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An analysis of the trade balance for OECD countries using periodic integration and cointegration

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  • Tomas Barrio Castro
  • Mariam Camarero
  • Cecilio Tamarit

Abstract

We analyze imbalances in external accounts that have historically affected most developed countries. The purpose of this study was to shed some light on the sustainability of the current account for a group of OECD countries by merging the popular Husted (Rev Econ Stat 74(1):159–166, 1992 ) testing procedure with recent econometric analysis dealing with seasonality. A necessary condition for current account sustainability is that exports and imports are cointegrated. Following previous empirical studies (Husted 1992 ; Arize in Int Rev Econ Financ 11:101–115, 2002 ; Hamori in Appl Econ Lett 16:1691–1694, 2009 ), we analyze the long-run relationship linking exports and imports, using quarterly data. In contrast to these studies, we explicitly deal with seasonal effects through the use of periodic integration and cointegration and find a long-run relationship for the majority of the countries. Copyright Springer-Verlag Berlin Heidelberg 2015

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  • Tomas Barrio Castro & Mariam Camarero & Cecilio Tamarit, 2015. "An analysis of the trade balance for OECD countries using periodic integration and cointegration," Empirical Economics, Springer, vol. 49(2), pages 389-402, September.
    • Handle: RePEc:spr:empeco:v:49:y:2015:i:2:p:389-402
    DOI: 10.1007/s00181-014-0874-y
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    Cited by:

    1. Tomas del Barrio Castro & Mariam Camarero & Cecilio Tamarit, 2013. "The trade balance in euro countries: a natural case study of periodic integration with a changing mean," Working Papers 1321, Department of Applied Economics II, Universidad de Valencia.
    2. Mariam Camarero & Josep Lluís Carrion-i-Silvestre & Cecilio Tamarit, 2021. "Análisis de la sostenibilidad del sector exterior en la OCDE con técnicas de multicointegración," Working Papers 2112, Department of Applied Economics II, Universidad de Valencia.
    3. Tomás Barrio & Mariam Camarero & Cecilio Tamarit, 2019. "Testing for Periodic Integration with a Changing Mean," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 45-75, June.

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    More about this item

    Keywords

    Current account; Time series; Periodic integration ; Periodic cointegration; F14; F32; C22;
    All these keywords.

    JEL classification:

    • F14 - International Economics - - Trade - - - Empirical Studies of Trade
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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