Price and Quantity Formation in Danish Exports and Imports: An I(2) Analysis

ISBN: 3848494612

Author: Temere, Dawit Sisay

Condition: New

A sizable amount of research has been devoted to foreign trade price determination and the pass-through from exchange rate to import and export prices following the large fluctuations of the U.S. Dollar in the mid 1980s. Most of the studies have been concerned with large economies like US, Germany and Japan. And often these studies do not pay attention to the time series properties of the data. This study addresses these two important gaps in the literature - focuses on the pricing behavior of exporters and importers in small open economy and applies the I(2) Cointegrated Vector Autoregressive Model that allows the data to speak freely. In particular, this line of research is relevant for European countries given the large movements in nominal and real exchange rates associated with the currency crisis of the early 1990s, the introduction of the euro in 1999 and the current crisis facing the Union.