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Cointegration and causality between Romanian exports and imports

Author

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

Abstract

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.

Suggested Citation

  • Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2009. "Cointegration and causality between Romanian exports and imports," MPRA Paper 42091, University Library of Munich, Germany, revised 06 Aug 2009.
    • Handle: RePEc:pra:mprapa:42091
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    File URL: https://mpra.ub.uni-muenchen.de/42091/1/MPRA_paper_42091.pdf
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    References listed on IDEAS

    as
    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 159-166, February.
    2. Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000. "Cointegration analysis in the presence of structural breaks in the deterministic trend," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 216-249.
    3. Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000. "Cointegration analysis in the presence of structural breaks in the deterministic trend," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 216-249.
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    Cited by:

    1. Antwi-Boateng, Cosmos, 2015. "Is Ghana achieving sustainable trade balance in the participation of international trade? time series assessment for Ghana," MPRA Paper 67268, University Library of Munich, Germany.
    2. Ali Farhan Chaudhry & Abdul Rauf Butt & Muhammad Irfan Chani, 2017. "Long-Run Relationship between Exports and Imports of Pakistan," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(8), pages 204-211, August.
    3. Branimir Skoko & Pero Zovko, 2018. "Sustainability of Bosnia and Herzegovina’s international trade flows," Notitia - journal for economic, business and social issues, Notitia Ltd., vol. 1(4), pages 1-8, December.
    4. Haque, M.I., 2015. "Are exports and imports of Saudi Arabia cointegrated? An empirical study," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 15(1), pages 111-124.

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    More about this item

    Keywords

    Causality; Cointegration; Romanian Foreign Trade;
    All these keywords.

    JEL classification:

    • F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General
    • F10 - International Economics - - Trade - - - General
    • F19 - International Economics - - Trade - - - Other

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