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Journal articles on the topic 'Nonlinear Ardl'

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Published: 11 September 2021
Last updated: 11 February 2022

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1

Qamruzzaman, Md. "Nexus between financial innovations, remittances and credit performance: Evidence from augmented ARDL and nonlinear ARDL." Investment Management and Financial Innovations 18, no. 3 (September 10, 2021): 295–311. http://dx.doi.org/10.21511/imfi.18(3).2021.25.

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The motivation for this study is to assess the impact of financial innovation and remittances on bank-based financial institutions’ credit performance in Bangladesh for the period 1981–2019. The study applies augmented ARDL (AARDL) and nonlinear ARDL (NARDL) to identify both long-run and short-run effects and directional causality by performing non-granger casualty tests. AARDL confirms the presence of a long-run association between financial innovation, remittance, trade openness, FDI, and credit performance, which is measured by non-performing loans. In the long run, financial innovation and FDI volatility expose a positive link with NPLs, but remittance inflows and trade openness establish a negative association. Asymmetry shocks in financial innovation reveal a positive relationship with credit performance. In contrast, the asymmetric shock of remittance and trade openness unveil a negative tie to credit performance, especially in the long run. Furthermore, directional causality provides evidence to support a feedback hypothesis explaining causality between financial innovation and credit performance, as well as remittance inflows and credit performance. These findings suggest that credit performance is guided by future development in remittances and financial innovation; thus, closer attention from policymakers and financial experts is persistent to capitalize or mitigate the impact of the financial system.
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Chang, Bisharat Hussain, Suresh Kumar Oad Rajput, and Niaz Ahmed Bhutto. "Impact of Exchange Rate Volatility on the US Exports: A New Evidence From Multiple Threshold Nonlinear ARDL Model." Journal of International Commerce, Economics and Policy 10, no. 02 (June 2019): 1950009. http://dx.doi.org/10.1142/s1793993319500091.

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This study extends previous literature by examining the effect of extremely large to extremely small changes in the exchange rate volatility on the US exports to developing countries such as Brazil, India, Mexico, and South Africa. We use novel approach called multiple threshold nonlinear ARDL (MTNARDL) and compare its results with ARDL and nonlinear ARDL models. The ARDL model supports insignificant results, whereas standard nonlinear ARDL model indicates asymmetric effect of exchange rate volatility on the US exports to Mexico only. Finally, the MTNARLD model indicates that in the short run, the effect of extremely large changes in exchange rate volatility does not significantly differ from the effect of small changes in exchange rate volatility on the US exports to all sample countries. Whereas in the long run, the effect of extremely large changes in exchange rate volatility is significantly different from the effect of small changes in exchange rate volatility on the US exports to all sample countries. The findings of this novel methodology suggest different policies in the long run and short run.
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Farooq, Fatima, Muhammad Faheem, and Muhammad Zahid Usman. "Does Globalization Asymmetrically Affect CO2 Emissions in Pakistan? A New Evidence through NARDL Approach." Review of Education, Administration & LAW 3, no. 3 (December 31, 2020): 511–22. http://dx.doi.org/10.47067/real.v3i3.96.

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The study examines the impact of globalization and institutional quality on environmental degradation in Pakistan. The study employs symmetric and asymmetric Autoregressive Distributed Lag Model (ARDL) at a time to check the linear and nonlinear effect of globalization on the environment over 1985 to 2017. The long-run findings of linear ARDL shows globalization affect positively to the environment and all other control variables FDI, GDP are significant with a positive sign while institutional quality and the interaction term of globalization and institutional quality is significant with a negative sign. The study also finds the marginal effect of interaction term and found that globalization has a different effect on the environment with different level of institutional quality. The linear ARDL model is not suitable to check the asymmetric behaviour of globalization on the environment. For this, the study applied a nonlinear ARDL estimation method. The findings of the nonlinear ARDL model showed the asymmetric behaviour of globalization on the environment. This study provides a new direction by proving the asymmetric relationship of globalization on environment quality that is more beneficial for policymakers and government officials.
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Bahmani-Oskooee, Mohsen, and Hadise Fariditavana. "Nonlinear ARDL Approach and the J-Curve Phenomenon." Open Economies Review 27, no. 1 (June 27, 2015): 51–70. http://dx.doi.org/10.1007/s11079-015-9369-5.

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LUCKSTEAD, JEFF. "ASYMMETRIC EXCHANGE RATE PASS-THROUGH IN U.S. IMPORTS OF COCOA." Journal of Agricultural and Applied Economics 50, no. 3 (April 18, 2018): 369–86. http://dx.doi.org/10.1017/aae.2018.1.

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AbstractBoth the autoregressive distributed lag (ARDL) and the nonlinear ARDL frameworks are applied to model U.S. imports of cocoa beans from Côte d'Ivoire, Ghana, and the Dominican Republic (more than 90% of U.S. cocoa imports originate from these three countries). The results provide evidence of nonlinear and asymmetric pass-through of exchange rates, regional quality difference, and imperfect competition in U.S. cocoa imports. Furthermore, a rise or fall in U.S. income leads to an increase or decrease in U.S. cocoa imports.
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Usman, Ojonugwa, and Osama Elsalih. "Testing the Effects of Real Exchange Rate Pass-Through to Unemployment in Brazil." Economies 6, no. 3 (September 6, 2018): 49. http://dx.doi.org/10.3390/economies6030049.

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This paper attempts to test the pass-through of the real exchange rate (RERT) to unemployment in Brazil over the period 1981M1–2015M11 using linear and nonlinear Autoregressive Distributed Lag (ARDL) models. The result of the linearity test suggests that the relationship between RERT and unemployment is linear in the short-run and nonlinear in the long-run. Therefore, using the symmetric ARDL model for the short-run analysis, we find that an increase in the RERT decreases the unemployment rate. The result of the nonlinear ARDL for the long-run analysis shows that the unemployment rate reacts to the RERT appreciations and depreciations differently with depreciations having a strong effect. However, the pass-through of the RERT to unemployment is incomplete both in the short- and long-run. These findings have important policy implications for the designing of appropriate monetary policy in response to a rise in unemployment resulting from a change in the real exchange rate.
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Damane, Moeti, and Lira Peter Sekantsi. "Nexus between financial innovation and economic growth in Lesotho: evidence from ARDL and nonlinear ARDL approaches." International Journal of Financial Innovation in Banking 3, no. 1 (2021): 49. http://dx.doi.org/10.1504/ijfib.2021.10037768.

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Damane, Moeti, and Lira Peter Sekantsi. "Nexus between financial innovation and economic growth in Lesotho: evidence from ARDL and nonlinear ARDL approaches." International Journal of Financial Innovation in Banking 3, no. 1 (2021): 49. http://dx.doi.org/10.1504/ijfib.2021.114941.

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9

Bahmani-Oskooee, Mohsen, and Hadise Fariditavana. "Nonlinear ARDL approach, asymmetric effects and the J-curve." Journal of Economic Studies 42, no. 3 (August 10, 2015): 519–30. http://dx.doi.org/10.1108/jes-03-2015-0042.

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Purpose – Previous research that investigated the effects of currency depreciation on the trade balance assumed that the adjustment of all variables in a given model is in linear fashion. The authors wonder if introduction of nonlinearity in the adjustment of some variables such as the exchange rate can shed additional light on evidence of the J-curve. The new approach also allows to test whether exchange rate changes have symmetric or asymmetric effects on the trade balance. Estimates of a trade balance model for Canada, China, Japan, and the USA reveal that the effects are indeed asymmetric. The paper aims to discuss these issues. Design/methodology/approach – The methodology is based on linear and nonlinear ARDL approach. Findings – When nonlinearity is introduced into testing approach for the J-curve, more evidence is found in support of the J-curve. Research limitations/implications – The models are estimated using aggregate trade flows of each country with the rest of the world, hence they suffer from aggregation bias. Using trade flows at bilateral level and at commodity level are highly recommended for future research. Originality/value – This is the first paper that applies nonlinear ARDL approach to test the short-run and long-run effects of currency depreciation on the trade balance.
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10

Karamelikli, Huseyin. "Linear and Nonlinear Dynamics of the Turkish Trade Balance." International Journal of Economics and Finance 8, no. 2 (January 24, 2016): 70. http://dx.doi.org/10.5539/ijef.v8n2p70.

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<p>This study empirically analyses bilateral trade of Turkey with her main trade partners using monthly time series data over the period of 2000 to 2015. J-curve theory and short-run dynamics of bilateral trade is tested by linear ARDL and Non-linear ARDL approaches. The empirical results indicate that there is no J-curve effect during short-run for United States and for France; it symmetrically exists to Germany and asymmetrically to United Kingdom. Also long-run relationship between exchange rate and trade balance has mixed results. Asymmetric long-run relationship between exchange rate and trade balance for United States exists where it is symmetrically most appropriate for Germany. In the other hand this study failed to verify any long-run relationship between exchange rate and trade balance for France and for United Kingdom.</p>
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11

Lacheheb, Miloud, and Abdalla Sirag. "Oil price and inflation in Algeria: A nonlinear ARDL approach." Quarterly Review of Economics and Finance 73 (August 2019): 217–22. http://dx.doi.org/10.1016/j.qref.2018.12.003.

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Alqaralleh, Huthaifa. "Stock return-inflation nexus; revisited evidence based on nonlinear ARDL." Journal of Applied Economics 23, no. 1 (January 1, 2020): 66–74. http://dx.doi.org/10.1080/15140326.2019.1706828.

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Zangina, Suleiman, and Sallahuddin Hassan. "Corruption and FDI inflow to Nigeria: a nonlinear ARDL approach." Journal of Financial Crime 27, no. 2 (January 29, 2020): 635–50. http://dx.doi.org/10.1108/jfc-09-2019-0116.

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Purpose This paper aims to empirically explore the asymmetric relationship between corruption control and foreign direct investment (FDI) in Nigeria. Design/methodology/approach The study utilized the non-linear autoregressive distributed lag (NARDL) bounds test technique for the time-series analysis covering the period 1984-2017. Findings The findings reveal that corruption inhibits FDI inflow and corruption control has asymmetric effects on FDI inflow to Nigeria. The coefficient of positive shock or changes in respect of corruption control is positive as well as statistically significant during the long run, while the coefficient of negative shock is negative, but statistically insignificant. This implies that improvement in corruption control encourages inflow of FDI to the country, whereas a decrease in corruption control has an insignificant effect. Practical implications Nigeria needs to intensify its corruption control efforts to effectively enhance the conduciveness as well as attractiveness of its business operating environment for FDI inflow. Originality/value This paper is among the first to use time-series analytical process to empirically verify the asymmetric association of corruption control and FDI inflow in Nigeria. In this regard, the insight generated by outcomes of the study will enable specific inferences to be drawn from the empirical findings by policy makers, academic researchers and business practitioners.
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Nusair, Salah A., and Dennis Olson. "Asymmetric oil price and Asian economies: A nonlinear ARDL approach." Energy 219 (March 2021): 119594. http://dx.doi.org/10.1016/j.energy.2020.119594.

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15

Lee, Geul, and Doojin Ryu. "ASYMMETRY IN THE STOCK PRICE RESPONSE TO MACROECONOMIC SHOCKS: EVIDENCE FROM THE KOREAN MARKET." Journal of Business Economics and Management 19, no. 2 (September 28, 2018): 343–59. http://dx.doi.org/10.3846/jbem.2018.5563.

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This study investigates stock price movements in response to macroeconomic shocks, allowing for asymmetry in this relationship. Given Ferson’s (1989) finding that large and small stocks can exhibit different risk behaviors, we examine the behaviors of the KOSPI and KOSDAQ stock markets in response to changes in the price level, real interest rate, and real USD/KRW exchange rate using simple and nonlinear autoregressive-distributed lag (ARDL) models. We find that the long-run effects of macroeconomic shocks are relatively insignificant under the simple ARDL model, whereas a significant and negative long-run effect is found for almost every explanatory variable–market pair under the nonlinear model. In addition, we find that the long-run effects of stock price shocks on macroeconomic variables are more significant under the nonlinear model. Overall, the results imply that it is difficult to identify the relationship between macroeconomic variables and stock price dynamics without considering asymmetry.
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16

Hajilee, Massomeh, Mahsa Oroojeni Mohammad Javad, and Linda A. Hayes. "On the link between HIV prevalence and health expenditure: an asymmetric analysis." Journal of Economic Studies 47, no. 3 (April 17, 2020): 509–26. http://dx.doi.org/10.1108/jes-12-2018-0420.

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PurposeIndividuals' health is considered one of the major determinants of higher levels of productivity and economic development. Over the past century, the widespread occurrence of human immunodeficiency virus/acquired immunodeficiency syndrome (HIV/AIDS) has been a serious threat to economic development around the globe and has caused a dramatic fall in the life expectancy rate in many nations. This is the first study that examines the impact of HIV prevalence on health expenditure at the national level employing two linear and nonlinear autoregressive distributed lag (ARDL) models and simultaneously tests the long-run and short-run relationship for five selected developed countries. The authors employ annual data from 1981 to 2016. They find that HIV prevalence has a significant impact on health expenditure in the short-run and long-run in all five countries using the linear model and four of the countries in the nonlinear model. They find that HIV/AIDS prevalence has a significant short-run and long-run asymmetric impact on health expenditure of almost all selected developed economies.Design/methodology/approachThe authors are employing two linear and nonlinear ARDL models and simultaneously test the long-run and short-run relationship for five selected developed countries.FindingsThe authors find that HIV/AIDS prevalence has a significant short-run and long-run asymmetric impact on health expenditure of almost all selected developed economies.Originality/valueTo the best of the authors’ knowledge, this is the first research work that empirically examines the link between HIV prevalence and health expenditure for this group of countries using linear and nonlinear ARDL approach for short run and long run.
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17

Yang, Yixing, Md Qamruzzaman, Mohd Ziaur Rehman, and Salma Karim. "Do Tourism and Institutional Quality Asymmetrically Effects on FDI Sustainability in BIMSTEC Countries: An Application of ARDL, CS-ARDL, NARDL, and Asymmetric Causality Test." Sustainability 13, no. 17 (September 6, 2021): 9989. http://dx.doi.org/10.3390/su13179989.

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The motivation of the study is to investigate the nature of the relationship between institutional quality, tourism, and FDI in BIMSTEC nations for the period 1996Q1–2018Q4. Exploring their nature of association, the study performed several panel econometric models, namely Panel ARDL, Nonlinear ARDL, and Toda-Yamamoto causality test, with symmetric and asymmetric effects of institutional quality and tourism. The results of the Wald test confirmed the long-run asymmetric relationship between institutional quality, tourism, and FDI, both in the long-run and short-run. Furthermore, directional casualty established a feedback hypothesis explaining the relationship between institutional quality, tourism, and FDI.
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18

Ongan, Serdar, and Ismet Gocer. "Testing fisher effect for the USA: application of nonlinear ARDL model." Journal of Financial Economic Policy 12, no. 2 (November 16, 2019): 293–304. http://dx.doi.org/10.1108/jfep-09-2018-0127.

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Purpose This paper aims to investigate the presence of the Fisher effect for the USA from a new methodological perspective differing it from all previous studies using the common linear representation of the Fisher equation. Design/methodology/approach The nonlinear ARDL model, recently developed by Shin et al. (2014), is applied for the 10-year US Government bond rates over the period of 1985M1-2017M10. Findings The empirical findings indicate that the US Federal Reserve (FED) is a more predominant arbiter in the determination of interest rates during periods of declining inflation rates than periods of rising inflation rates. This finding may allow the FED to apply more proactive and prudent monetary policy. Additionally, this study newly describes and introduces a different version of the partial Fisher effect and extends the Fisher equation to some degree in terms of the partial Fisher effect. Originality/value To the best the authors’ knowledge, this method is applied for the first time in testing the Fisher effect for the USA.
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Zribi, Wissal, and Talel Boufateh. "Asymmetric CEO confidence and CSR: A nonlinear panel ARDL-PMG approach." Journal of Economic Asymmetries 22 (November 2020): e00176. http://dx.doi.org/10.1016/j.jeca.2020.e00176.

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20

Deluna, Roperto S., Jeanette Isabelle V. Loanzon, and Virgilio M. Tatlonghari. "A nonlinear ARDL model of inflation dynamics in the Philippine economy." Journal of Asian Economics 76 (October 2021): 101372. http://dx.doi.org/10.1016/j.asieco.2021.101372.

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Sethi, Dinabandhu, and Susanta Kumar Sethy. "Financial inclusion matters for economic growth in India." International Journal of Social Economics 46, no. 1 (January 14, 2019): 132–51. http://dx.doi.org/10.1108/ijse-10-2017-0444.

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Purpose The purpose of this paper is to examine the relationship between financial inclusion (FI) and economic growth in India. Design/methodology/approach To measure FI, a multidimensional time-varying index is proposed following the Human Development Index method. The long-run relationship between FI and economic growth is examined by using the autoregressive distributed lag (ARDL) approach to cointegration and nonlinear ARDL approach. Further, the direction of causality is investigated by employing the Toda–Yamamoto Granger causality test. Findings The linear cointegration test confirms a long-run relationship between FI and economic growth for India. The improvement in both demand-side and supply-side financial services has a positive impact on economic growth. These results suggest that India can attain long-run economic growth by improving the coverage of FI. However, there is no evidence of nonlinear cointegration, indicating that there is no asymmetric effect of FI on economic growth. Further, the causality test shows that FI granger causes economic growth but not vice versa. Research limitations/implications The major limitation of the study is the availability of time series data for all important variables. The index for both demand- and supply-side indicators can be extended with several other important variables in later date once the data are available for those variables. Practical implications As the study confirms that FI is one of the main drivers of economic growth, it is suggested that the policy maker emphasizing on financial sector reforms can enjoy economic growth in the long run, especially in developing countries. Therefore, the government and policy makers need to address the issues involved in access to financial services to spur economic growth. Originality/value The study examines the long-run relationship between FI and economic growth employing ARDL bound testing approach and nonlinear ARDL approach, separately for demand-side and supply-side indicators. Further, the study uses the Toda–Yamamoto granger causality to find the direction of causal flow between FI and economic growth.
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Kavese, Kambale, and Andrew Phiri. "A Provincial Perspective of Nonlinear Okun’s Law for Emerging Markets: The Case of South Africa." Studia Universitatis „Vasile Goldis” Arad – Economics Series 30, no. 3 (September 1, 2020): 59–76. http://dx.doi.org/10.2478/sues-2020-0017.

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AbstractA provincial analysis of Okun’s law in South Africa is provided in this article from 1996 to 2016. Empirically, we rely on the nonlinear autoregressive distributive lag (N-ARDL) model whilst the Corbae-Ouliaris filter is used to extract the ‘gap’ variables required for our regression estimates. Okun’s law is found to be significant hold in the long-run exclusively for the Western Cape and Kwa-Zulu Natal provinces whereas the remaining provinces partially display significant short-run effects. Our sensitivity analysis in which panel N-ARDL estimations for all provinces finds insignificant long-run Okun effects for the country as a whole, whilst validating the relationship only in the short-run. Our study hence advises that the epicenter of policy efforts in addressing the country’s high unemployment and low economic growth dilemma should be concentrated at a provincial level.
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RAJPUT, SURESH KUMAR OAD, NIAZ HUSSAIN GHUMRO, and NADIA ANJUM. "DO EXCHANGE RATE CHANGES HAVE SYMMETRIC OR ASYMMETRIC EFFECTS ON INTERNATIONAL TRADE INTEGRATION?" Annals of Financial Economics 14, no. 03 (August 2019): 1950013. http://dx.doi.org/10.1142/s2010495219500131.

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This paper investigates whether exchange rate changes have symmetric or asymmetric effects on international trade integration, using quarterly time series data from 1980: Q1 till 2018: Q2. The recent innovation in cointegration techniques allows us to estimate nonlinear effects. We apply both linear autoregressive distributed lags (ARDL) and nonlinear ARDL models. The empirical results indicate that asymmetric relationship exists between exchange rate (REER) and international trade integration (ITI) in the short-run as well as in the long-run, meaning that real effective exchange rate has negative and statistically significant effects on international trade integration. Robustness checks indicate no role of various crisis including GFC on the relationship between ITI and REER, however, regime change has significantly negative impact in short-run and positive in long-run on ITI. The results are important because when we separate currency appreciation from the depreciation, it has the significant and different effects on international trade integration.
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Faryna, Oleksandr. "Nonlinear Exchange Rate Pass-Through to Domestic Prices in Ukraine." Visnyk of the National Bank of Ukraine, no. 236 (June 29, 2016): 30–42. http://dx.doi.org/10.26531/vnbu2016.236.030.

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This paper aims to estimate the degree of exchange rate pass-through (ERPT) to domestic prices in Ukraine considering nonlinearities with respect to the size and direction of exchange rate movements. We use disaggregated consumer price data and employ a panel autoregressive distributed lag model (ARDL) including threshold parameters to account for nonlinearities in the ERPT mechanism. We then compute dynamic ERPT coefficients taking into account inflation and exchange rate persistence. Estimation results suggest that the pass-through effect to core consumer prices is higher from currency depreciation than in the case of appreciation. On the contrary, we find that raw food prices are much more sensitive to appreciations. We also find that price responsiveness to small, medium, and large exchange rate changes is nonlinear. In particular, we provide evidence that prices are sensitive to small and extremely large changes, but the pass-through effect is insignificant if exchange rate movements are moderate.
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Sohail, Muhammad Tayyab, Sana Ullah, Muhammad Tariq Majeed, and Ahmed Usman. "Pakistan management of green transportation and environmental pollution: a nonlinear ARDL analysis." Environmental Science and Pollution Research 28, no. 23 (February 6, 2021): 29046–55. http://dx.doi.org/10.1007/s11356-021-12654-x.

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AbstractModern advances in nonlinear modeling have exposed that nonlinear models yield more robust results compared with linear models. Research on the effect of air-railway transportation on environmental pollution has now arrived into a new way of asymmetry analysis and captured the real issue among the nexus. This study aims to inspect the asymmetric impact of air-railway transportation on environmental pollution in Pakistan by using annual time series data from 1991 to 2019. The findings show that positive shock in air passenger carried and railway passenger carried increases carbon emissions, which implies that 1% increase in air passenger carried (railway passenger carried) enhances environmental pollution by 0.21% (0.32%) in long run in Pakistan. While positive shock in railway passengers carried increases environmental pollution and negative shock in railway passengers carried decreases the environmental pollution in the short run. The outcomes have also confirmed the short- and long-run asymmetries in Wald statistics. The findings are country-specific and it would be regionally specific.
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Saâdaoui, Foued, and Othman Ben Messaoud. "Multiscaled Neural Autoregressive Distributed Lag: A New Empirical Mode Decomposition Model for Nonlinear Time Series Forecasting." International Journal of Neural Systems 30, no. 08 (June 26, 2020): 2050039. http://dx.doi.org/10.1142/s0129065720500392.

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Forecasting has always been the cornerstone of machine learning and statistics. Despite the great evolution of the time series theory, forecasters are still in the hunt for better models to make more accurate decisions. The huge advances in neural networks over the last years has led to the emergence of a new generation of effective models replacing classic econometric models. It is in this direction that we propose, in this paper, a new multiscaled Feedforward Neural Network (FNN), with the aim of forecasting multivariate time series. This new model, called Empirical Mode Decomposition (EMD)-based Neural ARDL, is inspired from the well-known Autoregressive Distributed Lag (ARDL) model being our proposal founded upon the concepts of nonlinearity, EMD-multiresolution and neural networks. These features give the model the ability to effectively capture many nonlinear patterns like the ones often present in econophysical time series, such as nonlinear trends, seasonal effects, long-range dependency, etc. The proposed algorithm can be summarized into the following four basic tasks: (i) EMD breaking-down multivariate time series into different resolution levels, (ii) feeding EMD components from the same levels into a number of feedforward neural ARDL models, (iii) from one level to the next, extrapolating the component corresponding to the response variable (scalar output) a number of steps ahead, and finally, (iv) recombining level-by-level forecasts into a single output. An optimal learning scheme is rigorously designed for efficiently training the new proposed architecture. The approach is finally tested and compared to a number of powerful benchmark models, where experiments are conducted on real-world data.
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Ben Abdallah, Marwa, Maria Fekete Farkas, and Zoltan Lakner. "Analysis of Dairy Product Price Transmission in Hungary: A Nonlinear ARDL Model." Agriculture 10, no. 6 (June 9, 2020): 217. http://dx.doi.org/10.3390/agriculture10060217.

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This paper addresses the assessment of the price transmission of dairy products in Hungary. Monthly prices are used in testing the hypothesis of asymmetric price transmission between farmers and retailers. The magnitude of short- and long-run asymmetric transmission between price levels is measured through a nonlinear autoregressive distributed model (NARDL). The cointegration of variables is validated through bounds test of the NARDL model. The estimated NARDL model proves the existence of long- and short-run asymmetric relationships between producer milk price and most retailer dairy product prices. Furthermore, the model confirms the presence of a significantly positive long-run price asymmetry for butter, buttercream, sour cream, and Trappista cheese. The positive long-run price transmission asymmetry results could be explained by the strong market power of milk processors, which are granted through their concentrations and the absence of competitiveness in the market. The short-run asymmetry of price transmission could be explained by implementing some policy interventions, such as the milk quotas, which limit milk production. Analyzing the asymmetric relationship between the producer milk price and the retailer dairy product prices could give a clear vision of the dairy sector and how prices move between market actors, highlighting the retailers’ purchasing power feature, and its role in determining the market price interaction.
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Husein, Jamal, and S. Murat Kara. "Nonlinear ARDL estimation of tourism demand for Puerto Rico from the USA." Tourism Management 77 (April 2020): 103998. http://dx.doi.org/10.1016/j.tourman.2019.103998.

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Law, Siong Hook, and Lim Thye Goh. "The crime rate and income inequality in Brazil: a nonlinear ARDL approach." International Journal of Economic Policy in Emerging Economies 1, no. 1 (2020): 1. http://dx.doi.org/10.1504/ijepee.2020.10033888.

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Akinlo, Anthony Enisan, and Olufunmilayo Olayemi Jemiluyi. "ECONOMIC GROWTH NEXUS IN NIGERIA: EVIDENCE FROM NONLINEAR ARDL AND CAUSALITY APPROACHES." Review of Innovation and Competitiveness 4, no. 2 (April 2018): 5–26. http://dx.doi.org/10.32728/ric.2018.42/1.

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Nusair, Salah A. "The J-Curve phenomenon in European transition economies: A nonlinear ARDL approach." International Review of Applied Economics 31, no. 1 (July 28, 2016): 1–27. http://dx.doi.org/10.1080/02692171.2016.1214109.

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Bahmani-Oskooee, Mohsen, Ilir Miteza, and Altin Tanku. "Exchange rate changes and money demand in Albania: a nonlinear ARDL analysis." Economic Change and Restructuring 53, no. 4 (January 2, 2020): 619–33. http://dx.doi.org/10.1007/s10644-019-09261-9.

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Bahmani-Oskooee, Mohsen, and Ridha Nouira. "The nonlinear ARDL approach and productivity bias hypothesis: Evidence from 68 countries." Quarterly Review of Economics and Finance 80 (May 2021): 80–89. http://dx.doi.org/10.1016/j.qref.2021.02.001.

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34

Ongan, Serdar, and Ismet Gocer. "The US-China trade war with increasing trade policy uncertainty." Journal of Chinese Economic and Foreign Trade Studies 13, no. 2 (October 22, 2020): 87–94. http://dx.doi.org/10.1108/jcefts-01-2020-0002.

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Purpose This study aims to examine the impacts of changing US trade policy uncertainty (henceforth, TPU Index) on US bilateral trade balance with China from a nonlinear methodology perspective. Design/methodology/approach The nonlinear auto regressive distributed lag (ARDL) model, recently developed by Shin et al. (2014), is applied. This model decomposes the TPU Index series into its increases (TPU+) and decreases (TPU−) and creates two new TPU Index series. Findings Empirical findings indicate that increases in the TPU Index improve the US bilateral trade balance only in the short-run (no long-run impact). However, decreases in the TPU Index worsen the US trade balance in the short run but improve it in the long run. Apart from these effects detected on US–China bilateral trade balances, this empirical study draws the conclusion that changing trade policy uncertainty plays a significant determining role for bilateral trade volumes. Originality/value Decomposed TPU index with the nonlinear ARDL model enables us to examine the separate impacts of the changes in TPU+ and TPU− indexes on US bilateral trade balance with China. Therefore, this model may discover potentially concealed-hidden true impacts of TPU index on US bilateral trade balance with this country.
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35

Ahmed, H. F. Tareq, and Nur Syazwani Mazlan. "The Impact of Interest Rate on Exchange Rate Within ASEAN Countries: Evidence from Linear and Nonlinear ARDL Frameworks." Global Journal of Emerging Market Economies 13, no. 1 (January 2021): 7–34. http://dx.doi.org/10.1177/0974910120974798.

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This study examines the symmetric and/or asymmetric effects of changes in the interest rate on exchange rate of the ASEAN countries. It further aims to compare these linkages by using a dataset consisting of 48–68 quarterly data items, ranging over the period 2002–2017, of the ASEAN countries. Using both the linear autoregressive distributed lag (ARDL) and nonlinear ARDL (NARDL) approaches, the findings indicate that these effects vary from one country to another. We observe that changes in interest rates have short-run symmetric effects on the exchange rates, which also hold in the long run for five ASEAN countries, namely, Cambodia, Malaysia, Thailand, Vietnam, and Singapore. On the other hand, changes in interest rates have asymmetric (negative) effects on the exchange rates, which also hold in the long run for seven ASEAN countries, namely, Cambodia, Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Vietnam.
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36

Qamruzzaman, Md, and Salma Karim. "ICT Investment Impact on Human Capital Development through the Channel of Financial Development in Bangladesh: An Investigation of Quantile ARDL and Toda-Yamamoto Test." Academic Journal of Interdisciplinary Studies 9, no. 5 (September 21, 2020): 112. http://dx.doi.org/10.36941/ajis-2020-0090.

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The study aims to assess the causal effects of ICT investment, financial development, and human capital development in Bangladesh for the period 1990-2019. To do so, we applied liner ARDL, Quantile ARDL, and directional causality investigated by performing a non-granger causality test. The result of Quantile ARDL confirms long-run effects running from ICT investment and financial development to human capital development. Considering the result short-run estimation, study findings established a positive association between financial development and human capital development but both positive and negative observed in ICT investment on human capital development. Furthermore, the nonlinear relationship established with the standard Wald test. Second, the results of directional causality test following Toda and Yamamoto (1995) proposed framework. Study findings established bidirectional causality running between financial development and human capital development and unidirectional causality running from ICT investment to human capital development. Therefore, it assumed that human capital development in Bangladesh critically relies on financial sector growth and development in the ICT sector. Furthermore, it is also observed that the bidirectional causal relationship also confirmed that is the development of either independent variables can influence each other.
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37

Saeed, Muhammad, Muhammad Hafeez, Ghulam Mustafa Shaikh, and Muhammad Shahid. "Asymmetric Effect of Gold and Oil Prices on Stock Market Performance in Pakistan: New Evidence from Asymmetric ARDL Cointegration." Journal of Business Strategies 12, no. 2 (February 29, 2020): 43–64. http://dx.doi.org/10.29270/jbs.12.2(2018).089.

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The previous studies on stock market modelling in Pakistan context has assumed a linear relationship between stock market performance and its determinants. Most of the macroeconomic variables do not have linear properties, therefore considering asymmetric features of macroeconomic fundamentals, this study is a first attempt to explore the asymmetric impact of gold and oil prices on the stock market performance of Pakistan, covering the time period of 1990 – 2016. For the consideration of nonlinear, short-run and long-run associations between gold, oil prices and stock market performance, a novel approach of nonlinear ARDL or asymmetric ARDL is being used. The long-run parameters of the study affirm the asymmetric association between gold, oil prices and stock market performance, while short-run dynamics validate the asymmetric association between oil prices and stock market performance. Furthermore, negative and significant link between the exchange rate and the stock market was also found. The empirical outcomes propose that ignoring intrinsic asymmetries may lead to the misrepresentative implications in case of stock market performance. The achieved suggestion of asymmetries, both short and long-run dynamics could be of key prominence for more effective policy-making and to forecast the Pakistan Stock Market.
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38

Bildirici, Melike, and Fulya Ozaksoy. "The relationship between woody biomass consumption and economic growth: Nonlinear ARDL and causality." Journal of Forest Economics 27 (April 2017): 60–69. http://dx.doi.org/10.1016/j.jfe.2017.01.002.

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39

Raifu, Isiaka Akande, and Alarudeen Aminu. "A reconsideration of Wagner's hypothesis for Nigeria using linear and nonlinear ARDL methods." International Journal of Sustainable Economy 12, no. 4 (2020): 321. http://dx.doi.org/10.1504/ijse.2020.112308.

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40

Hoang, Thi Hong Van, Amine Lahiani, and David Heller. "Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach." Economic Modelling 54 (April 2016): 54–66. http://dx.doi.org/10.1016/j.econmod.2015.12.013.

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41

Salisu, Afees A., and Kazeem O. Isah. "Revisiting the oil price and stock market nexus: A nonlinear Panel ARDL approach." Economic Modelling 66 (November 2017): 258–71. http://dx.doi.org/10.1016/j.econmod.2017.07.010.

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42

Sharma, Vishal, and Ashok Mittal. "Fiscal deficit, capital formation, and economic growth in India: a nonlinear ARDL model." DECISION 46, no. 4 (October 18, 2019): 353–63. http://dx.doi.org/10.1007/s40622-019-00223-8.

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43

Raifu, Isiaka Akande, and Alarudeen Aminu. "A reconsideration of Wagner's hypothesis for Nigeria using linear and nonlinear ARDL methods." International Journal of Sustainable Economy 12, no. 4 (2020): 321. http://dx.doi.org/10.1504/ijse.2020.112308.

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44

GASİMOVA, Zahra. "ASYMMETRIC IMPACT OF EXCHANGE RATE TO ISTANBUL STOCK MARKET: A NONLINEAR ARDL APPROACH." International Journal of Social Humanities Sciences Research (JSHSR) 8, no. 69 (January 1, 2021): 1248–54. http://dx.doi.org/10.26450/jshsr.2441.

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45

Bahmani-Oskooee, Mohsen, Parveen Akhtar, Sana Ullah, and Muhammad Tariq Majeed. "Exchange Rate Risk and Uncertainty and Trade Flows: Asymmetric Evidence from Asia." Journal of Risk and Financial Management 13, no. 6 (June 15, 2020): 128. http://dx.doi.org/10.3390/jrfm13060128.

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Very recently, the link between exchange rate volatility and trade flows has entered into a new direction in which researchers assess the possibility of asymmetric response of trade flows to a measure of exchange rate uncertainty. We add to this literature by estimating a linear and a nonlinear ARDL model to learn about the experiences of Asian countries, i.e., Pakistan, Japan, China, Korea, Singapore, Malaysia, the Philippines, and India. Like other studies in the literature, nonlinear models yielded relatively more significant results. In some cases, while the linear models showed no significant effects of exchange rate volatility on trade flows, the nonlinear models revealed significant effects. In some other cases, the opposite was true.
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46

Sharma, Vishal, and Ashok Mittal. "Revisiting the Dynamics of the Fiscal Deficit and Inflation in India: the Nonlinear Autoregressive Distributed Lag Approach." Economy of Region 17, no. 1 (March 2021): 318–28. http://dx.doi.org/10.17059/ekon.reg.2021-1-24.

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The chronic government deficit (fiscal deficit) and increase in the price level (inflation) have become major concerns for economists and policymakers. While numerous studies have examined the twin problems of the fiscal deficit and inflation for both developed and developing economies, their results are inconclusive due to different estimation techniques, chosen time periods, selection of variables, etc. Therefore, we examined the fiscal deficit-inflation nexus in India for the period from 1980–81 to 2016–17 by employing the Autoregressive Distributed Lag (ARDL) and Nonlinear Autoregressive Distributed Lag (NARDL) approaches. The results of the ARDL approach found no evidence of linear relationship between fiscal deficit and inflation in the Indian context. Further, the empirical findings of the NARDL model confirmed the nonlinear relationship between fiscal deficit and inflation in the long run and no association between money supply and inflation, supporting the ideas of the Fiscal Theory of the Price Level (FTPL) in the case of India. FTPL postulates that public debt and taxation policies drive price level; monetary policy has an indirect role only. Therefore, fiscal policymakers should focus on reducing fiscal deficits. Simultaneously, the Reserve Bank of India (RBI) should regulate lending interest rate so that a mix of fiscal and monetary policies can be applied for controlling inflation in India.
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47

Bahmani-Oskooee, Mohsen, and Majid Maki Nayeri. "Policy Uncertainty and the Demand for Money in Canada: A Nonlinear Approach." Applied Economics Quarterly: Volume 64, Issue 4 64, no. 4 (December 1, 2018): 279–95. http://dx.doi.org/10.3790/aeq.64.4.279.

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Abstract Economic uncertainty is said to affect the demand for money in either direction. We use the new comprehensive measure of policy uncertainty and assess its impact on the demand for money in Canada. When a linear model was used, we found only short-run effects of uncertainty on Canadian cash holdings. However, when a nonlinear model was used, the results revealed that increased policy uncertainty has negative effect on the demand for money in the long run but decreased uncertainty has no effect, a clear sign of an asymmetric response by the public. JEL classifications: E41 Keywords: Canada, Money Demand, Policy Uncertainty, Asymmetry, Nonlinear ARDL
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48

Almosabbeh, Imadeddin Ahmed. "Is the Relationship Between Government Spending and Private Consumption in Egypt Symmetric?" Margin: The Journal of Applied Economic Research 14, no. 3 (July 31, 2020): 285–308. http://dx.doi.org/10.1177/0973801020920096.

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The aim of this study, using Egyptian data from 1970 to 2016, is to explore the relationship between government spending and private consumption spending and to understand whether the relationship between the two is symmetric. The study uses the autoregressive distributed lag (ARDL) approach to explore a cointegration relationship between the two variables, and the nonlinear autoregressive distributed lag (NARDL) approach to test the hypothesis of a symmetric relationship between the two variables. By applying the ARDL approach, the study concludes that the effect of government spending on consumption spending is not significant in the long term. By applying the NARDL approach, the study concludes that: the hypothesis of the presence of a symmetric relationship is not accepted, there is a crowding-out relationship from the positive shocks of government spending and the substitutability coefficient between the two types of spending is 0.8699. JEL Classification: E12, E21, F62, H50
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49

Arize, Augustine C., and Mohsen Bahmani-Oskooee. "Do Imports and Exports Adjust Nonlinearly? Evidence from 100 Countries." Global Economy Journal 18, no. 1 (February 20, 2018): 20170094. http://dx.doi.org/10.1515/gej-2017-0094.

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A country is said to live within its international budget constraint if its exports and imports are cointegrated. Previous studies that tried to verify the cointegration between exports and imports used linear models and supported the theory in almost 50% of countries. In this paper, when we use the nonlinear ARDL approach and asymmetry cointegration method, we support the long-run link between imports and exports in 94 out of 100 countries in our sample. This study is not only the most comprehensive study in the literature, but it is also the first to show that, indeed, trade flows adjust in a nonlinear fashion.
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50

Zmami, Mourad, and Ousama Ben-Salha. "Does Oil Price Drive World Food Prices? Evidence from Linear and Nonlinear ARDL Modeling." Economies 7, no. 1 (February 12, 2019): 12. http://dx.doi.org/10.3390/economies7010012.

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The macroeconomic outcomes of oil price fluctuations have been at the forefront of the debate among economists, financial analysts and policymakers over the last decades. Among others, the oil price–food price nexus has particularly received a great deal of attention. While an abundant body of literature has focused on the linear relationship between oil price and food price, little is known regarding the nonlinear interactions between them. The aim of this paper is to conduct aggregated and disaggregated analyses of the impact of the Brent and West Texas Intermediate (WTI) oil prices on international food prices between January 1990 and October 2017. The empirical investigation is based on the estimation of linear and nonlinear autoregressive distributed lag (ARDL) models. The findings confirm the presence of asymmetries since the overall food price is only affected by positive shocks on oil price in the long-run. While the dairy price index reacts to both positive and negative changes of oil price, the impact of oil price increases is found to be greater. Finally, the asymmetry is present for some other agricultural commodity prices in the short-run, since they respond only to oil price decreases. All in all, the study concludes that studies assuming the presence of a symmetric impact of oil price on food price might be flawed. The findings are important for the undertaking of future studies and the design of international and national policies in the fight against food insecurity.
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