THE RELATIONSHIP BETWEEN EXCHANGE RATE AND EXPORTS IN ROMANIA USING A VECTOR AUTOREGRESSIVE MODEL

Carmen Sandu and Nicolae Ghiba

Annales Universitatis Apulensis Series Oeconomica, 2011, vol. 2, issue 13, 29

Abstract: In this paper we analyze the exchange rate influence on exports volume in Romania using a vector autoregressive model (VAR). Our analysis, relative to the 2003Q2- 2011Q1 period, reflects a negative relationship for the first lag and a positive one in the second lag. Considering the first lag as being significant, an increase of the exchange rate level has effects in decreasing exports volume. Also, according to impulse-response function, a shock in the exchange rate has significant effects on exports after two periods. Variance decomposition shows a weaker influence, less than 10 percent.

Keywords: exchange rate; volatility; Romanian leu; international trade; depreciation; appreciation. (search for similar items in EconPapers)
JEL-codes: C32 E31 F31 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:alu:journl:v:2:y:2011:i:13:p:29

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