A Cointegration Analysis on Trade Behaviour in Selected ASEAN Countries Using Dynamic OLS and Johansen Maximum Likelihood Approaches

Pengarang

  • Nor' Aznin Abu Bakar Faculty of Economics, Universiti Utara Malaysia, Malaysia

DOI:

https://doi.org/10.32890/mmj2004.8.1.1

Abstrak

This paper aims to analyse the trade behaviour of four selected ASEAN countries (based on their export/import products) by using a co-integration analysis. The demand for exports and imports are estimated for the period before the currency crisis erupted ( 1963 -1995 ), using the dynamic OLS (DOLS) method. The Johansen Maximum Likelihood (JML) approach is also employed to compare the results obtained. The results show that foreign income has a significant impact on export demand, suggesting that foreign disturbance in the form of economic activities is likely to be transmitted to these countries. The Marshall Lerner conditions are easily met for the case of Malaysia and Thailand (DOLS and JML). For Indonesia and the Philippines, the sum of the price elasticities of exports and imports demands are less than unity, this can be explained by the J-curve, in which the currency depreciation will first worsen the trade balance before it improves and it takes time to affect the trade balance.

 

Muat turun

Muat turun data belum tersedia.

Rujukan

Aspe, P., & Giavazzi, F. (1982). The short run behaviour of prices and output in the exportable sector: The case of German machinery. Journal of International Economics, 12, 83-93.

Athukorala, P., & Riedel, J. (1996). Modelling NIE exports: Aggregation, Qualitative, Restrictive Restrictions and choice of econometric methodology. Journal of Development Studies, 33, 81-98.

Baffes, J., Elbadawi, I. A., & O’ Connell, S. A. (1999). Single-equation estimation of the equilibrium real exchange rate in Hinkle, Lawrence E., & Peter, J. Montiel: Exchange rate misalignment: Concepts and measurement for developing countries. Oxford: Oxford University Press.

Banerjee, A., Galbraith, J. W., & Hendry, D. (1993). Cointegration and the econometric analysis of non-stationary data. Oxford: Oxford University Press.

Bond, M. (1985). Export demand and supply for groups of non-oil developing countries. IMF Staff Papers, 32, 56-77. Malaysian Management Journal 8 (1), 11-24 (2004) http://mmj.uum.edu.my

Cline, W. R. (1984). International debt systemic risk and policy response. Mass: Institute for International Economics. MIT Press: Cambridge.

Marquez, J., & McNeilly, C. (1988). Income and price elasticities for exports of developing countries. Review of Economics and Statistics, 70, 306-314.

Charemza, W. W., & Deadman, D. F. (1992). New directions in econometric practice: General to specific modelling, cointegration and vector autoregression. Aldershot: Edward Elgar.

MacKinnon, J. G. (1991). Critical values for integration tests in Long Run Economic Relationships: Reading in Co-Integration. R. F. Engle & C. W. J. Granger (Eds.) Oxford: Oxford University Press.

Cuthbertson, K., Hall, S. G., & Taylor, M. P. (1992). Applied econometric techniques. New York: Phillip Allan.

Muscatelli, V. A. (1994). Demand and Supply factors in the determination of NIE Exports, a reply. Economic Journal, 104, 14151417.

Engle, R. F., & Yoo, B. S. (1987). Forecasting and testing in cointegrated systems. Journal of Econometrics, 35, 143-59.

Engle, R. F., & Granger, C. W. J. (1987). Cointegration and error correction: Representation, estimation, and testing. Econometrica, 55, 251-276.

Goldstein, M., & Khan, M. S. (1978). The supply and demand for exports: A simultaneous approach. Review of Economics and Statistics, 60, 275-86. ________(1982). Effects of slow down in industrial countries a growth in non-oil developing countries. IMF Occasional Paper, 12.

Houthhakker, H. S., & Stephen, M. (1969). Income and price elasiticities in world trade. The Review of Economics and Statistics, 51, 111-125. Muscatelli, V. A., Stevensen, A. A., & Montagna,

C. (1995a) An analysis of the disaggregated manufacturing exports of the Asian NIEs to EEC, USA, and Japan. Applied Economics, 27, 17-24.

Muscatelli, V. A. (1995b). Modelling aggregate manufactured exports for some Asian newly industrialized economies. Review of Economics and Statistics, 77, 147155. Mohamad Haji Alias, & Tang Tuck Cheong (2000). Aggregate imports and expenditure components in Malaysia: A cointegration and error correction analysis. Presented in Monash University Malaysia International Symposium on Malaysia Business in the New Era, 2324 Feb, 2000.

O’Neill, H. M., & Ross, W. (1991). Exchange rates and South Korea exports to OECD countries. Applied Economics, 23, 1227-1236.

Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in Gaussian vector autogressive model. Econometrica, 59, 1551-1580.

Pesaran, B. H., & Pesaran, B. (1997). Microfit: An interactive econometric software package (user manual). Oxford: Oxford University Press.

Khan, M. S. (1974). Import and exports demand in developing countries. IMF Staff Paper. 21, 169-210.

Philip, P. C. B., & Loretan, M. (1991). Estimating long-run economic equilibria. Review of Economic Studies, 58, 407-436. Malaysian Management Journal 8 (1), 11-24 (2004)

Riedel, J. (1984). Trade as the engine of growth in developing countries, revisited.

Economic Journal, 94, 56-73. _________ (1988). The demand for LDC exports of manufactures: Estimates from Hong Kong. The Economic Journal, 98, 138148. Qm = Index of the volume of imports (1990=100) calculated by using the following formula; Qm = IMUS/Pm Where IMUS and PM are imports in US dollars and import price index in US dollar term respectively. Pw = index of the world export price (1990=100) calculated by using the method of Houthakker and Magee (1969) and Goldstein and Khan (1978). Yw = the trade-weighted ‘world’ real income, calculated as a weighted average of real incomes of five major export partners of each country. Expressed as an index (1990=100) facing the country (see Houthakker and Magee, 1969). http://mmj.uum.edu.my _________(1989). The demand for LDC exports of manufactures: Estimates from Hong Kong: A rejoinder. The Economic Journal, 99, 467-470.

Saikkonen, P. (1991). Asymptotically efficient estimation of co-integration regressions. Econometric Theory, 7, 1-21.

Tang Tuck Cheong (2003). Are imports and exports of the five ASEAN economies cointegrated? An empirical Study. International Journal of Management, 20 (1), 88-91

Muat turun

Diterbitkan

2004-12-01

Terbitan

Jil. 8 No. 1 (2004): Malaysian Management Journal (MMJ) Vol. 8 No. 1 Special Issue, 2004

Bahagian

Articles

Cara Memetik

Abu Bakar, N. A. (2004). A Cointegration Analysis on Trade Behaviour in Selected ASEAN Countries Using Dynamic OLS and Johansen Maximum Likelihood Approaches. Malaysian Management Journal, 8(1), 11-24. https://doi.org/10.32890/mmj2004.8.1.1

##plugins.generic.citations.panel.title##

##plugins.generic.citations.panel.harvested## 2026-09-07
0 ##plugins.generic.citations.panel.citationsNone##

##plugins.generic.citations.panel.body##

##plugins.generic.citations.panel.identifiers## DOI 10.32890/mmj2004.8.1.1