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

Author

Listed:
  • Carmen Sandu

    (‘A. I. Cuza‘ University of Iasi)

  • Nicolae Ghiba

    (‘A. I. Cuza‘ University of Iasi)

Abstract

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.

Suggested Citation

  • Carmen Sandu & Nicolae Ghiba, 2011. "The Relationship Between Exchange Rate And Exports In Romania Using A Vector Autoregressive Model," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 2(13), pages 1-29.
  • Handle: RePEc:alu:journl:v:2:y:2011:i:13:p:29
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    File URL: http://oeconomica.uab.ro/upload/lucrari/1320112/29.pdf
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    References listed on IDEAS

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    1. 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.
    2. Pål Boug & Andreas Fagereng, 2010. "Exchange rate volatility and export performance: a cointegrated VAR approach," Applied Economics, Taylor & Francis Journals, vol. 42(7), pages 851-864.
    3. Ferto, Imre & Fogarasi, Jozsef, 2011. "On Trade Impact of Exchange Rate Volatility and Institutional Quality: The Case of Central European Countries," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114351, European Association of Agricultural Economists.
    4. Aghion, Philippe & Bacchetta, Philippe & Rancière, Romain & Rogoff, Kenneth, 2009. "Exchange rate volatility and productivity growth: The role of financial development," Journal of Monetary Economics, Elsevier, pages 494-513.
    5. Hayakawa, Kazunobu & Kimura, Fukunari, 2009. "The effect of exchange rate volatility on international trade in East Asia," Journal of the Japanese and International Economies, Elsevier, pages 395-406.
    6. Viaene, Jean-Marie & de Vries, Casper G., 1992. "International trade and exchange rate volatility," European Economic Review, Elsevier, pages 1311-1321.
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    1. repec:ers:journl:v:xx:y:2017:i:3a:p:758-773 is not listed on IDEAS

    More about this item

    Keywords

    exchange rate; volatility; Romanian leu; international trade; depreciation; appreciation.;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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