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An analysis of the trade balance for OECD countries using periodic integration and cointegration

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  • Tomas del Barrio Castro

    (Department of Applied Economics, University of the Balearic Islands)

  • Mariam Camarero

    (Deparment of Economics, Universitat Jaume I)

  • Cecilio Tamarit

    (Department of Applied Economics II, University of Valencia)

Abstract

We analyze imbalances in external accounts that have historically a¤ected most developed countries. The purpose of this study is to shed some light on the sus- tainability of the current account for a group of OECD countires by merging the popular Husted (1992) testing procedure with recent econometric analysis dealing with seasonality. A necessary condition for current account sustainability is that exports and imports are cointegrated. Following previous empirical studies (Husted (1992), Arize (2002) and Hamori (2009)) we analyze the long-run relationship link- ing exports and imports, using quarterly data. In contrast to these studies, we explicitly deal with seasonal e¤ects through the use of periodic integration and cointegration and ?nd a long-run relationship for the majority of the countries.

Suggested Citation

  • Tomas del Barrio Castro & Mariam Camarero & Cecilio Tamarit, 2013. "An analysis of the trade balance for OECD countries using periodic integration and cointegration," Working Papers 1320, Department of Applied Economics II, Universidad de Valencia.
    • Handle: RePEc:eec:wpaper:1320
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    Cited by:

    1. Tomas del Barrio Castro & Mariam Camarero & Cecilio Tamarit, 2013. "The trade balance in euro countries: a natural case study of periodic integration with a changing mean," Working Papers 1321, Department of Applied Economics II, Universidad de Valencia.
    2. Mariam Camarero & Josep Lluís Carrion-i-Silvestre & Cecilio Tamarit, 2021. "Análisis de la sostenibilidad del sector exterior en la OCDE con técnicas de multicointegración," Working Papers 2112, Department of Applied Economics II, Universidad de Valencia.
    3. Tomás Barrio & Mariam Camarero & Cecilio Tamarit, 2019. "Testing for Periodic Integration with a Changing Mean," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 45-75, June.

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    More about this item

    Keywords

    Current account; time series; periodic integration; periodic cointegration;
    All these keywords.

    JEL classification:

    • F14 - International Economics - - Trade - - - Empirical Studies of Trade
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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