The Relationship Between Exchange Rate And Exports In Romania Using A Vector Autoregressive Model
AbstractIn this paper we analyze the exchange rate influence on exports volume inRomania using a vector autoregressive model (VAR). Our analysis, relative to the 2003Q2-2011Q1 period, reflects a negative relationship for the first lag and a positive one in thesecond lag. Considering the first lag as being significant, an increase of the exchange ratelevel has effects in decreasing exports volume. Also, according to impulse-response function,a shock in the exchange rate has significant effects on exports after two periods. Variancedecomposition shows a weaker influence, less than 10 percent.
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Bibliographic InfoArticle provided by Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia in its journal Annales Universitatis Apulensis Series Oeconomica.
Volume (Year): 2 (2011)
Issue (Month): 13 ()
Contact details of provider:
exchange rate; volatility; Romanian leu; international trade; depreciation; appreciation.;
Find related papers by JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
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