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Cointegration and causality between Romanian exports and imports

  • Dumitriu, Ramona
  • Stefanescu, Razvan
  • Nistor, Costel

This paper explores the dynamic relations between the Romanian exports and imports using monthly data from January 2005 to March 2009. We test the cointegration and causality between the two variables. The results of Engle-Granger, Johansen and cointegration tests are ambiguous while the Breitung test infirmed the hypothesis of cointegration between exports and imports. In these circumstances we conclude that we can’t consider Romanian current account deficits as sustainable. We also find evidence of the bidirectional Granger causality between the exports and the imports explained by the significant interactions between the two variables.

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File URL: http://mpra.ub.uni-muenchen.de/42091/1/MPRA_paper_42091.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 42091.

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Date of creation: 03 May 2009
Date of revision: 06 Aug 2009
Handle: RePEc:pra:mprapa:42091
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  1. Husted, Steven, 1992. "The Emerging U.S. Current Account Deficit in the 1980s: A Cointegration Analysis," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 159-66, February.
  2. Bent Nielsen & Soren Johansen and Rocco Mosconi, 2000. "Cointegration analysis in the presence of structural breaks in the deterministic trend," Economics Series Working Papers 2000-W22, University of Oxford, Department of Economics.
  3. Arize, Augustine C., 2002. "Imports and exports in 50 countries: Tests of cointegration and structural breaks," International Review of Economics & Finance, Elsevier, vol. 11(1), pages 101-115, April.
  4. Saikkonen, Pentti & Lütkepohl, Helmut, 1999. "Testing for a unit root in a time series with a level shift at unknown time," SFB 373 Discussion Papers 1999,72, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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