Working Paper

Cointegration Analysis in an Inflationary Environment: What Can We Learn from Ukraine's Nominal Exports?


  • Strauß
  • H.
Publication Date

Ukrainian exports can be explained by standard demand theory in the long run. Using the Johansen procedure the data do not reject the hypothesis of a unit foreign-production elasticity of Ukrainian exports, which are rather price-elastic inputs for foreign producers. It is argued that due to high domestic inflation and substantial real appreciation of the hryvnia there might be a deterministic element in the long-run relationships. When allowing for a trend in the cointegration space, the identifying restriction of an infinitely price-elastic export supply curve produces best results. However, due to missing export price statistics long-run interpretations are to be taken with care because they are conditional upon assumptions on how costs and exchange-rates are passed through on export prices.


JEL Classification
F17, F31, F41, P33

Key Words

  • cointegration analysis
  • export demand
  • foreign trade elasticities
  • real effective exchange rate
  • Realer Wechselkurs
  • transitional economies
  • Ukraine