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Cointegration Analysis in an Inflationary Environment: What Can We Learn from Ukraine's Nominal Exports?

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  • Hubert Strauß
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    Abstract

    Ukrainian 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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    File URL: https://www.ifw-members.ifw-kiel.de/publications/cointegration-analysis-in-an-inflationary-environment-what-can-we-learn-from-ukraine-s-nominal-exports/kap1084.pdf
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    Bibliographic Info

    Paper provided by Kiel Institute for the World Economy in its series Kiel Working Papers with number 1084.

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    Length: 39 pages
    Date of creation: Nov 2001
    Date of revision:
    Handle: RePEc:kie:kieliw:1084

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    Keywords: cointegration analysis; transitional economies; Ukraine; export demand; foreign trade elasticities; real effective exchange rate;

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