Tests for the hysteresis hypothesis in Brazilian industrialized exports: A threshold cointegration analysis


Autoria(s): KANNEBLEY JR., Sergio
Contribuinte(s)

UNIVERSIDADE DE SÃO PAULO

Data(s)

19/10/2012

19/10/2012

2008

Resumo

This paper examines the hysteresis hypothesis in the Brazilian industrialized exports using a time series analysis. This hypothesis finds an empirical representation into the nonlinear adjustments of the exported quantity to relative price changes. Thus, the threshold cointegration analysis proposed by Balke and Fomby [Balke, N.S. and Fomby, T.B. Threshold Cointegration. International Economic Review, 1997; 38; 627-645.] was used for estimating models with asymmetric adjustment of the error correction term. Amongst sixteen industrial sectors selected, there was evidence of nonlinearities in the residuals of long-run relationships of supply or demand for exports in nine of them. These nonlinearities represent asymmetric and/or discontinuous responses of exports to different representative measures of real exchange rates, in addition to other components of long-run demand or supply equations. (C) 2007 Elsevier B.V. All rights reserved.

Identificador

ECONOMIC MODELLING, v.25, n.2, p.171-190, 2008

0264-9993

http://producao.usp.br/handle/BDPI/20565

10.1016/j.econmod.2007.04.011

http://dx.doi.org/10.1016/j.econmod.2007.04.011

Idioma(s)

eng

Publicador

ELSEVIER SCIENCE BV

Relação

Economic Modelling

Direitos

restrictedAccess

Copyright ELSEVIER SCIENCE BV

Palavras-Chave #international trade #time series econometrics #I(1) PROCESSES #TRADE #INFERENCE #MODELS #Economics
Tipo

article

original article

publishedVersion