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German Exports to the Euro Area - A Cointegration Approach

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  • Sabine Stephan

    ()
    (IMK at the Hans Boeckler Foundation)

Abstract

This paper analyses the determinants of German exports to the euro area, which is by far the biggest market for German products. Four conditional error-correction models based on regionally disaggregated data are developed. One specification includes EMU industrial production and a real external value based on consumer prices, the other three use different EMU investment aggregates, the corresponding real external values and a proxy for European market integration to explain exports. The models perform equally well in a number of diagnostic tests. For short-term forecasts, however, the model using industrial production seems to be the best, since it outperforms the other models in terms of one-step ahead out-of-sample forecasts. Furthermore, the explanatory variables of this equation (industrial production and consumer prices) are easier to forecast than investment aggregates and the corresponding prices.

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Bibliographic Info

Paper provided by IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute in its series IMK Working Paper with number 06-2005.

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Length: 23 pages
Date of creation: Sep 2005
Date of revision:
Handle: RePEc:imk:wpaper:06-2005

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Related research

Keywords: Export Function; Income and Price Elasticity of Exports; Intra-EMU Trade; Error Correction Model; Forecasting;

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  1. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0169, National Bureau of Economic Research, Inc.
  2. David Hendry & Jurgen Doornik, 2000. "Constructing Historical Euro-Zone Data," Economics Series Working Papers, University of Oxford, Department of Economics 4, University of Oxford, Department of Economics.
  3. Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, Elsevier, vol. 13(2), pages 281-291, June.
  4. Lapp, Susanne & Scheide, Joachim & Solveen, Ralph, 1995. "Determinants of exports in the G7-countries," Kiel Working Papers 707, Kiel Institute for the World Economy.
  5. Goldstein, Morris & Khan, Mohsin S., 1985. "Income and price effects in foreign trade," Handbook of International Economics, Elsevier, in: R. W. Jones & P. B. Kenen (ed.), Handbook of International Economics, edition 1, volume 2, chapter 20, pages 1041-1105 Elsevier.
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