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Co-integrating relationship between terms of trade, money and current account: the italian evidence


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  • Giovanna Tagliabue

    (Institute of Economics and Statistics, Faculty of Law, The University of Milan, Italy)

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    The paper analyses long-run relationships between terms of trade, money and current account for Italy in the period from the first quarter of 1975 to the first quarter of 2001.

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    Bibliographic Info

    Article provided by Wroclaw University of Technology, Institute of Organization and Management in its journal Operations Research and Decisions.

    Volume (Year): 3-4 (2005)
    Issue (Month): ()
    Pages: 99-111

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    Handle: RePEc:wut:journl:v:3-4:y:2005:p:99-111

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    Keywords: money; terms of trade; current account; multivariate cointegration;


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    1. Backus, David K & Kehoe, Patrick J & Kydland, Finn E, 1994. "Dynamics of the Trade Balance and the Terms of Trade: The J-Curve?," American Economic Review, American Economic Association, vol. 84(1), pages 84-103, March.
    2. Maurice Obstfeld, 1981. "Aggregate Spending and the Terms of Trade: Is There a Laursen-Metzler Effect?," NBER Working Papers 0686, National Bureau of Economic Research, Inc.
    3. Allen, Polly Reynolds, 1972. "Money and Growth in Open Economies," Review of Economic Studies, Wiley Blackwell, vol. 39(2), pages 213-19, April.
    4. Rotemberg, Julio J., 1985. "Money and the terms of trade," Journal of International Economics, Elsevier, vol. 19(1-2), pages 141-160, August.
    5. Lucas, Robert Jr., 1982. "Interest rates and currency prices in a two-country world," Journal of Monetary Economics, Elsevier, vol. 10(3), pages 335-359.
    6. Torsten Persson & Lars E.O. Svensson, 1983. "Current Account Dynamics and the Terms of Trade: Harberger-Laursen-Metzler Two Generations Later," NBER Working Papers 1129, National Bureau of Economic Research, Inc.
    7. Stockman, Alan C, 1980. "A Theory of Exchange Rate Determination," Journal of Political Economy, University of Chicago Press, vol. 88(4), pages 673-98, August.
    8. Paul Cashin & C. John McDermott, 1998. "Terms of Trade Shocks and the Current Account," IMF Working Papers 98/177, International Monetary Fund.
    9. Asraul Hoque, 1995. "Co-integrating relationship between terms of trade and current account deficit: the Australian evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 2(4), pages 130-133.
    10. Svensson, Lars E O & Razin, Assaf, 1983. "The Terms of Trade and the Current Account: The Harberger-Laursen-Metzler Effect," Journal of Political Economy, University of Chicago Press, vol. 91(1), pages 97-125, February.
    11. Ramanathan, R, 1975. "Monetary Expansion, Balance of Trade and Economic Growth," The Economic Record, The Economic Society of Australia, vol. 51(133), pages 31-39, March.
    12. Eugene Kouassi & Bernard Decaluwe & Crispin Kapombe & Dale Colyer, 1999. "Temporal causality and the dynamic interactions between terms of trade and current account deficits in co-integrated VAR processes: further evidence from Ivorian time series," Applied Economics, Taylor & Francis Journals, vol. 31(1), pages 89-96.
    13. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    14. Ian R. Harper & G. C. Lim, 1989. "Is Monetary Policy Too Tight?," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 22(2), pages 15-24.
    15. Mohsen Bahmani-Oskooee & Ghiath Shabsigh, 1996. "On the effects of money on the terms of trade: an empirical investigation," Applied Economics Letters, Taylor & Francis Journals, vol. 3(11), pages 721-724.
    16. Dwyer, Jacqueline A. & Lewis, Philip E. T., 1991. "The price effects of monetary changes: The case of a small open economy," Journal of Macroeconomics, Elsevier, vol. 13(1), pages 117-131.
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