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The trade balance in euro countries: a natural case study of periodic integration with a changing mean

Author

Listed:
  • Tomas del Barrio Castro

    (University of the Balearic Islands)

  • Mariam Camarero

    (Universitat Jaume I)

  • Cecilio Tamarit

    (University of Valencia)

Abstract

External imbalances in the eurozone have become an issue of increased interest as an indicator of overall macroeconomic disequilibria. We focus on the euro-area countries with data available that has not been seasonally adjusted: Finland, France, the Netherlands, Italy and Spain. We use periodic integration and cointegration to deal with the seasonality and nonstationarity present in the time series and to analyze the long-run relationship between exports and imports. We nd a clear change in the mean in all the countries that can be associated with the creation of the euro. Hence we extend the test of periodic integration proposed by Boswijk and Franses (1996) allowing for a change in the mean. Finally we conclude that we nd a long-run relationship for the majority of the countries.

Suggested Citation

  • 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.
  • Handle: RePEc:eec:wpaper:1321
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Trade balance; current account; periodic integration; periodic cointegration; change in the mean;

    JEL classification:

    • F14 - International Economics - - Trade - - - Empirical Studies of Trade
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • 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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