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

Tomás del Barrio Castro, Mariam Camarero and Cecilio Tamarit

No 1320, Working Papers from Department of Applied Economics II, Universidad de 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.

Keywords: Current account; time series; periodic integration; periodic cointegration (search for similar items in EconPapers)
JEL-codes: C22 F14 F32 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2013-10
New Economics Papers: this item is included in nep-cwa
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: An analysis of the trade balance for OECD countries using periodic integration and cointegration (2015)
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