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La condition de Marshall-Lerner-Robinson est-elle stable ? Approche par le test GLS cointégration à niveau et puissance améliorés
[Does the Marshall-Lerner-Robinson condition verify the stability? Evidence from GLS-cointegration test with Good Size and Power]

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  • Ghassan, Hassan B.

Abstract

The aim of the paper is to test the Marshall-Lerner-Robinson condition by using the unit-root test of Ng-Perron (2001) and cointegration test of Perron-Rodriguez (2001). These tests are based on procedures for removing the trend using the GLS, leading to remove no-stochastic components. By examining the existence of LR relationship between the exchange rate and net-exports using the Moroccan quarterly data, it appears that there is no complementary relationship between the two variables. The rigidity of nominal and real behaviors of both private and public sectors explains to some extent the absence of a long-run equilibrium in the temporal evolution of the exchange rate. These discrepancies related in particular to markets mechanism and economic policies of the government.

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File URL: http://mpra.ub.uni-muenchen.de/56354/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 56354.

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Date of creation: 05 Sep 2007
Date of revision: 15 Jan 2008
Publication status: Published in Revue des Economies Nord Africaines 1.5(2008): pp. 21-48
Handle: RePEc:pra:mprapa:56354

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Keywords: Critical elasticity; Deficit trade; Effective exchange rate; Cointegration.;

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  1. Perron, Pierre & Rodriguez, Gabriel, 2003. "GLS detrending, efficient unit root tests and structural change," Journal of Econometrics, Elsevier, vol. 115(1), pages 1-27, July.
  2. Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-93, January.
  3. Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, vol. 112(2), pages 359-379, February.
  4. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
  5. Chi-Ang Lin, 1997. "The trade balance and the real exchange rate: the US evidence from 1973: 3 to 1994: 9," Applied Economics Letters, Taylor & Francis Journals, vol. 4(8), pages 517-520.
  6. 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.
  7. Paul R. Krugman & Richard E. Baldwin, 1987. "The Persistence of the U.S. Trade Deficit," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 18(1), pages 1-56.
  8. Bahmani-Oskooee, Mohsen & Niroomand, Farhang, 1998. "Long-run price elasticities and the Marshall-Lerner condition revisited," Economics Letters, Elsevier, vol. 61(1), pages 101-109, October.
  9. Blough, Stephen R, 1992. "The Relationship between Power and Level for Generic Unit Root Tests in Finite Samples," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(3), pages 295-308, July-Sept.
  10. Rapach, David E. & Weber, Christian E., 2004. "Are real interest rates really nonstationary? New evidence from tests with good size and power," Journal of Macroeconomics, Elsevier, vol. 26(3), pages 409-430, September.
  11. Kamal Upadhyaya & Dharmendra Dhakal, 1997. "Devaluation and the trade balance: estimating the long run effect," Applied Economics Letters, Taylor & Francis Journals, vol. 4(6), pages 343-345.
  12. Boyd, Derick & Caporale, Gugielmo Maria & Smith, Ron, 2001. "Real Exchange Rate Effects on the Balance of Trade: Cointegration and the Marshall-Lerner Condition," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(3), pages 187-200, July.
  13. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July.
  14. Masson, Paul R., 2001. "Exchange rate regime transitions," Journal of Development Economics, Elsevier, vol. 64(2), pages 571-586, April.
  15. Maurice Obstfeld & Kenneth S. Rogoff, 1996. "Foundations of International Macroeconomics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262150476, December.
  16. Mohsen Bahmani-Oskooee, 2001. "Nominal and real effective exchange rates of middle eastern countries and their trade performance," Applied Economics, Taylor & Francis Journals, vol. 33(1), pages 103-111.
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