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Does globalization promote real output? Evidence from quantile cointegration regression

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  • Chang, Chun-Ping
  • Lee, Chien-Chiang
  • Hsieh, Meng-Chi

Abstract

This study examines the non-linear cointegration relationship between real output and KOF indices of globalization (overall index and three main sub-indices) by employing the advanced quantile method. Based on using the annual data of G7 countries, our empirical results provide strong evidence that the cointegrating coefficients follow the time-varying process. Our findings imply that most of these long-run relationships are influenced by potential shocks over time rather than maintaining a constant effect consistently. Overall, the contributions of this study not only stress the importance of quantile property in the cointegration models, but also provide the viewpoint of a long-run effect that overall and three-dimension globalizations act as engines of real output.

Suggested Citation

  • Chang, Chun-Ping & Lee, Chien-Chiang & Hsieh, Meng-Chi, 2015. "Does globalization promote real output? Evidence from quantile cointegration regression," Economic Modelling, Elsevier, vol. 44(C), pages 25-36.
  • Handle: RePEc:eee:ecmode:v:44:y:2015:i:c:p:25-36
    DOI: 10.1016/j.econmod.2014.09.018
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