Cointegration and causality between Romanian exports and imports

Dumitriu, Ramona and Stefanescu, Razvan and Nistor, Costel (2009): Cointegration and causality between Romanian exports and imports. Published in: Proceedings of the 4th International Conference on Business Excellence ICBE, 16-17 October, 2009, Brasov, Romania , Vol. 1, (12 October 2009): pp. 182-185.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Causality, Cointegration, Romanian Foreign Trade
• Subjects: F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F40 - General; F - International Economics > F1 - Trade > F10 - General; F - International Economics > F1 - Trade > F19 - Other

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