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Investigating the Cyclical Properties of World Trade

Author

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  • Monika Ruschinski

Abstract

The world economy in the last two decades is clearly marked by the integration of emerging countries in the international division of labor. To better understand the "globalization" effect, it is helpful to analyze the pattern and structure of world trade volume in the past, in order to draw conclusions for future development. An unobserved components model is used for decomposing world trade volume into trend, cycle, seasonal and irregular components. The analyses show that the process of the world trade volume is driven by the well-known fluctuations in form of the "Kitchin" and "Juglar Cycle". Furthermore, there is one more cycle with a period between 4 and 5 years which improves the estimation results significantly. The information of the cyclical behavior of the time series is used for projections.

Suggested Citation

  • Monika Ruschinski, 2006. "Investigating the Cyclical Properties of World Trade," ifo Working Paper Series 30, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
  • Handle: RePEc:ces:ifowps:_30
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    File URL: http://www.cesifo-group.de/DocDL/IfoWorkingPaper-30.pdf
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    References listed on IDEAS

    as
    1. Watson, Mark W., 1986. "Univariate detrending methods with stochastic trends," Journal of Monetary Economics, Elsevier, vol. 18(1), pages 49-75, July.
    2. Gebhard Flaig, 2002. "Unoberserved Components Models for Quarterly German GDP," CESifo Working Paper Series 681, CESifo Group Munich.
    3. Gebhard Flaig*, 2005. "Time Series Properties of the German Production Index," AStA Advances in Statistical Analysis, Springer;German Statistical Society, pages 419-434.
    4. Agustín Maravall, 1996. "Unobserved Components in Economic Time Series," Working Papers 9609, Banco de España;Working Papers Homepage.
    5. Gebhard Flaig, 2001. "Trend and Cycles in U.S. Real GDP," CESifo Working Paper Series 607, CESifo Group Munich.
    6. Langmantel Erich, 2005. "Identifying the German Inventory Cycle: A Multivariate Structural Time Series Approach Using Survey Data," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 225(6), pages 675-687, December.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    World trade; economic integration; unobserved components model; forecasting.;

    JEL classification:

    • F02 - International Economics - - General - - - International Economic Order and Integration
    • F17 - International Economics - - Trade - - - Trade Forecasting and Simulation

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