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La condition de Marshall-Lerner-Robinson est-elle stable ? Approche par le test GLS cointégration à niveau et puissance améliorés
[Does the Marshall-Lerner-Robinson condition verify the stability? Evidence from GLS-cointegration test with Good Size and Power]

  • Ghassan, Hassan B.

The aim of the paper is to test the Marshall-Lerner-Robinson condition by using the unit-root test of Ng-Perron (2001) and cointegration test of Perron-Rodriguez (2001). These tests are based on procedures for removing the trend using the GLS, leading to remove no-stochastic components. By examining the existence of LR relationship between the exchange rate and net-exports using the Moroccan quarterly data, it appears that there is no complementary relationship between the two variables. The rigidity of nominal and real behaviors of both private and public sectors explains to some extent the absence of a long-run equilibrium in the temporal evolution of the exchange rate. These discrepancies related in particular to markets mechanism and economic policies of the government.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 56354.

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Date of creation: 05 Sep 2007
Date of revision: 15 Jan 2008
Publication status: Published in Revue des Economies Nord Africaines 1.5(2008): pp. 21-48
Handle: RePEc:pra:mprapa:56354
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  1. Blough, Stephen R, 1992. "The Relationship between Power and Level for Generic Unit Root Tests in Finite Samples," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(3), pages 295-308, July-Sept.
  2. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July.
  3. Rose, Andrew K., 1990. "Exchange rates and the trade balance : Some evidence from developing countries," Economics Letters, Elsevier, vol. 34(3), pages 271-275, November.
  4. Boyd, Derick & Caporale, Gugielmo Maria & Smith, Ron, 2001. "Real Exchange Rate Effects on the Balance of Trade: Cointegration and the Marshall-Lerner Condition," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(3), pages 187-200, July.
  5. Paul R. Masson, 2000. "Exchange Rate Regime Transitions," IMF Working Papers 00/134, International Monetary Fund.
  6. Ghassan, Hassan B., 2003. "Relations de Long Terme entre Investissement, Déficit Extérieur et Autofinancement sur un Panel Sectoriel
    [Long Run Relationships between Investment, Trade Deficit and Cash-Flow: Evidence from Sect
    ," MPRA Paper 56423, University Library of Munich, Germany, revised 10 Sep 2003.
  7. PERRON, Pierre & RODRIGUEZ, Gabriel, 1998. "GLS Detrending, Efficient Unit Root Tests and Structural Change," Cahiers de recherche 9809, Universite de Montreal, Departement de sciences economiques.
  8. Kamal Upadhyaya & Dharmendra Dhakal, 1997. "Devaluation and the trade balance: estimating the long run effect," Applied Economics Letters, Taylor & Francis Journals, vol. 4(6), pages 343-345.
  9. Bahmani-Oskooee, Mohsen & Niroomand, Farhang, 1998. "Long-run price elasticities and the Marshall-Lerner condition revisited," Economics Letters, Elsevier, vol. 61(1), pages 101-109, October.
  10. Maurice Obstfeld & Kenneth S. Rogoff, 1996. "Foundations of International Macroeconomics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262150476, June.
  11. Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-93, January.
  12. Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, vol. 112(2), pages 359-379, February.
  13. Rapach, David E. & Weber, Christian E., 2004. "Are real interest rates really nonstationary? New evidence from tests with good size and power," Journal of Macroeconomics, Elsevier, vol. 26(3), pages 409-430, September.
  14. Perron, P. & Rodriguez, G., 2000. "Residual Based Tests for Cointegration with GLS Detrended Data," Working Papers 0004e, University of Ottawa, Department of Economics.
  15. Cagri Sarikaya, 2004. "Export Dynamics in Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 4(2), pages 41-64.
  16. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
  17. Mohsen Bahmani-Oskooee, 2001. "Nominal and real effective exchange rates of middle eastern countries and their trade performance," Applied Economics, Taylor & Francis Journals, vol. 33(1), pages 103-111.
  18. Chi-Ang Lin, 1997. "The trade balance and the real exchange rate: the US evidence from 1973: 3 to 1994: 9," Applied Economics Letters, Taylor & Francis Journals, vol. 4(8), pages 517-520.
  19. Paul R. Krugman & Richard E. Baldwin, 1987. "The Persistence of the U.S. Trade Deficit," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 18(1), pages 1-56.
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