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

Tomás del Barrio Castro, Mariam Camarero and Cecilio Tamarit

Empirical Economics, 2015, vol. 49, issue 2, 389-402

Abstract: We analyze imbalances in external accounts that have historically affected most developed countries. The purpose of this study was to shed some light on the sustainability of the current account for a group of OECD countries by merging the popular Husted (Rev Econ Stat 74(1):159–166, 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 in Int Rev Econ Financ 11:101–115, 2002 ; Hamori in Appl Econ Lett 16:1691–1694, 2009 ), we analyze the long-run relationship linking exports and imports, using quarterly data. In contrast to these studies, we explicitly deal with seasonal effects through the use of periodic integration and cointegration and find a long-run relationship for the majority of the countries. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Current account; Time series; Periodic integration; Periodic cointegration; F14; F32; C22 (search for similar items in EconPapers)
Date: 2015
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Working Paper: An analysis of the trade balance for OECD countries using periodic integration and cointegration (2013)
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DOI: 10.1007/s00181-014-0874-y

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