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

Author

Listed:
  • Tomas del Barrio Castro

    (Department of Applied Economics, University of the Balearic Islands)

  • Mariam Camarero

    (Deparment of Economics, Universitat Jaume I)

  • Cecilio Tamarit

    (Department of Applied Economics II, University of Valencia)

Abstract

We analyze imbalances in external accounts that have historically a¤ected most developed countries. The purpose of this study is to shed some light on the sus- tainability of the current account for a group of OECD countires by merging the popular Husted (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 (2002) and Hamori (2009)) we analyze the long-run relationship link- ing exports and imports, using quarterly data. In contrast to these studies, we explicitly deal with seasonal e¤ects through the use of periodic integration and cointegration and nd a long-run relationship for the majority of the countries.

Suggested Citation

  • Tomas del Barrio Castro & Mariam Camarero & Cecilio Tamarit, 2013. "An analysis of the trade balance for OECD countries using periodic integration and cointegration," Working Papers 1320, Department of Applied Economics II, Universidad de Valencia.
  • Handle: RePEc:eec:wpaper:1320
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    References listed on IDEAS

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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.

    More about this item

    Keywords

    Current account; time series; periodic integration; periodic cointegration;

    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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