German Exports to the Euro Area - A Cointegration Approach
This paper analyses the determinants of German exports to the euro area, which is by far the biggest market for German products. Four conditional error-correction models based on regionally disaggregated data are developed. One specification includes EMU industrial production and a real external value based on consumer prices, the other three use different EMU investment aggregates, the corresponding real external values and a proxy for European market integration to explain exports. The models perform equally well in a number of diagnostic tests. For short-term forecasts, however, the model using industrial production seems to be the best, since it outperforms the other models in terms of one-step ahead out-of-sample forecasts. Furthermore, the explanatory variables of this equation (industrial production and consumer prices) are easier to forecast than investment aggregates and the corresponding prices.
|Date of creation:||Sep 2005|
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- Beyer, Andreas & Doornik, Jurgen A & Hendry, David F, 2001.
"Constructing Historical Euro-Zone Data,"
Royal Economic Society, vol. 111(469), pages 102-121, February.
- David Hendry & Jurgen Doornik, 2000. "Constructing Historical Euro-Zone Data," Economics Series Working Papers 4, University of Oxford, Department of Economics.
- Beyer, A. & Doornik, J.A. & Hendry, D.F., 2000. "Constructing Historical Euro-Zone Data," Economics Working Papers eco2000/10, European University Institute.
- Lapp, Susanne & Scheide, Joachim & Solveen, Ralph, 1995. "Determinants of exports in the G7-countries," Kiel Working Papers 707, Kiel Institute for the World Economy (IfW).
- Goldstein, Morris & Khan, Mohsin S., 1985. "Income and price effects in foreign trade," Handbook of International Economics,in: R. W. Jones & P. B. Kenen (ed.), Handbook of International Economics, edition 1, volume 2, chapter 20, pages 1041-1105 Elsevier.
- Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
- Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-263, July.
- Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
- Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June. Full references (including those not matched with items on IDEAS)
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