УТИЦАЈ ДЕВИЗНОГ КУРСА НА ТРГОВИНСКИ БИЛАНС ИЗМЕЂУ СРБИЈЕ И ЕВРОЗОНЕ: ЕФЕКАТ Ј КРИВЕ/IMPACT OF THE EXCHANGE RATE TO TRADE BALANCE BETWEEN SERBIA AND EUROZONE: THE J CURVE EFFECT
Ključne reči:
ефекат Ј криве, реални девизни курс, трговински биланс, кoинтeгрaциjaApstrakt
Овај рад је посвећен истраживању ефекта Ј криве на релацији Србија–еврозона за период 2006–2014. Анализа је спроведена на основу концепта коинтеграције временских серија употребом АRDL метода заснованог на граничним критичним вредностима, након чега је робусност добијених налаза проверена оцењивањем ARDL модела на нивоу првих диференци. Добијени рeзултaти пружају прилично снажне доказе да између Србије и еврозоне постоји ефекат Ј криве, односно да је краткорочни утицај реалног девизног курса на трговински биланс негативан, а дугорочни позитиван. Ови налази су прилично поуздани, иако нису у потпуности потврђени оцењивањем АRDL модела на нивоу првих диференци, будући да је тестирање спроведено употребом критичних вредности симулираних за мале узорке.
Кључнe рeчи: ефекат Ј криве, реални девизни курс, трговински биланс, кoинтeгрaциja.
This paper is dedicated to the research of the effects of the J curve in the scope of Serbia – Eurozone trade balance in the period between 2006 and 2014. The analysis has been conducted based on the concept of time series cointegration, using АRDL bounds testing approach, after which the robustness of the obtained findings was checked by estimation of the ARDL model at the level of first differences. The obtained results provide for quite reliable proofs that the J curve effects exist between Serbia and Eurozone, i.e. that short-term influence of real exchange rate to trade balance is negative, while long-term one is positive. These findings are quite reliable, although they are not completely confirmed through the estimation of the ARDL model at the first difference levels, since the testing has been conducted using critical values simulated for small samples.
Key words: J curve effect, real exchange rate, trade balance, cointegration.
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