Premium
The net barter terms of trade: A smooth transition approach
Author(s) -
Persson Anna,
Teräsvirta Timo
Publication year - 2003
Publication title -
international journal of finance and economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 39
eISSN - 1099-1158
pISSN - 1076-9307
DOI - 10.1002/ijfe.198
Subject(s) - barter , autoregressive model , economics , econometrics , series (stratigraphy) , commodity , impulse response , mathematics , macroeconomics , market economy , paleontology , mathematical analysis , biology
This paper analyses the net barter terms of trade measured by the primary commodity price index relative to the indexes of unit values of export of manufactures from industrial countries. The starting point is that the series is stationary but possibly non‐linear. Statistical tests indicate that the logarithmed series is non‐linear and we estimate a Smooth Transition Autoregressive model to describe the process. The dynamics of the model are illustrated by use of parametrically estimated local spectra and generalized impulse response functions. Our model encompasses models from several previous studies, and our conclusion is that the starting point very much decides the outcome. Copyright © 2003 John Wiley & Sons, Ltd.