The trade balance in euro countries: a natural case study of periodic integration with a changing mean
AbstractExternal imbalances in the eurozone have become an issue of increased interest as an indicator of overall macroeconomic disequilibria. We focus on the euro-area countries with data available that has not been seasonally adjusted: Finland, France, the Netherlands, Italy and Spain. We use periodic integration and cointegration to deal with the seasonality and nonstationarity present in the time series and to analyze the long-run relationship between exports and imports. We nd a clear change in the mean in all the countries that can be associated with the creation of the euro. Hence we extend the test of periodic integration proposed by Boswijk and Franses (1996) allowing for a change in the mean. Finally we conclude that we nd a long-run relationship for the majority of the countries.
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Bibliographic InfoPaper provided by Department of Applied Economics II, Universidad de Valencia in its series Working Papers with number 1321.
Length: 31 pages
Date of creation: Nov 2013
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Trade balance; current account; periodic integration; periodic cointegration; change in the mean;
Find related papers by JEL classification:
- F14 - International Economics - - Trade - - - Empirical Studies of Trade
- F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-11-16 (All new papers)
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