Asymmetry cointegration and the J-curve: new evidence from Africa

The purpose is to assess the asymmetric effects of exchange rate changes on the trade balance using data from African nations.

The methodology is based on the most recent development in asymmetry cointegration and error-correction modeling.

While the authors find short-run asymmetric effects in many of the countries in their sample, asymmetry cointegration yields support for the new definition of the J-curve in Algeria, Cameroon, Ethiopia, Morocco, Tanzania and Zambia.

This is the first study that applies nonlinear ARDL approach of Shin et al. (2014) using data from each of the 13 countries in Africa.