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Exchange Rate Movements and the Trade Balance Deficit: A Multivariate Cointegration Analysis

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Abstract

Using the Johansen cointegration analysis on quarterly data over the 1979-1994 period, it is shown that there is a long-run relationship between the Greek trade balance and the real effective exchange rate of the Greek currency with the currencies of OECD countries, taking into account the effects of changes in domestic economic activity and in the economic activity of Greece’s trading partners (OECD countries). On the contrary, we found that there are no short-term linkages (dynamic structures) among the variables included in our model.

Suggested Citation

  • Paleologos, John M. & Georgantelis, Spyros E., 1997. "Exchange Rate Movements and the Trade Balance Deficit: A Multivariate Cointegration Analysis," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 50(3), pages 459-470.
    • Handle: RePEc:ris:ecoint:0333
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    Cited by:

    1. John Paleologos & Grigorios Bitzis, 2006. "Assessing the Effectiveness of the Exchange Rate Movements on the Greek Current Account Deficit: A Cointegration Analysis," European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 45-64.
    2. Shah Hussain, 2008. "Sources of Real Exchange Rate Misalignment Evidence from Pakistan," SBP Working Paper Series 26, State Bank of Pakistan, Research Department.
    3. Mahmood, Haider & Alkhateeb, Tarek Tawfik Yousef & Ahmed, Nawaz, 2017. "Impact of Devaluation on Industrial Exports in Saudi Arabia: J-Curve Hypothesis," MPRA Paper 109455, University Library of Munich, Germany.

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    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange

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