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

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  • Carmen Sandu
  • Nicolae Ghiba

Abstract

In this paper we analyze the exchange rate influence on exports volume in Romania 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 the second lag. Considering the first lag as being significant, an increase of the exchange rate level 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. Variance decomposition 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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    References listed on IDEAS

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    Cited by:

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    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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