Register  |  Login  |  Inquiries  |  Sitemap
Advanced Search
Journal of Economic Integration 1998 December;13(4) :607-625.
DOI: https://doi.org/10.11130/jei.1998.13.4.607
L o n g - run and Short - run Effects of Exchange Rate Movements for Major EU Countries: Cointegration and Erro r- C o rrection Modeling
Manuel Cantavella-Jordá and 
Celestino Suárez-Burguet 
Universitat Jaume I and Instituto de Economía Internacional
Copyright ©1998 Journal of Economic Integration
ABSTRACT
This paper examines the long-run and short - run effects of depre c i a t i o n / devaluation for major European Union countries (Germ a n y, France, the Unit ed Kingdom, and Italy) over the 1975-1997 period. The approach is based on cointegration techniques proposed by Johansen [1988] and uses quarterly data. The empirical results indicate the existence of a positive relationship between the exchange rate and the trade balance for each country although long-ru n e ffects are rather moderate. According to the short - run analysis, there is a find ing of a J-curve for Italy and the United Kingdom. The costs of re l i n q u i s h i n g individual exchange rates may be rather small for major EU countries. (JEL Classification: F31, F41)
 
REFERENCE
1. Sargan, J. D. [1964], "Wages and Prices in the United Kingdom: A Study in Econometric Methodology," Reproduced in Wallis, K. F. and Handry D. F., (eds.), Quantitative Economics and Econometric Analysis, Basill Blackwell, Oxford 1984.
2. Muscatelli, V. A. and Hurn, S. [1992], "Cointegration and Dynamic Ti m e Series Models," Journal of Economic Surveys 6; pp. 1-37.
TOOLS
PDF Links  PDF Links
Full text via DOI  Full text via DOI
Download Citation  Download Citation
Supplement  Supplement
  E-Mail
Share:      
METRICS
0
Crossref
0
Scopus
1,136
View
5
Download
Editorial Office
Center for Economic Integration, Sejong Institution, Sejong University, 209, Neungdong-Ro, Gwangjin-Gu,
Seoul, 05006, Korea
TEL : +82-2-3408-3338    FAX : +82-2-3408-3338   E-mail : jei@sejong.ac.kr
Browse Articles |  Current Issue |  For Authors and Reviewers |  About
Copyright© by Center for Economic Integration. All right reserved.