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Exchange rate policy and trade balance. A cointegration analysis of the argentine experience since 1962

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Author Info
Matesanz Gómez, David
Fugarolas Álvarez-Ude, Guadalupe

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Abstract

Using multivariate cointegration tests for non-stationary data and vector error correction models, this paper examines the determinants of trade balance for Argentina over the last forty to fifty years. Our investigation confirms the existence of long-run relationships among trade balance, Real Exchange Rate (RER) and foreign and domestic incomes for Argentina during different real exchange rate management policies. Based on the estimations, the Marshall-Lerner condition is examined and, by means of impulse response functions, we trace the effect of a one-time shock to the RER on the trade balance checking the J-curve pattern.

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File URL: http://mpra.ub.uni-muenchen.de/151/
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 151.

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Date of creation: 2006
Date of revision: 2006
Handle: RePEc:pra:mprapa:151

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Related research
Keywords: Argentina Marshall-Lerner J-Curve cointegration and impulse response analysis

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models
F43 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Economic Growth of Open Economies
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models
F31 - International Economics - - International Finance - - - Foreign Exchange

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  1. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  2. Syed F. Mahmud & Aman Ullah & Eray M. Yucel, 2004. "Testing Marshall-Lerner condition: a non-parametric approach," Applied Economics Letters, Taylor and Francis Journals, vol. 11(4), pages 231-236, March. [Downloadable!] (restricted)
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  3. Rose, Andrew K., 1990. "Exchange rates and the trade balance : Some evidence from developing countries," Economics Letters, Elsevier, vol. 34(3), pages 271-275, November. [Downloadable!] (restricted)
  4. Christine Richaud & AristomÈne Varoudakis & Marie-Ange VÉganzonÈs, 2003. "Real exchange rate and openness in emerging economies: Argentina in the long run," Applied Economics, Taylor and Francis Journals, vol. 35(3), pages 293-303, January. [Downloadable!] (restricted)
  5. Paresh Kumar Narayan, 2004. "New Zealand's trade balance: evidence of the J-curve and granger causality," Applied Economics Letters, Taylor and Francis Journals, vol. 11(6), pages 351-354, May. [Downloadable!] (restricted)
  6. MacKinnon, James G, 1996. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 601-18, Nov.-Dec.. [Downloadable!] (restricted)
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  7. Jonathan Perraton, 2003. "Balance of Payments Constrained Growth and Developing Countries: an examination of Thirlwall's hypothesis," International Review of Applied Economics, Taylor and Francis Journals, vol. 17(1), pages 001-022, January. [Downloadable!] (restricted)
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