Estimating Income and Price Elasticities of Trade in a Cointegration Framework

Caporale, Guglielmo Maria; Chui, Michael

doi:10.1111/1467-9396.00161

Cited by 85 publications

(73 citation statements)

References 10 publications

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“…Studies which use more advanced estimation techniques include Cap or ale and Chui (1995) and McGettigan and Nugent (1995). As opposed to previous studies on Ireland, Caporale and Chui (1995) and McGettigan and Nugent (1995) recognise the non-stationary nature of exports and its determinants. Both papers obtain estimates of the income elasticity of exports between 1.7 and 3.6, and the relative price elasticity between 0.34 and 7.58.…”

Section: Introductioncontrasting

confidence: 58%

Exchange rate volatility and exports: the case of Ireland

Fountas

Bredin

1998

Applied Economics Letters

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We use the techniques of cointegration and error correction models to estimate long-run and short-run export demand functions for Ireland using quarterly data for the 1979-93 period. We consider three determinants of exports: foreign income, relative prices, and exchange rate volatility. Our results indicate that exports depend significantly on foreign income and relative prices, in particular in the long run. Exchange rate uncertainty proxied by exchange rate volatility appears to depress export volume only in the short run according to our estimated error correction model.

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Section: Introductioncontrasting

confidence: 58%

Exchange rate volatility and exports: the case of Ireland

Fountas

Bredin

1998

Applied Economics Letters

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“…The procedure includes the first-differenced variables to avoid small-sample bias resulting from correlation between the error term and the I(1) variables. Standart hypothesis testing can then be done by using robust standart errors (Caporale and Chui, 1999). All these methods require tuning parameter choices.…”

Section: Johansen Cointegration Testmentioning

confidence: 99%

Factors Affecting Current Account Balance of Turkey: A Survey With the Cointegrating Regression Analysis

Özdamar¹

2015

Pressacademia

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In Turkish economy, especially in recent years, ratio of current account deficits to national income is considerably high. Interrelations between current account balance and other macroeconomic indicators make it important to investigate which factors to what extent affect the current account balance in terms of economic policy decisions. In this study, the relationships between current account balance and various macroeconomic variables in Turkish economy are investigated empirically with Johansen cointegration test and with cointegrating regression analyses (FMOLS, CCR and DOLS) for the 1994-2014 period. It is found that foreign trade balance is a strong explanatory of the current account balance; terms of trade and gross domestic product also have statistically significant effects on the current balance. According to the results Harberger-Laursen-Metzler (HLM) hypothesis seems to be valid for Turkey. Besides, results of the study reveal that domestic interest rates and real effective exchange rate affects Turkey's current account balance as expected but these variables are found to be insignificant.

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“…DOLS is a simple method allowing to build an asymptotically efficient estimator that eliminates the feedback in the cointegrating system. It contains the variables with first difference so that the small-sample bias resulting from the correlation between error term and I(1) variables can be eliminated (Caporale & Chui, 1999). Below is the augmented cointegrating equation including the lags and leads of Xt so that the cointegrating equation error term is orthogonal to the stochastic regressor innovations:…”

Section: Dynamic Ordinary Least Squaresmentioning

confidence: 99%

Correlations between energy consumption per capita, growth rate, industrialisation, trade volume and urbanisation: the case of Turkey

Yurdakul¹

2017

PROSOC

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This study examines the relationship of energy consumption per capita with growth rate, industrialisation, trade volume and urbanisation in Turkish economy throughout the 1980-2015 period using the Engle-Granger, Fully modified ordinary least squares (FMOLS), canonical cointegration regression (CCR) and dynamic ordinary least squares (DOLS) methods. Analysis results revealed a long-run equilibrium relationship between the change in energy consumption per capita and growth rate, industrialisation, trade volume and urbanisation. Urbanisation, industrialisation, growth rate and trade volume positively influence the change in energy consumption per capita.

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Estimating Income and Price Elasticities of Trade in a Cointegration Framework

Cited by 85 publications

References 10 publications

Exchange rate volatility and exports: the case of Ireland

Exchange rate volatility and exports: the case of Ireland

Factors Affecting Current Account Balance of Turkey: A Survey With the Cointegrating Regression Analysis

Correlations between energy consumption per capita, growth rate, industrialisation, trade volume and urbanisation: the case of Turkey

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