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Exports and FDI: A Granger causality analysis in a heterogeneous panel

Author

Listed:
  • Chaido Dritsaki

    () (Technological University of Western Macedonia)

  • Melina Dritsaki

    () (Brunel University)

Abstract

This paper investigates the heterogenous panels Granger causality between exports and Foreign Direct Investment (FDI) for the twelve new EU countries from 1995 until 2010. The cointegration test by Pedroni (1999) shows a long run heterogenous relationship. A two-stage Engle and Granger procedure (1987), allowing for testing of heterogeneity of panel data on dynamic models, shows a bilateral causal relationship between exports and foreign direct investment both in the long and short run for the examined countries.

Suggested Citation

  • Chaido Dritsaki & Melina Dritsaki, 2012. "Exports and FDI: A Granger causality analysis in a heterogeneous panel," Economics Bulletin, AccessEcon, vol. 32(4), pages 3128-3139.
  • Handle: RePEc:ebl:ecbull:eb-12-00455
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2012/Volume32/EB-12-V32-I4-P300.pdf
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    References listed on IDEAS

    as
    1. Eaton Jonathan & Tamura Akiko, 1994. "Bilateralism and Regionalism in Japanese and U.S. Trade and Direct Foreign Investment Patterns," Journal of the Japanese and International Economies, Elsevier, vol. 8(4), pages 478-510, December.
    2. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    3. Schmitz, Andrew & Helmberger, Peter, 1970. "Factor Mobility and International Trade: The Case of Complementarity," American Economic Review, American Economic Association, vol. 60(4), pages 761-767, September.
    4. Pedroni, Peter, 2004. "Panel Cointegration: Asymptotic And Finite Sample Properties Of Pooled Time Series Tests With An Application To The Ppp Hypothesis," Econometric Theory, Cambridge University Press, vol. 20(03), pages 597-625, June.
    5. Peter Pedroni, 2000. "Fully Modified OLS for Heterogeneous Cointegrated Panels," Department of Economics Working Papers 2000-03, Department of Economics, Williams College.
    6. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
    7. Miguel Ramirez, 2007. "A Panel Unit Root and Panel Cointegration Test of the Complementarity Hypothesis in the Mexican Case: 1960–2001," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 35(3), pages 343-356, September.
    8. Markusen, James R., 1984. "Multinationals, multi-plant economies, and the gains from trade," Journal of International Economics, Elsevier, vol. 16(3-4), pages 205-226, May.
    9. Melina Dritsaki & Chaido Dritsaki, 2012. "A panel data approach to the demand for money in Bulgaria and Romania," Applied Economics Letters, Taylor & Francis Journals, vol. 19(8), pages 705-710, May.
    10. Martin Falk & Mariya Hake, 2008. "A Panel Data Analysis on FDI and Exports," FIW Research Reports series I-012, FIW.
    11. Pedroni, Peter, 1999. " Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 653-670, Special I.
    12. Peter C. B. Phillips & Donggyu Sul, 2003. "Dynamic panel estimation and homogeneity testing under cross section dependence *," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 217-259, June.
    13. Clausing, Kimberly A, 2000. "Does Multinational Activity Displace Trade?," Economic Inquiry, Western Economic Association International, vol. 38(2), pages 190-205, April.
    14. Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002. "Unit root tests in panel data: asymptotic and finite-sample properties," Journal of Econometrics, Elsevier, vol. 108(1), pages 1-24, May.
    15. Helpman, Elhanan, 1984. "A Simple Theory of International Trade with Multinational Corporations," Journal of Political Economy, University of Chicago Press, vol. 92(3), pages 451-471, June.
    16. Maddala, G S & Wu, Shaowen, 1999. " A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 631-652, Special I.
    17. Raphaël Chiappini, 2011. "FDI and trade: A Granger causality analysis in a heterogeneous panel," Economics Bulletin, AccessEcon, vol. 31(4), pages 2975-2985.
    18. repec:dau:papers:123456789/6159 is not listed on IDEAS
    19. Peter Pedroni, 2001. "Purchasing Power Parity Tests In Cointegrated Panels," The Review of Economics and Statistics, MIT Press, vol. 83(4), pages 727-731, November.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Foreign Direct Investment; Exports; Granger Causality; and Heterogenous Panel; Τwelve new EU countries;

    JEL classification:

    • E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

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