Cointegration and causality between Romanian exports and imports

Ramona Dumitriu, Razvan Stefanescu and Costel Nistor

MPRA Paper from University Library of Munich, Germany

Abstract: This paper explores the dynamic relations between the Romanian exports and imports using monthly data from January 2005 to March 2009. We test the cointegration and causality between the two variables. The results of Engle-Granger, Johansen and cointegration tests are ambiguous while the Breitung test infirmed the hypothesis of cointegration between exports and imports. In these circumstances we conclude that we can’t consider Romanian current account deficits as sustainable. We also find evidence of the bidirectional Granger causality between the exports and the imports explained by the significant interactions between the two variables.

Keywords: Causality; Cointegration; Romanian Foreign Trade (search for similar items in EconPapers)
JEL-codes: F10 F19 F40 (search for similar items in EconPapers)
Date: 2009-05-03, Revised 2009-08-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:42091

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