Multivariate Cointegration Analysis of Aggregate Exports: Empirical Evidence for the United States, Canada, and Germany
AbstractA shortcoming of most empirical studies on aggregate exports is their exclusive focus on the demand side. Moreover, the effect of globalization is often neglected leading to implausibly high income elasticities. This paper models export demand and supply simultaneously and incorporates a new proxy for globalization. Owing to the non-stationarity of the data, the vector error correction model is the appropriate econometric framework. Using the Johansen procedure, two cointegration relationships are found and identified as export supply and demand. Overidentifying restrictions derived from economic theory are tested. Finally, after checking for weak exogeneity, a parsimonious partial model is presented and the adjustment paths of the endogenous variables are discussed.
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Bibliographic InfoPaper provided by Kiel Institute for the World Economy in its series Kiel Working Papers with number 1101.
Length: 156 pages
Date of creation: Mar 2002
Date of revision:
cointegration analysis; Johansen procedure; export demand and supply; trade elasticities;
Find related papers by JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
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