Pregled bibliografske jedinice broj: 622913
Is there linear or nonlinear cointegration relationship between income terms of trade and exchange rate in Croatia?
Is there linear or nonlinear cointegration relationship between income terms of trade and exchange rate in Croatia? // Smart Organization ; High Potentials. Lean Organization. Internet of Things / Balantič, Zvone ; Ferjan, Marko ; Kljajić Borštnar, Mirjana ; Leskovar, Robert ; Marič, Miha ; Pucihar, Andreja (ur.).
Maribor: Moderna organizacija, 2013. str. 1131-1141 (predavanje, međunarodna recenzija, cjeloviti rad (in extenso), znanstveni)
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Naslov
Is there linear or nonlinear cointegration relationship between income terms of trade and exchange rate in Croatia?
Autori
Tomić, Daniel
Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni
Izvornik
Smart Organization ; High Potentials. Lean Organization. Internet of Things
/ Balantič, Zvone ; Ferjan, Marko ; Kljajić Borštnar, Mirjana ; Leskovar, Robert ; Marič, Miha ; Pucihar, Andreja - Maribor : Moderna organizacija, 2013, 1131-1141
ISBN
978-961-232-264-9
Skup
32nd International Conference on Organizational Science Development
Mjesto i datum
Portorož, Slovenija, 20.03.2013. - 22.03.2013
Vrsta sudjelovanja
Predavanje
Vrsta recenzije
Međunarodna recenzija
Ključne riječi
income terms of trade; real effective exchange rate; Johansen cointegration method; threshold cointegration; Croatia
Sažetak
Despite the poor predictive power of exchange rate modelling, real exchange rates usually do not move randomly i.e. they react to some variables. One such important macroeconomic variable is terms of trade. The aim of this paper is to look into relationship between income terms of trade and real exchange rate in Croatia. Some studies have shown that real exchange rate co-moves with terms of trade in the long-run, however it is also important to find out whether such relationships in Croatia exists if we observe income terms of trade. Income terms of trade measure reveals would the country end up with net gain or net loss as a result of changes in terms of trade and export volume, which de facto depends on the elasticity of demand for its export or in broader terms on Marshall-Lerner condition. Hence it would be interesting to observe if changes in income terms of trade can determine Croatian long-term economic prospect in respect to possible exchange rate movements, and vice versa. Empirical estimation relies on linear and nonlinear cointegration analysis and covers quarterly data from 1997 to 2010. Following results that are not consistent with the theory, a brief explanation is offered.
Izvorni jezik
Engleski
Znanstvena područja
Ekonomija
