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The Relationship Between Exchange Rate And Exports In Romania Using A Vector Autoregressive Model

  • Carmen Sandu

    (‘A. I. Cuza‘ University of Iasi)

  • Nicolae Ghiba

    (‘A. I. Cuza‘ University of Iasi)

In this paper we analyze the exchange rate influence on exports volume inRomania using a vector autoregressive model (VAR). Our analysis, relative to the 2003Q2-2011Q1 period, reflects a negative relationship for the first lag and a positive one in thesecond lag. Considering the first lag as being significant, an increase of the exchange ratelevel has effects in decreasing exports volume. Also, according to impulse-response function,a shock in the exchange rate has significant effects on exports after two periods. Variancedecomposition shows a weaker influence, less than 10 percent.

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Article provided by Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia in its journal Annales Universitatis Apulensis Series Oeconomica.

Volume (Year): 2 (2011)
Issue (Month): 13 ()
Pages: 29

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Handle: RePEc:alu:journl:v:2:y:2011:i:13:p:29
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  1. Ferto, Imre & Fogarasi, Jozsef, 2012. "On Trade Impact of Exchange Rate Volatility and Institutional Quality: The Case of Central European Countries," 123rd Seminar, February 23-24, 2012, Dublin, Ireland 122510, European Association of Agricultural Economists.
  2. Philippe Aghion & Philippe Bacchetta & Romain Ranciere & Kenneth Rogoff, 2006. "Exchange Rate Volatility and Productivity Growth: The Role of Financial Development," Working Papers 06.02, Swiss National Bank, Study Center Gerzensee.
  3. Viaene, Jean-Marie & de Vries, Casper G., 1992. "International trade and exchange rate volatility," European Economic Review, Elsevier, vol. 36(6), pages 1311-1321, August.
  4. P�l Boug & Andreas Fagereng, 2007. "Exchange rate volatility and export performance: A cointegrated VAR approach," Discussion Papers 522, Research Department of Statistics Norway.
  5. Kazunobu HAYAKAWA & Fukunari KIMURA, 2008. "The Effect of Exchange Rate Volatility on International Trade in East Asia," Working Papers d003, Economic Research Institute for ASEAN and East Asia (ERIA).
  6. Hall, Stephen & Hondroyiannis, George & Swamy, P.A.V.B. & Tavlas, George & Ulan, Michael, 2010. "Exchange-rate volatility and export performance: Do emerging market economies resemble industrial countries or other developing countries?," Economic Modelling, Elsevier, vol. 27(6), pages 1514-1521, November.
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