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Eingleichungsmodelle zur Prognose des deutschen Außenhandels

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  • Hubert Strauß
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    Abstract

    Sowohl die deutschen Exporte als auch die Importe von Waren und Dienstleistungen weisen im Zeitraum 1974–1999 bezüglich der zugrunde liegenden Aktivitätsvariablen eine langfristige Elastizität von jeweils rund 1,5 auf. Die Langfristelastizität in Bezug auf den realen Außenwert der D-Mark fällt mit rund –0,5 für die Exporte und 0,1 für die Importe dagegen recht unterschiedlich aus. Die kurzfristige Anpassungsdynamik ist durch eine gröÂßtenteils kontemporäre Reaktion auf konjunkturelle Änderungen gekennzeichnet, während Wechselkursänderungen einige Quartale benötigen, um voll zu wirken. Dies ergeben Schätzungen nach dem Fehlerkorrekturmodell. Ein Vergleich zeigt, dass die Industrieproduktion im Ausland einen höheren Erklärungsgehalt für die Entwicklung der Ausfuhr hat als das ausländische Bruttoinlandsprodukt und daher auch genauere Prognosen ermöglicht. The paper presents single-equation error-correction models of aggregate German exports and imports. The long-run elasticities with respect to foreign production and to total demand in Germany, respectively, amount to about 1.5. However, imports react much less flexibly than exports to changes in the real effective exchange rate of the D-mark (0.1 versus –0.5) during the sample period (1974 to 1999). The short-run dynamics reveal that most of the trade effects of changes in economic activity occur contemporanously whereas changes in the external value of the German currency need several quarters to feed through trade volumes. It turns out that a trade-weighted index of industrial production abroad fits historical export quantities better than foreign GDP.

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    Bibliographic Info

    Paper provided by Kiel Institute for the World Economy in its series Kiel Working Papers with number 987.

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    Length: 52 pages
    Date of creation: Jun 2000
    Date of revision:
    Handle: RePEc:kie:kieliw:987

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    Keywords: Außenhandelselastizität; Exporte; Importe; realer Wechselkurs; Fehlerkorrekturmodell; Konjunkturprognose;

    References

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    1. Peter Boswijk, H., 1994. "Testing for an unstable root in conditional and structural error correction models," Journal of Econometrics, Elsevier, vol. 63(1), pages 37-60, July.
    2. Döpke, Jörg & Gern, Klaus-Jürgen & Gottschalk, Jan & Langfeldt, Enno & Scheide, Joachim & Schlie, Markus & Strauß, Hubert, 1998. "Euroland: New conditions for economic policy," Kiel Discussion Papers 326, Kiel Institute for the World Economy (IfW).
    3. H. Peter Boswijk & Jean-Pierre Urbain, 1997. "Lagrance-multiplier tersts for weak exogeneity: a synthesis," Econometric Reviews, Taylor & Francis Journals, vol. 16(1), pages 21-38.
    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. Boss, Alfred & Gerling, Katja & Gottschalk, Jan & Meier, Carsten-Patrick & Scheide, Joachim & Schmidt, Rainer & Strauß, Hubert, 2000. "Finanzpolitische Impulse für Konjunktur und Wachstum in Deutschland," Open Access Publications from Kiel Institute for the World Economy 2400, Kiel Institute for the World Economy (IfW).
    6. Abdelhak Senhadji, 1998. "Time-Series Estimation of Structural Import Demand Equations: A Cross-Country Analysis," IMF Staff Papers, Palgrave Macmillan, vol. 45(2), pages 236-268, June.
    7. Urbain, Jean-Pierre, 1992. "On Weak Exogeneity in Error Correction Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(2), pages 187-207, May.
    8. Dorothea Lucke, 1998. "Abhängigkeit der deutschen Exporte vom realen Außenwert der D-Mark," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, vol. 65(4), pages 75-81.
    9. Stock, James H, 1987. "Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors," Econometrica, Econometric Society, vol. 55(5), pages 1035-56, September.
    10. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
    11. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
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    Cited by:
    1. Gern, Klaus-Jürgen & Jannsen, Nils & van Roye, Björn & Scheide, Joachim, 2010. "Erholung der Weltwirtschaft verliert an Schwung," Open Access Publications from Kiel Institute for the World Economy 45574, Kiel Institute for the World Economy (IfW).
    2. Boss, Alfred & Gerling, Katja & Gottschalk, Jan & Meier, Carsten-Patrick & Scheide, Joachim & Schmidt, Rainer & Strauß, Hubert, 2000. "Deutsche Konjunktur: Aufschwung verliert an Fahrt," Open Access Publications from Kiel Institute for the World Economy 2500, Kiel Institute for the World Economy (IfW).

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