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The euro effect on trade: evidence in gravity equations using panel cointegration techniques

  • Cecilio R. Tamarit Escalona

    ()

    (Universitat de València)

  • Estrella Gómez

    ()

    (Dpto. Teoría e Historia Económica)

In this paper we present new evidence on the effect of the Euro on trade. We use a data set containing all bilateral combinations in a panel of 26 countries covering the period 1967-2008. We estimate the equation using two sets of variables: a standard one and a second one built according to the criticisms stated by Baldwin and Taglioni (2006). We implement a new generation of tests that allow us to solve some of the problems derived from the non-stationary nature of the data usually present in the macroeconomic variables used in gravitational equations (GDP, trade). To this aim we use some panel tests that account for the presence of cross-section dependence as well as discontinuities in the non-stationary panel data series. We test for cointegration between the variables using panel cointegration tests, especially the ones proposed by Banerjee and Carrión-i-Silvestre (2004, 2010). We also efficiently estimate the long-run relationships using the CUP-BC and CUP-FM estimators proposed in Bai et al. (2009). The results obtained are in line with those of Bun and Klaassen (2007). We argue that the creation of the European Monetary Union is best interpreted as a culmination of a series of policy changes that have been increasing economic integration in Europe during over four decades. En este trabajo presentamos nueva evidencia del efecto del Euro sobre el comercio. En este trabajo presentamos nueva evidencia del efecto del Euro sobre el comercio. Para ello utilizamos una base de datos que contiene todas las combinaciones bilaterales en un panel de 26 países para el periodo 1967-2008. Estimamos la ecuación de gravedad usando dos tipos de variables: la estándar en la literatura y la que recoge las críticas de Baldwin y Taglioni (2006), aplicando una nueva generación de contrastes que nos permiten resolver los principales problemas derivados de la naturaleza no estacionaria de las series. Con este propósito utilizamos algunos contrastes de panel que tienen en cuenta la presencia de dependencia cross-section así como de rupturas en las series. Para realizar el análisis de cointegración cabe destacar el uso del contraste de Banerjee y Carrion-i-Silvestre (2006, 2010). También estimamos de forma eficiente las relaciones de largo plazo mediante los estimadores CUPpc y CUPfm propuestos por Bai et al. (2009). Los resultados obtenidos están en línea con los de Bun y Klaassen (2007). Nuestro argumento es que la creación de la Unión Monteria Europea se debe interpretar como la culminación de un conjunto de cambios de política que han ido dando lugar a un proceso de integración económica en Europa durante las últimas cuatro décadas.

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File URL: http://www.ivie.es/downloads/docs/wpasec/wpasec-2011-07.pdf
File Function: Fisrt version / Primera version, 2011
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Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number 2011-07.

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Length: 47 pages
Date of creation: Jul 2011
Date of revision:
Publication status: Published by Ivie
Handle: RePEc:ivi:wpasec:2011-07
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