Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 31203
The Long Run Relationship between Exports and Imports in South Africa: Evidence from Cointegration Analysis

Authors: Sagaren Pillay


This study empirically examines the long run equilibrium relationship between South Africa’s exports and imports using quarterly data from 1985 to 2012. The theoretical framework used for the study is based on Johansen’s Maximum Likelihood cointegration technique which tests for both the existence and number of cointegration vectors that exists. The study finds that both the series are integrated of order one and are cointegrated. A statistically significant cointegrating relationship is found to exist between exports and imports. The study models this unique linear and lagged relationship using a Vector Error Correction Model (VECM). The findings of the study confirm the existence of a long run equilibrium relationship between exports and imports.

Keywords: vector error correction model, maximum likelihood, linear, Cointegration lagged

Digital Object Identifier (DOI):

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2380


[1] Arize, A.C. (2002), Imports and exports in 50 countries: tests of cointegration and structural breaks, International Review of Economics and Finance, 11, 101–115.
[2] Dickey, D.A. & Fuller, W.A. (1981),"Likelihood ratio statistics for autoregressive time series with a unit root”, Econometrica, 49(4): 1057 – 1072.
[3] Engle, R, (2001), "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics”, Journal of Economic Perpectives,15(4),157-168.
[4] Engle, R.F. & Granger, C.W.J. (1987), "Cointegration and error correction: Representation, estimation and testing”, Econometrica, 55(2): 251 – 276.
[5] Hendry, D. F. & Juselius, K. (2001), Explaining Cointegration Analysis: Part ii. Department of Economics, University of Copenhagen, Denmark.
[6] Husted, S. (1993), The emerging US current account deficit in the 80s: a cointegration analysis, The Review of Economics and Statistics, 74, 159–66.
[7] Mukhtar, T & Rasheed, S. (2010), Testing long-run relationship between exports and imports: Evidence from Pakistan. Journal of Economic Cooperation and Development. 31:1, 41-58.
[8] Šonje, A.A, M, Podobnik & Vizek, M. (2010), Long-run relationship between exports and imports in transition European countries. Ekonomski Pregled, 61 (1-2) 1-18.