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Estimating Supply and Demand Functions in International Trade: A Multivariate Cointegration Analysis for Germany

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  • Martin Meurers

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    (Bundesministerium für Wirtschaft und Arbeit)

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    Abstract

    In this paper aggregate supply and demand functions for Germany's imports and exports are estimated for the period 1975:1-1999:4. Previous studies are extended in two regards: First, the multivariate estimation technique of Johansen (1988, 1991) is employed, which helps to avoid the potential bias of the predominately used single-equation approaches. Second, structural error-correction models are estimated for the import and export market. This allows for conclusions about the short-run response of buyers and sellers in both markets to changes in their forcing variables.

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    Article provided by Justus-Liebig University Giessen, Department of Statistics and Economics in its journal Journal of Economics and Statistics.

    Volume (Year): 224 (2004)
    Issue (Month): 5 (September)
    Pages: 530-556

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    Handle: RePEc:jns:jbstat:v:224:y:2004:i:5:p:530-556
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    Keywords: German imports and exports; cointegration; structural error-correction model;

    Find related papers by JEL classification:

    • 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
    • F17 - International Economics - - Trade - - - Trade Forecasting and Simulation
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements

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    Cited by:

    1. Stirböck, Claudia, 2006. "How strong is the impact of exports and other demand components on German import demand? Evidence from euro-area and non-euro-area imports," Discussion Paper Series 1: Economic Studies 2006,39, Deutsche Bundesbank, Research Centre.

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