Constancy of Structural Long-Run Relations in a Cointegrated VAR Model of Export Pricing

Hans Christian Kongsted
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Hans Christian Kongsted: Institute of Economics, University of Copenhagen

No 94-03, Discussion Papers from University of Copenhagen. Department of Economics

Abstract: This paper analyzes the structure and constancy of a model of export pricing. The empirical model allows for long-run relations between nonstationary variables and feedback from the foreign trade sector to domestic variables and the exchange rate. A conditional VAR model is derived from the analysis of cointegration and weak exogeneity, and the structural long-run relations of the model are identified as a market share relation and a markup pricing relation. Tests of the constancy of the long-run structure are proposed and, on balance, the hypothesis of a constant long-run structure can be maintained.

Pages: 26 pages
Date: 1994-02
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Persistent link: https://EconPapers.repec.org/RePEc:kud:kuiedp:9403

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