Cointegration Analysis in an Inflationary Environment: What Can We Learn from Ukraine's Nominal Exports?
AbstractUkrainian exports can be explained by standard demand theory in the long run. Using the Johansen procedure the data do not reject the hypothesis of a unit foreign-production elasticity of Ukrainian exports, which are rather price-elastic inputs for foreign producers. It is argued that due to high domestic inflation and substantial real appreciation of the hryvnia there might be a deterministic element in the long-run relationships. When allowing for a trend in the cointegration space, the identifying restriction of an infinitely price-elastic export supply curve produces best results. However, due to missing export price statistics long-run interpretations are to be taken with care because they are conditional upon assumptions on how costs and exchange-rates are passed through on export prices.
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Bibliographic InfoPaper provided by Kiel Institute for the World Economy in its series Kiel Working Papers with number 1084.
Length: 39 pages
Date of creation: Nov 2001
Date of revision:
cointegration analysis; transitional economies; Ukraine; export demand; foreign trade elasticities; real effective exchange rate;
Find related papers by JEL classification:
- F17 - International Economics - - Trade - - - Trade Forecasting and Simulation
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
- P33 - Economic Systems - - Socialist Institutions and Their Transitions - - - International Trade, Finance, Investment, Relations, and Aid
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