach of Shin et al (2013) and provide evidence of the J-curve phenomenon. More precisely, when linear ARDL approach to error-correction and cointegration was used, there was 6 Note that in these two cases (i.e., the US-Italy and the US-UK) effects of exchange rate changes are asymmetric since the POS and NEG variables carry coefficients that are different in size and significance.. 7 In all models cointegration is supported at least by F test or by ECM t-1 .…”

“…(4) now allow us to test whether exchange rate changes have asymmetric or symmetric effects on the U.S. trade balance with trading partner i. Error-correction model (4) is said to be a nonlinear ARDL model and nonlinearity is introduced through partial sum or cumulative sum concept included in generating the new variables POS and NEG. Shin et al (2013) justify applying Pesaran et al's (2001) bounds testing approach to Eq. (4).…”

“…It is now recognized that the adjustment process could be nonlinear. Application of Non-linear ARDL approach of Shin et al (2013) provides more evidence of the J-curve supporting non-linear adjustment of variables as well as asymmetric effects of exchange rate changes on the trade balance, using bilateral trade balance models of the U.S. with each of her six largest trading partners. …”

Asymmetric impact of crude price on oil product pricing in the United States: An application of multiple threshold nonlinear autoregressive distributed lag model

“…However, in this paper, we selectively explore the nonlinear pass-through of crude oil price to petroleum derivative prices in the U.S. market. We build upon our study on the recent contribution of Lamotte et al (2013), Atil et al (2014), and Shin et al (2011Shin et al ( , 2014 that have employed nonlinear autoregressive distributed lag (NARDL) model. They adopted the single-threshold method where exogenous variable is decomposed into its positive and negative components, and accordingly, the threshold for changes in the exogenous variable is set at zero.…”

Backward bending structure of Phillips Curve in Japan, France, Turkey and the U.S.A.

“…As Shin, Yu, and Greenwood-Nimmo (2013) highlight, the American labour market represents an exceptional instance, because of its flexible labour market, which has a speedy adjustment mechanism and because of this, the economy eliminates the effects of external economic shock. This study supports these findings.…”