Cointegration and causality between Romanian exports and imports
AbstractThis paper explores the dynamic relations between the Romanian exports and imports using monthly data from January 2005 to March 2009. We test the cointegration and causality between the two variables. The results of Engle-Granger, Johansen and cointegration tests are ambiguous while the Breitung test infirmed the hypothesis of cointegration between exports and imports. In these circumstances we conclude that we can’t consider Romanian current account deficits as sustainable. We also find evidence of the bidirectional Granger causality between the exports and the imports explained by the significant interactions between the two variables.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 42091.
Date of creation: 03 May 2009
Date of revision: 06 Aug 2009
Causality; Cointegration; Romanian Foreign Trade;
Find related papers by JEL classification:
- F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General
- F10 - International Economics - - Trade - - - General
- F19 - International Economics - - Trade - - - Other
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