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Title: Exports since the International Financial Crisis
Authors: Bação, Pedro 
Duarte, António Portugal 
Viveiros, Diogo 
Keywords: Competitiveness, exchange rate, exports, forecasting, productivity, wages
Issue Date: 16-Jan-2020
Series/Report no.: CeBER Working Paper 2020-01;
Serial title, monograph or event: Working Paper
Abstract: The aim of this paper is to analyze the performance of several models for forecasting exports. We collected data on Portugal’s real exports of goods and on the variables suggested by models based on the assumption of perfect competition and of monopolistic competition. We estimated Vector Autoregressive (VAR) models with those variables and compared the performance of the forecasts produced by those models with the forecasts obtained from simpler, univariate models, namely ARIMA models and Holt’s linear trend model. We consider four alternative frameworks in which the forecasts might be produced. These scenarios correspond to “static forecasts”, “recursive forecasts”, “dynamic forecasts” and “dynamic forecasts with known exogenous variables”. We also consider the computation of recursive forecasts including dummies related to the international financial crisis. The best model (according to the root mean squared error of the forecasts in the period since the start of the international financial crisis) depends on the scenario considered for the computation of the forecasts. The theory-based models do not produce forecasts that are clearly better than the forecasts produced by the simpler univariate models. In addition, the impact of the international financial crisis appears to be better represented by a temporary shock than by a permanent shock (with a constant effect). The results cast doubts on the relevance of traditional measures of competitiveness for the evolution of exports. As a consequence of the above, it is not clear that discussions of competitiveness that put the emphasis on costs, namely on wages, or on the exchange rate provide useful guides to policy.
Rights: openAccess
Appears in Collections:I&D CeBER - Working Papers

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