Multivariate Cointegration Analysis of Aggregate Exports: Empirical Evidence for the United States, Canada, and Germany

Hubert Strauß

No 1101, Kiel Working Papers from Kiel Institute for the World Economy (IfW Kiel)

Abstract: A shortcoming of most empirical studies on aggregate exports is their exclusive focus on the demand side. Moreover, the effect of globalization is often neglected leading to implausibly high income elasticities. This paper models export demand and supply simultaneously and incorporates a new proxy for globalization. Owing to the non-stationarity of the data, the vector error correction model is the appropriate econometric framework. Using the Johansen procedure, two cointegration relationships are found and identified as export supply and demand. Overidentifying restrictions derived from economic theory are tested. Finally, after checking for weak exogeneity, a parsimonious partial model is presented and the adjustment paths of the endogenous variables are discussed.

Keywords: cointegration analysis; Johansen procedure; export demand and supply; trade elasticities (search for similar items in EconPapers)
JEL-codes: F31 F41 (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifwkwp:1101

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