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.
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