Nonlinear dynamics and the export economic growth nexus in ASEAN-5: empirical evidence from nonparametric approach

Lim, Shiok Ye (2011) Nonlinear dynamics and the export economic growth nexus in ASEAN-5: empirical evidence from nonparametric approach. Masters thesis, Universiti Malaysia Sabah.

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Abstract

Nonlinearities effect on the causal relationship of economic growth has been highly debated recently. This study re-examines the exports-growth nexus in ASEAN-5 by using parametric and nonparametric tests. As previous literature, VAR and VECM models are firstly employed in this study. However, the BOS test detected non i.i.d. residuals in the VAR and VECM models and this suggests that nonlinearities do exist in the time series of Thailand and Philippines. From nonparametric approaches, results from the Breitung (2001) cointegration test contribute to the literature by highlighting the existence of nonlinearities in the long-run relationship between exports and GOP per capita in Malaysia, Thailand, Indonesia and Singapore. Furthermore, findings obtained from Hiemstra and Jones (1994) nonlinear Granger causality test show nonlinear short-run dynamics between the variables in Thailand and Philippines. On the contrary, for Malaysia, Indonesia and Singapore, failure to detect significant nonlinearity in the causality relationship between the variable may explain that the nonlinear functional form is excessively complex. Export diversification may be one of the potential sources of nonlinearity as Hesse (2008) provided robust empirical evidence of a nonlinear positive effect of export diversification on per capita income growth in developing countries.

Item Type: Thesis (Masters)
Uncontrolled Keywords: economic growth, export, ASEAN countries, income growth
Subjects: H Social Sciences > HF Commerce
Divisions: SCHOOL > Labuan School of International Business and Finance
Depositing User: MDM SITI AZIZAH IDRIS
Date Deposited: 30 Jul 2013 04:18
Last Modified: 11 Oct 2017 07:31
URI: http://eprints.ums.edu.my/id/eprint/6662

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