Co-integrating relationship between terms of trade, money and current account : the Italian evidence

• Autorzy: Tagliabue G.

Warianty tytułu

PL

Relacja kointegrująca pomiędzy terms of trade, pieniądzem i bilansem obrotów bieżących : wyniki dla Włoch

• Języki publikacji: EN

Abstrakty

EN

As the theoretical studies on the relationship between terms of trade, money and current account have not come to a unique conclusion regarding the nature of this link, the goal of this paper is to explore whether there is a stable long-run relationship among these variables in Italy for the period from the first quarter of 1975 to the first quarter of 2001. The first part provides a brief summary of the main theories on this subject, and various diagnostic procedures are employed before the final estimates are presented. Our data have been tested using the ADF procedure and we applied the cointegration tests to establish the existence of a cointegrating vector within a VAR specification. Once the appropiate form of the VAR was in place, we used the Johansen rank test to determine the number of the cointegrated vectors while an error correction model was estimated in order to capture the disequilibrium effects, so looking at the long-run and dynamic properties of the variables. The empirical results suggest that terms of trade and money are cointegrated in the long run, but not always in the short run, while the relation between terms of trade and Cad holds both in the long and in the short run. Stressing the preliminary nature of this analysis, we believe that some extensions with the inclusion of investment and labour variables, could greatly improve the results.

PL

Ponieważ badania teoretyczne dotyczące zależności pomiędzy terms of trade, pieniądzem i bilansem obrotów bieżących nie doprowadziły do jednoznacznych wniosków co do natury tej zależności, celem pracy jest zbadanie, czy istnieje stabilna relacja długookresowa wiążąca te zmienne. Badanie obejmuje okres od pierwszego kwartału 1975 roku do pierwszego kwartału 2001 roku włącznie. Pierwsza część pracy zawiera krótkie omówienie głównych teorii dotyczących tego zagadnienia. Najpierw wykorzystano wiele procedur diagnostycznych, następnie zaprezentowano ostateczne oceny. Przeprowadzono testy ADF dla każdej ze zmiennych oraz przy użyciu testów kointegracji wykazano istnienie wektora kointegrującego w ramach specyfikacji VAR. Po dokonaniu wyboru właściwej postaci modelu VAR, wykorzystano test rzędu Johansena do wyznaczenia liczby wektorów kointegrujących. W celu uwzględnienia warunków nierównowagi oszacowano natomiast model z mechanizmem korekty błędu. W ten sposób uwzględniono właściwości długookresowe i dynamiczne badanych zmiennych. Wyniki empiryczne sugerują, że terms of trade i pieniądz są skointegrowane w długim okresie, ale nie zawsze w krótkim okresie, zależność pomiędzy terms of trade i rachunkiem obrotów bieżących utrzymuje się natomiast zarówno w długim, jak i krótkim okresie. Przedstawiona analiza ma charakter wstępny. Jej poszerzenie o zmienne dotyczące inwestycji i zatrudnienia powinno znacznie poprawić otrzymane wyniki.

Słowa kluczowe

EN

money; terms of trade; current account; multivariate cointegration

PL

pieniądz; terms of trade; deficyt obrotów bieżących; kointegracja wielowymiarowa

• Wydawca: Oficyna Wydawnicza Politechniki Wrocławskiej
• Czasopismo: Badania Operacyjne i Decyzje
• Rocznik: 2005
• Tom: nr 3-4
• Strony: 99--111
• Opis fizyczny: Bibliogr. 28 poz., rys

Twórcy

autor

Tagliabue G.

• Institute of Economics and Statistics, Faculty of Law, The University of Milan, via Festa del Perdono 7, 20-122 Milano, Italy,

Bibliografia

• [1] ALLEN P.R. (1972), Money and growth in open economies, Review of Economic Studies, No. 39, pp. 213–219.
• [2] BACKUS D.K., KEHOE P.K., KYDLAND E.F. (1994), Dynamics of the trade balance and the terms of trade: the J-curve, American Economic Review, No. 84, pp. 84–103.
• [3] BAHMANI-OSKOOEE M., JANARDHANAN (1995), Is there a long run relationship between terms of trade and trade balance?, Journal of Political Modelling, No. 17, pp. 199–205.
• [4] BAHMANI-OSKOOEE M., SHABSIGH G. (1996), On the effects of money on the terms of trade: an empirical investigation, Applied Economics Letters, No. 3, pp. 721–724.
• [5] CASHIN P., MCDERMOTT C.J. (1998), Terms of trade shocks and the current account, International Monetary Fund Working Paper, December, No. 177, pp. 1–47.
• [6] DICKEY D.A., FULLER W.A. (1979), Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association, No. 74, 427–431.
• [7] DWYER J.A., LEWIS P.E.T. (1991), The price effects of monetary changes: the case of a small open economy”, Journal of Macroeconomics, No. 13, pp. 117–131.
• [8] HARBERGER A.C. (1950), Currency depreciation, income and the balance of trade, Journal of Political Economy, No. 58, pp. 47–60.
• [9] HARPER I., LIM G.C. (1989), 2 Is monetary policy too tight?, Australian Economic Record, No. 86, pp. 5–14.
• [10] HOQUE A. (1995), Co-integrating relationship between terms of trade and current account deficit: The Australian evidence, Applied Economics Letters, No. 2, pp. 130–133.
• [11] KHAN M.S., KNIGHT M.D. (1983), Determinants of current account balances of non-oil developing countries in the 1970s: an empirical analysis, IMF Staff Papers, No. 30, pp. 819–842.
• [12] KOUASSI E., DECALUWE B., KAPOMBE C.M., COLYER D. (1999), Temporal causality and the dynamic interactions between terms of trade and current account deficits in co-integrated VAR processes: further evidence from Ivorian time series, Applied Economics, No. 31, pp. 89–96.
• [13] JOHANSEN S. (1988), Statistical analysis of cointegration vectors, Journal of Economic Dynamics Control, June–September, pp. 231–254.
• [14] JOHANSEN S. (1995), Likehood-based inference in cointegrated vector autoregressive models, Oxford University Press.
• [15] LAURSEN S., LLOYD a. METZLER (1950), Flexible exchange rates and the theory of employment, Review of Economics and Statistics, No. 32, pp. 281–299.
• [16] LUCAS R.E. (1982), Interest rates and currency prices in a two country world, Journal of Monetary Economics, No. 7, pp. 85–106.
• [17] OBSTFELD M. (1982), Aggregate spending and the terms of trade: is there a Laursen-Metzler effect?, Quarterly Journal of Economics, No. 97, may, pp. 251–270.
• [18] PAGAN A.R. (1989), Twin deficits and the Australian models: comments on a conference, mimeo, Australian National Univeristy, Canberra.
• [19] PERSSON T., SVENSSON L.E. (1985), Current account dynamics and the terms of trade: the Harberger-Laursen-Metzler two generations later, Journal of political Economy, 93, 43–65.
• [20] PREBISCH R. (1950), The economic development of Latin America and its principal problems, reprinted in Economic Bulletin for Latin America, Vol. 7, No. 1, 1962, 1–22.
• [21] RAMANATHAN R. (1975), Monetary expansion, balance of trade and economic growth, Economic Record, No. 51, pp. 1–39.
• [22] ROBERTS W.W. (1978), Monetary expansion in an open economy of medium size, Economic record, No. 54, pp. 380–386.
• [23] ROTEMBERG J.J. (1985), Money and the terms of trade, Journal of International Economics, No. 19, pp. 141–160.
• [24] SINGER H.W. (1950), U.S. Foreign investment in underdeveloped areas: the distribution of gains between investing and borrowing countries, American Economic Review, Paper and Proceedings, 40, 473–485.
• [25] STOCKMAN A.C. (1980), A theory of exchange rate determination, Journal of Political Economy, No. 88, pp. 673–698.
• [26] SWESSON L.E.O., RAZIN A. (1983), The terms of trade and the current account: the Harberger-Laursen-Metzler effect, Journal of political Economy, No. 91, pp. 97–125.
• [27] SVENSSON L.E.O. (1985), Current prices, terms of trade and interest rates, Journal of International Economics, No. 18, pp. 17–41.
• [28] TSO A.Y. (1988), Monetary expansion, international trade, and capital accumulation, Economic Record, No. 64, pp. 113–119.