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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_ost - Ostatní články v recenzovaných periodicích

CEP obor

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OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2016

Kód důvěrnosti údajů

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

Název periodika

Financial Assets and Investing

ISSN

1804-5081

e-ISSN

—

Svazek periodika

3

Číslo periodika v rámci svazku

7

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

21

Strana od-do

37-57

Kód UT WoS článku

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EID výsledku v databázi Scopus

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