The trade balance in euro countries: a natural case study of periodic integration with a changing mean

Tomás del Barrio Castro, Mariam Camarero and Cecilio Tamarit

No 1321, Working Papers from Department of Applied Economics II, Universidad de Valencia

Abstract: External imbalances in the eurozone have become an issue of increased interest as an indicator of overall macroeconomic disequilibria. We focus on the euro-area countries with data available that has not been seasonally adjusted: Finland, France, the Netherlands, Italy and Spain. We use periodic integration and cointegration to deal with the seasonality and nonstationarity present in the time series and to analyze the long-run relationship between exports and imports. We ?nd a clear change in the mean in all the countries that can be associated with the creation of the euro. Hence we extend the test of periodic integration proposed by Boswijk and Franses (1996) allowing for a change in the mean. Finally we conclude that we ?nd a long-run relationship for the majority of the countries.

Keywords: Trade balance; current account; periodic integration; periodic cointegration; change in the mean (search for similar items in EconPapers)
JEL-codes: C12 C22 F14 F32 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2013-11
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Persistent link: https://EconPapers.repec.org/RePEc:eec:wpaper:1321

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