The Effects of Exchange Rate Changes on the External Trade Balance

• Autorzy: Ismet Göçer , Mehmet Mercan , Osman Peker
• Języki publikacji: EN

Abstrakty

EN

In this study, the relationship between the increases in foreign exchange rates and the balance of trade has been analyzed with panel data considering structural breaks and cross-sectional dependence by using 1980-2011 period data for the transition countries (Poland, Hungary, Bulgaria, Romania) and Turkey by testing for panel cointegration with multiple structural breaks. The existence of cross-sectional dependence among the countries in the panel has been analyzed with CDLM1_adj test and it has been determined that there is a cross-sectional dependence among these countries. It is thought that this dependence is due to the fact that most exports of these countries go to the European Union. Because there is cross-sectional dependence among the countries, a foreign exchange rate or balance of trade shock happening in one of these countries will affect the other countries. Countries should also take into consideration the events in other related countries. (fragment of text)

Słowa kluczowe

PL

Kurs walutowy; Zmienność kursu walutowego; Bilans handlowy; Analiza ekonometryczna

EN

Exchange rates; Exchange rate variability; Trade balance; Econometric analysis

• Czasopismo: Ekonomista
• Rocznik: 2013
• Numer: nr 2
• Strony: 247-258

Twórcy

autor

Ismet Göçer

• Adam Mickiewicz University in Poznań, Poland

autor

Mehmet Mercan

• Hakkari University, Turkey

autor

Osman Peker

• Adam Mickiewicz University in Poznań, Poland

Bibliografia

• Arize A.C., Cointegration Test Of a Long- Run Relation Between The Real Exchange Rate And The Trade Balance, "International Economic Journal" 1994, No. 8(3).
• Baharumshah A.Z., The Effect of Exchange Rate on Bilateral Trade Balance: New Evidence From Malaysia and Thailand, "Asian Economic Journal" 2001, No. 15(3).
• Bahmani-Oskooe M., Niroomand F., Long-Run Price Elasticities and The Marshall-Lerner Condition Revisited, "Economics Letters" 1998, No. 61(1).
• Bahmani-Oskooe M., Kutan A.M., The J-Curve In The Emerging Economies of The Eastern Europe, "Applied Economics" 2009, No. 41(20).
• Bai J., Perron P., Estimating and Testing Linear Models with Multiple Structural Changes, "Econometrica" 1998, No. 66(1).
• Basher S.A., Westerlund J., Panel Cointegration and the Monetary Exchange Rate Model, "Economic Modelling" 2009, No. 26.
• Beyaert A., Camacho M., TAR Panel Unit Root Tests and Real Convergence: An Application to the EU Enlargement Process, "Review of Development Economics" 2008, No. 12(3).
• Breusch T.S., Pagan A.R., The Lagrange Multiplier Test and Its Applications to Modelspecification Tests in Econometrics, "Review of Economic Studies" 1980, No. 47(1).
• Breitung J., A Parametric Approach to the Estimation of Cointegrating Vectors in Panel Data, "Econometric Reviews" 2005, No. 24(2).
• Breuer B., Mcnown R., Wallace M., Series-Specific Unit Root Test with Panel Data, "Oxford Bulletin of Economics and Statistics" 2002, No. 64(5).
• Carrion-i-Silvestre J.L., Barrio-Castro T. del, Lopez-Bazo E., Breaking the Panels: An Application to the GDP Per Capita, "Econometrics Journal" 2005, No. 8.
• Charemza W.W., Deadman D.E, New Directions in Econometric Practice: General to Specific Modelling, Cointegration and Vector Autoregression, Second Edition, Edward Elgar Publishing, Chel-thenham 1997.
• Choi I., Unit Roots Tests for Panel Data, "Journal of International Money and Finance" 2001, No. 20.
• Gianella Ch., Chanteloup C, Assessing Russia's Non-fuel Trade Elasticities: Does the Russian Economy React "Normally" to Exchange Rate Movements? "OECD Economics Department Working Papers" 2006, No. 510.
• Guloglu B., Ispir M.S., Is Natural Rate of Unemployment or Hysteresis? Sector-Specifc Panel Unit Root Test Analysis for Turkey, "Ege Academic Review" 2011, No. 11(2).
• Hadri K., Testing for Stationarity in Heterogenous Panels, "Econometrics Journal" 2000, No. 3.
• Hsiao Y.M., Pan S.C., Wu P.C., Does the Central Bank's Intervention Benefit Trade Balance? Empirical Evidence From China, "International Review of Economics and Finance" 2012, No. 21.
• Hook S.L., Boon H.T., Reel Exchange Rate Volatility and Malaysian Export to Its Major Trading Partners,, Universty Putra Malaysia "Working Paper" 2000, No. 6.
• Im K., Pesaran H., Shin Y., Testing for Unit Roots in Heterogenous Panels, "Journal of Econometrics" 2003, No. 115(1).
• Jamilov R., J-Curve Dynamics and the Marshall-Lerner Condition: Evidence from Azerbaijan, "MPRA Paper" 2011, No. 39272.
• Lai A.K., Lowinger T.C., Nominal Effective Exchange Rate and Trade Balance Adjustment in South Asia Countries, "Journal of Asian Economics" 2002, No. 13(3).
• Levin A., Lin. C.E, Chu C.S.J., Unit Root Tests in Panel Data: Asymptotic and Finite Sample Properties, "Journal of Econometrics" 2002, No. 108.
• Liu J., Wu S., Zidek J.V., On Segmented Multivariate Regressions, "Statistica Sinica" 1997, No. 7.
• Maddala G.S., Wu S.,A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test, "Oxford Bulletin of Economics and Statistics" 1999, No. 61.
• Miles M.A., The Effect of Devaulation and the Trade Balance of Payment: Some Result, "Journal of Political Economy" 1979, No. 87(31).
• Narayan R., Currency Devaluation and Trade Balance: Policy Issue, "Nepal Economic Perspectives" 2000, No. 18.
• Narayan P.K., New Zealand's Trade Balance: Evidence of The J-Curve and Granger Causality, "Applied Economics Letters" 2004, No. 11(6).
• Newey W.K., West K.D., Automatic Lag Selection in Covariance Matrix Estimation, "Review of Economic Studies" 1994, No. 61(4).
• Peker O., Reel Doviz Kurunun Ticaret Dengesi Uzerindeki Etkileri: Turkiye Ornegi, "Ataturk Universitesi Iktisadi ve Idari Bilimler Dergisi" 2008, No. 22(2).
• Pesaran M.H., General Diagnostic Tests for Cross-Section Dependence in Panels, "Cambridge Working Papers in Economics" 2004, No. 435.
• Peseran H., Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure, "Econometrica" 2006, No. 74(4).
• Pesaran M.H., Ullah A., Yamagata Bias-Adjusted LM Test of Error Cross-Section Independence, "Econometrics Journal" 2008, No. 11(1).
• Pesaran M.H., Yamagata T, Testing Slope Homogeneity in Large Panels, "Journal of Econometrics" 2008, No. 142(1).
• Singh T., Testing J-Curve Hypothesis and Analysing the Effect of Exchange Rate Volatility on the Balance of Trade in India, "Empirical Economics" 2004, No. 29(2).
• Spitaller E., Short Run Effect of Exchange Rate Changes on Run of Trade and Trade Balance, "IMF Staff Paper" 1980, No .27(2).
• Swamy P.A.V.B., Efficient Inference in a Random Coefficient Regression Model, "Econometrica" 1970, No. 38(2).
• Taylor M.P., The Balance of Payments, New Perspectives on Open Economy Macroeconomics, Edward Elgar Publishing, Hampshire 1990.
• Taylor M., Sarno L., The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period, "Journal of International Economics" 1998, No. 46.
• Thirwall A.P., Gibson H.D., Balance of Payments Theory and The United Kingdom Experience, The Maculusalan Press, London 1986.
• Wen L., The Determinants of China's Trade Balance, International Conference on Business Computing and Global Informatization, Shangai 2011.