Cointegration Approach to the Estimation of the Long-Run Relations between Exchange Rates and Trade Balances in Visegrad Countries

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F16%3A00010711" target="_blank" >RIV/47813059:19520/16:00010711 - isvavai.cz</a>

Result on the web

<a href="http://fai.econ.muni.cz/2016/3/75" target="_blank" >http://fai.econ.muni.cz/2016/3/75</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.5817/FAI2016-3-3" target="_blank" >10.5817/FAI2016-3-3</a>

Result language

angličtina

Original language name

Cointegration Approach to the Estimation of the Long-Run Relations between Exchange Rates and Trade Balances in Visegrad Countries

Original language description

The paper deals with the relationship between exchange rates and foreign trade. The aim of this paper is to reveal the long-term effects of the level of exchange rates on the trade balances of the Visegrad Countries. As the different product categories are characterized by different price elasticity, exchange rate uncertainty sensitivity and countries are differentiated by consumer and producer behavior patterns, this paper uses territorial and commodity structuring of foreign trade data. An empirical analysis is performed for the period 1999: Q1-2014: Q3. The effects of exchange rate levels are analyzed by Johansen cointegration analysis to reveal the long-term effects. The approach adopted in this study is found to be an acceptable substitute for testing the Marshall-Lerner condition. Bilateral and majority of partial trade balances are cointegrated with bilateral exchange rate in the long term. Although there are some product categories without proved cointegration, the product cate gories tending to the long-term equilibrium significantly exceed them. Based on this analysis it can be stated that the bulk of the total and partial bilateral trade balances are characterized by a common long-term development with domestic and foreign GDP and bilateral exchange rates.

Czech name

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Czech description

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Type

J_ost - Miscellaneous article in a specialist periodical

CEP classification

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OECD FORD branch

50206 - Finance

Project

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Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2016

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Financial Assets and Investing

ISSN

1804-5081

e-ISSN

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Volume of the periodical

3

Issue of the periodical within the volume

7

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

21

Pages from-to

37-57

UT code for WoS article

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EID of the result in the Scopus database

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