US Germany

Empirica (2013) 40:287324
DOI 10.1007/s10663-012-9193-8
ORIGINAL PAPER
Impact of exchange-rate variability on commodity

trade between U.S. and Germany
Mohsen Bahmani-Oskooee Masoomeh Hajilee
Published online: 29 April 2012

Springer Science+Business Media New York 2012
Abstract Previous studies that looked at the impact of exchange rate volatility on
trade flows used aggregate trade data between one country and rest of the world or
between two countries. More recent studies, however, have expanded the literature
by using a highly disaggregated commodity level data between two countries. In
this paper we consider the sensitivity of 131 industries that trade between U.S. and
Germany. We find that exports and imports of a majority of the industries react to
the real dollareuro volatility in the short run. The short-run effects, however, last
into the long run only in almost 50 % of the industries. Among these industries,
while almost all U.S. exporting industries are affected favorably by exchange rate
volatility, a majority of the U.S. importing industries are affected adversely.
Keywords Exchange rate volatility Industry data Germany United states
Bounds testing
JEL Classification
F31
1 Introduction
In an effort to avoid exchange rate uncertainty and risk associated with it, most
European countries have joined the euro zone so that they can trade using a single
M. Bahmani-Oskooee (&)
The Center for Research on International Economics and Department of Economics, The University
of WisconsinMilwaukee, Milwaukee, WI 53201, USA
e-mail: bahmani@uwm.edu
M. Hajilee
School of Business Administration, University of HoustonVictoria, Victoria, TX, USA
e-mail: HajileeM@uhv.edu
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Empirica (2013) 40:287324
currency where there is no currency conversion, hence no uncertainty. Since trade is

not only among the euro zone members but also with non-members, still each
member faces some uncertainty when she trades with a non-member, especially if
the non-member is a major trading partner. This is the case for the trade between
Germany and the U.S. Clearly, the issue was an important one when DM was
Germanys currency and it is as important today when euro serves as domestic
currency.
Review of the literature by Bahmani-Oskooee and Hegerty (2007) reveals that as
far as response of German trade flows to exchange rate uncertainty is concerned,
studies could be classified into two groups. The first includes those that have
employed aggregate trade data between Germany and rest of the world. Examples
are: Akhtar and Hilton (1984), Kenen and Rodrik (1986), Peree and Stenherr (1989),
Asseery and Peel (1991), Chowdhury (1993), Kroner and Lastrapes (1993), and
Arize and Shwiff (1998). The findings have been mixed, some finding negative
impact and some finding positive effects. Of course, both effects are in line with
theoretical developments in the literature as advanced by Dellas and Zilberfarb
(1993). While risk-averse traders may chose to trade less because of price
uncertainty due to exchange rate fluctuations, some traders may chose actually trade
more to maximize their current revenue so that they can avoid any loss of future
income.
Suspecting that the above mentioned studies suffer from aggregation bias, a
second group has emerged in which studies use trade data at bilateral level between
Germany and her major trading partners. The list includes: Hooper and Kohlhagen
(1978), Chan and Wong (1985), Cushman (1983, 1986, 1988), De Grauwe (1988),
Thursby and Thursby (1987), Koray and Lastrapes (1989), Peree and Stenherr
(1989), Bini-Smaghi (1991), Bleaney (1992), McKenzie and Brooks (1997),
Aristotelous (2001), and De Vita and Abbott (2004). Again, the findings from these
studies have been mixed also, depending on which trading partner of Germany is
considered. For example, concentrating on her major trading partner, the U.S., while
Hooper and Kohlhagen (1978) found negative effects on the GermanU.S. trade
flows, McKenzie and Brooks (1997) found positive effects.
Our main argument in this paper is that studies in the second group also suffer
from aggregation bias, that is, different industries that trade between the two
countries like Germany and the U.S. could react differently to exchange rate
uncertainty. Significant negative effects in some industries could easily be offset
by significant positive effects in some other industries yielding an insignificant
result when aggregate bilateral trade data are used. To demonstrate this, we
disaggregate the trade data between Germany and the U.S. by industry and
consider experiences of 131 industries that trade between the two countries. This
approach will identify industries that react to exchange rate uncertainty negatively,
positively, or do not react at all. Additional analysis could shed light on whether
size of an industry or any other characteristic matters. To this end, in Sect. 2 we
introduce the models and methods. Empirical results are discussed in Sect. 3 with a
summary appearing in Sect. 4. Finally, Data definition and sources are provided in
an Appendix.
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Empirica (2013) 40:287324
289
2 The trade flow models and estimation method

Previous studies that investigated the link between industry trade and a measure of
exchange rate volatility basically adopted the same models that were used at the
aggregate level. Thus, in formulating the export and import demand models we
adopt these models from Bahmani-Oskooee and Hegerty (2009a, b) who carried out
similar analysis for U.S.Mexico and U.S.Japan commodity trade respectively.
Since data are reported by the U.S., we specify these models from U.S. perspective.
The long-run export and import demand models, therefore, take the following
forms:
Ln Xit b0 b1 Ln YG;t b2 Ln REt b3 Ln VARt et
Ln Mit a0 a1 Ln YUS;t a2 Ln REt a3 Ln VARt et
where Xi in (1) denotes U.S. export volume of commodity i to Germany which is

assumed to depend positively on German income (YG) and negatively on the real
dollareuro rate, RE. As the Appendix shows, RE is defined in a manner that an
increase reflects appreciation of the euro or depreciation of the dollar. Therefore,
estimates of b1 and b2 are expected to be positive. As for the estimate of b3, it could
be negative or positive. Similarly, in (2) Mi is import volume of commodity i by the
U.S. from Germany which is assumed to depend positively on U.S. income, YU.S.,
and negatively on the real exchange rate, RE.1 Thus, while an estimate of a1 is
expected to be positive that of a2 is expected to be negative. Once again, an estimate
of a3 could be negative or positive.
Coefficient estimates of export and import demand models outlined by Eqs.
(1) and (2) only yield long-run effects. Since short-run effects could be different
and may or may not last into the long run, we express (1) and (2) in errorcorrection formats by including short-run dynamics into the adjustment mechanism. The specification here follows Pesaran et al.s (2001) bounds testing or
Autoregressive Distributed Lag (ARDL) approach which allows us to estimate
the short-run and long-run effects in one single step. As such, the specifications
are:
D ln Xi;t a bEUROt
n1
X
j1
n4
X
cj D ln Xtj
n2
X
j0
G
cj D ln Ytj
n3
X
dj D ln REtj
j0
G
jj D ln VARtj h1 ln Xi;t1 h2 ln Yt1
h3 ln REt1
j0
h4 ln VARt1 et
and
The negative relation between imports and the real exchange rate is based on the notion that
depreciation of dollar raises import prices, leading to a decline in import volume of commodity i.
123
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Empirica (2013) 40:287324
D ln Mi;t d eEUROt
n5
X
j1
n8
X
/j D ln Mi;tj
n6
X
US
uj D ln Ytj
j0
n7
X
pj D ln REtj
j0
US
#j D ln VARtj h5 ln Mi;t1 h6 ln Yt1
h7 ln REt1
j0
h8 ln VARt1 lt
The two specifications outlined by (3) and (4) are standard distributed lag models
where the linear combination of lagged level variables are added as a substitute for
lagged error term from (1) and (2) respectively. To justify the inclusion of lagged
level variables, Pesaran et al. (2001) propose applying the familiar F test for their
joint significance. If significance is established, not only the lagged level variables
belong to the model, but also they are said to be cointegrated. Clearly, the test
results will be sensitive to whether variables are integrated of order zero, I (0), or
integrated of order one, I (1). To account for integrating properties of the variables,
Pesaran et al. (2001) provide new critical values for the F test. An upper bound
critical value is produced when all variables are I (1) and a lower bound critical
value is introduced when variables are I (0). They demonstrate that upper bound
critical values could also be used if some variables are I (0) and some I (1). Since
most time-series variables are either I (0) or I (1), there is no need for pre-unit root
testing under this approach. Once cointegration is established, long-run effects are
derived by the estimates of h2h4 normalized on h1 in (3) and by the estimates of h6
h8 normalized on h5 in (4).2 The short-run effects are reflected by the estimates of
coefficients attached to first-differenced variables in each model. Note that a dummy
variable (EURO) is also included in both models to account for introduction of the
euro in 1999. It takes a value of zero before 1999 and one thereafter.
3 The results
We estimate export and import demand models outlined by Eqs. (3) and (4) using
SITC-3-digit level annual data over the 19712009 period from 131 industries that
trade between U.S. and Germany. Following previous research, we estimate each
model by imposing a maximum of four lags on each first-differenced variable. We
then use the AIC criterion to select the optimum model in each industry. We first
report the results for export demand model. Due to volume of the results, they are
reported in two tables. While Table 1 reports coefficient estimates, Table 2 reports
the diagnostic statistics.
Since variable of interest is exchange rate volatility and its impact on the U.S.
exports to Germany, for brevity we only report the short-run coefficient estimates
for this variable. However, as can be seen from Table 1, the long-run coefficient
estimates are reported for all variables. From the short-run estimates we gather that
at the 10 % significance level, there are 96 industries in which there is at least one
significant coefficient, implying that almost 75 % of the industries that export from
2
For details of normalization see Bahmani-Oskooee and Tanku (2008).
123
-0.22 (1.71)
0.04 (0.24)
0.05 (0.95)
099 Food preparations, nes
112 Alcoholic beverages
211 Hides and skins,excluding fur skins
0.09 (0.96)
081 Feed.-stuff for animals

excluding unmilled creals
-0.39 (2.19)
-0.05 (0.85)
073 Chocolate and other

food preparations
075 Spices
0.72 (2.61)
0.43 (3.43)
061 Sugar and honey
0.02 (0.26)
055 Vegetables, roots and

tubers preserved
062 Sugar confectionery
0.18 (1.70)

tubers
-0.35 (1.28)
-0.07 (0.63)
-0.92 (3.14)
-0.18 (1.67)
0.35 (2.16)
-0.12 (0.42)
0.34 (2.15)
0.20 (1.91)
052 Dried fruit
053 Fruit, preserved and

fruit preparations
-0.03 (0.40)
-0.36 (2.93)
1.40 (2.45)
DLn VARt-1
0.04 (0.94)
-0.68 (0.01)
032 Fish in airtight

containers, nes
048 Cereal preparations and

preparations of flour
-0.73 (2.45)
0.18 (1.33)
0.289 (1.66)
DLn VARt
Short-run coefficient estimates
031 Fish, fresh and simply

preserved
013 Meat in airtight

containers nes
001 Live animals
Industry
-0.56 (2.30)
-0.13 (2.05)
-0.63 (2.78)
-0.17 (2.52)
0.20 (1.92)
-0.20 (0.83)
-0.08 (1.75)
-0.34 (4.20)
1.73 (3.46)
DLn VARt-2
-0.26 (1.69)
-0.29 (2.19)
-0.28 (1.84)
1.08 (3.31)
DLn VARt-3
-17.63 (4.37)
10.59 (2.38)
18.19 (1.32)
-7.49 (1.01)
-16.83 (2.11)
1.79 (0.54)
-15.94 (4.11)
15.36 (3.43)
22.16 (0.56)
14.57 (6.11)
940.93 (0.09)
-67.63 (1.13)
-12.53 (1.74)
4.31 (0.47)
25.98 (5.09)
-6.89 (1.33)
-22.85 (3.98)
Constant
5.75 (6.06)
0.69 (0.66)
-0.81 (0.23)
4.43 (2.51)
6.32 (3.23)
1.86 (2.26)
8.22 (8.72)
-1.14 (1.07)
-0.92 (0.13)
-0.96 (1.57)
-190.47 (0.09)
20.68 (1.31)
6.15 (3.23)
1.99 (1.06)
-5.84 (4.55)
3.19 (2.57)
8.04 (5.88)
Ln YG
Long-run coefficient estimates
Table 1 Short-run and long-run coefficient estimates of U.S. export model (absolute value of t ratios in parentheses)
1.43 (1.75)
-0.95 (1.09)
-4.47 (1.76)
0.89 (0.50)
0.40 (0.26)
-1.04 (1.53)
0.42 (0.56)
-3.34 (3.68)
-3.50 (0.63)
2.28 (4.87)
-135.22 (0.09)
19.07 (1.03)
2.09 (0.95)
-0.35 (0.24)
-3.54 (3.35)
4.67 (4.31)
0.35 (0.32)
Ln RE
-0.29 (1.58)
0.26 (1.03)
1.25 (0.85)
0.35 (1.05)
1.02 (1.91)
-0.01 (0.04)
2.91 (8.02)
1.14 (3.44)
2.62 (0.80)
0.10 (0.39)
30.88 (0.10)
4.15 (1.39)
0.59 (0.99)
1.68 (0.87)
-1.79 (3.92)
0.24 (1.39)
0.52 (1.64)
Ln VAR
-0.68 (1.91)
0.23 (0.52)
0.66 (0.53)
-1.53 (2.22)
-0.04 (0.06)
0.64 (2.53)
-1.29 (3.88)
0.54 (1.36)
2.04 (0.71)
0.02 (0.09)
26.29 (0.09)
-4.62 (0.77)
-1.25 (1.16)
0.96 (0.82)
0.54 (1.15)
-0.75 (1.89)
-0.88 (1.50)
Euro dummy
Empirica (2013) 40:287324

291
123
123
0.42 (0.15)
-11.59 (1.87)
0.18 (0.94)
0.01 (0.04)
332 Petroleum Products
411 Animal oil and fats
-0.31 (2.09)
-18.16 (0.31)
-8.94 (3.13)
7.13 (1.21)
7.10 (0.67)
120.18 (4.24)
1.22 (0.33)
-0.39 (0.03)
-7.80 (2.30)
-0.77 (0.24)
1.03 (1.59)
-0.20 (2.55)
-0.31 (2.42)
-0.20 (1.78)
321 Coal, coke and

briquetters
-0.28 (2.22)
-0.73 (3.52)
-0.45 (2.63)
0.02 (0.22)
-0.03 (0.31)
0.17 (2.23)
-0.91 (4.10)
-0.39 (2.02)
6.82 (1.23)
292 Crude vegetable

materials, nes
291 Crude animal materials,

nes
0.18 (0.89)
-0.03 (0.07)
283 Ores and concentrates

of non-ferrous
284 Non-ferrous metal

scrap
0.14 (0.72)
0.04 (0.55)
273 Stone, sand and gravel
276 Other crude minerals
-0.04 (0.36)
0.01 (0.04)
267 Waste materials from

textile fabric
266 Synthetic and

regenerated fibers
-0.43 (2.49)
-46.78 (4.38)
-0.53 (1.94)
0.13 (0.53)
49.24 (1.16)
17.35 (3.45)
Constant
-0.54 (2.99)
-0.51 (1.85)
DLn VARt-3
251 Pulp and waste paper
-0.94 (2.23)
DLn VARt-2
262 Wool and other animal

hair
-0.62 (1.27)
DLn VARt-1
1.89 (2.62)
4.89 (3.24)
7.08 (0.48)
4.39 (6.32)
1.09 (0.72)
1.22 (0.47)
-26.58 (3.87)
1.46 (1.77)
1.55 (0.46)
4.47 (4.89)
2.88 (3.41)
-0.71 (-0.52)
14.40 (5.00)
10.81 (2.29)
-7.17 (0.77)
-2.29 (1.89)
Ln YG
-37.28 (1.92)
49.24 (1.16)
0.53 (1.83)
DLn VARt
0.12 (0.89)
243 Wood, shaped or

simply worked
231 Crude rubber-including

synthetic
212 Fur skins, undressed
Industry
Table 1 continued
-1.73 (2.86)
-1.52 (1.26)
10.61 (0.83)
0.82 (1.41)
0.90 (0.56)
-2.88 (1.28)
-15.63 (3.23)
-0.01 (0.01)
-4.79 (1.52)
1.70 (2.47)
0.72 (1.11)
-2.34 (2.08)
4.27 (2.00)
5.43 (1.45)
-8.39 (1.31)
-0.79 (0.82)
Ln RE
0.58 (3.04)
-0.47 (0.73)
2.59 (1.22)
0.03 (0.22)
0.52 (0.91)
1.11 (1.79)
-0.09 (0.07)
-0.35 (0.99)
0.41 (0.70)
1.35 (2.89)
0.45 (1.06)
-0.96 (1.86)
2.41 (1.76)
0.45 (0.83)
2.39 (1.93)
0.53 (1.83)
Ln VAR
-0.32 (1.37)
0.94 (1.52)
-0.35 (0.10)
0.40 (1.65)
-1.14 (2.06)
-0.59 (0.75)
8.12 (2.83)
1.22 (0.33)
1.14 (0.96)
-0.99 (3.04)
0.29 (0.94)
-0.21 (0.45)
-2.61 (2.42)
1.49 (1.02)
4.48 (1.38)
0.22 (0.45)
Euro dummy
292
Empirica (2013) 40:287324
-0.33 (1.62)
-0.03 (0.51)
515 Radioactive and

associated material
531 Synthetic organic

dyestuffs
-0.02 (0.24)
553 Perfumery, cosmetics,

dentifrices
-0.12 (1.66)
0.23 (2.87)
551 Essential oils, perfume

and flavor
554 Soaps, cleansing and

polishing
0.08 (1.02)
-0.14 (1.23)
541 Medicinal
pharmaceutical products
533 Pigments, paints,

varnishes
0.21 (1.65)
0.21 (2.09)
514 Other inorganic

chemicals
532 Dyeing and tanning

extracts, synthetic tanning
materials
0.16 (2.93)
0.15 (1.95)
513 Inorganic chemical

elements, oxides and
halogen salts
-0.18 (0.53)
431 Animal and vegetable

oils
512 Organic chemicals
0.07 (0.36)
DLn VARt
-0.48 (3.68)
-0.25 (1.98)
-0.49 (2.61)
-0.22 (2.85)
-0.66 (3.23)
-0.19 (1.23)
-0.11 (1.83)
-1.44 (2.45)
DLn VARt-1
422 Other fixed vegetable

oils
Industry
Table 1 continued
-0.18 (2.31)
-0.16 (1.95)
-0.23 (2.00)
-0.18 (3.83)
5.17 (4.46)
0.15 (1.57)
-1.37 (2.68)
DLn VARt-2
0.99 (3.09)
DLn VARt-3
-9.24 (1.68)
-6.63 (1.05)
-10.62 (6.39)
-9.84 (3.51)
-1.55 (0.36)
-2.68 (0.25)
-107.74 (0.16)
87.80 (1.55)
-5.93 (1.36)
3.25 (1.92)
-1.04 (0.74)
-22.50 (5.03)
7.84 (1.21)
Constant
4.23 (3.48)
5.59 (3.79)
5.05 (12.35)
5.20 (7.97)
3.82 (3.59)
3.22 (1.31)
22.09 (0.19)
-16.34 (1.25)
4.74 (4.24)
2.29 (5.54)
3.79 (10.55)
7.56 (6.41)
-0.30 (0.19)
Ln YG
0.28 (0.24)
-1.18 (0.97)
0.01 (0.04)
0.17 (0.34)
-0.90 (1.20)
-2.16 (1.12)
-4.07 (0.12)
-18.90 (1.86)
1.24 (1.32)
-0.53 (1.67)
0.02 (0.07)
2.45 (2.70)
0.28 (0.23)
Ln RE
-0.44 (1.09)
1.93 (4.04)
0.68 (4.57)
-0.14 (0.88)
0.92 (2.37)
0.88 (1.50)
-6.83 (0.13)
2.18 (1.73)
1.24 (1.32)
0.36 (2.65)
0.48 (5.12)
0.76 (1.31)
0.13 (0.35)
Ln VAR
-0.35 (0.72)
0.03 (0.07)
-0.41 (2.78)
0.78 (2.94)
-0.37 (1.07)
-1.05 (1.19)
0.46 (0.03)
6.39 (1.62)
0.35 (1.06)
-0.24 (1.57)
0.10 (1.01)
0.19 (0.44)
1.95 (3.13)
Euro dummy
Empirica (2013) 40:287324

293
123
123
-0.18 (2.34)
-0.17 (1.32)
-0.42 (3.20)
-0.29 (3.23)
0.09 (1.11)
0.02 (0.21)
0.19 (2.77)
651 Textile yarn and thread
652 Cotton fabrics, woven

excluding narrow or
special fabrics
653 Text fabrics woven

excluding narrow or
special fabrics
0.08 (1.32)
642 Articles of paper and

paperboard
-0.84 (3.73)
-0.09 (1.58)
-0.27 (3.33)
-0.17 (1.32)
-0.62 (3.45)
-0.26 (2.48)
-21.99 (2.76)
0.35 (2.98)
0.14 (1.47)
633 Cork Manufacturers
641 Paper and paperboard
-1.48 (0.89)
-0.73 (5.41)
-0.52 (4.58)
632 Wood manufactures,

nes
-0.63 (5.00)
-10.89 (2.31)
-6.03 (1.42)
-11.66 (1.97)
3.40 (0.39)
-20.54 (6.77)
-24.01 (4.62)
199.01 (0.11)
-0.07 (1.06)
0.09 (1.51)
631 Veneers, plywood

boards
-0.24 (3.03)
-8.84 (5.47)
-0.14 (0.95)
-0.22 (3.07)
-0.08 (1.46)
621 Materials of rubber
20.33 (5.61)
0.04 (0.26)
-3.91 (0.77)
629 Articles of rubber, nes
613 Fur skins, tanned or

dressed
-0.13 (2.89)
-0.39 (4.57)
-9.45 (3.20)
-0.14 (1.78)
-0.61 (4.58)
-0.21 (2.64)
-0.14 (2.97)
611 Leather
612 Manufacturers of
leather
-0.12 (2.90)
2.57 (1.38)
0.09 (1.48)
-2.86 (1.27)
571 Explosives and

pyrotechnic
0.02 (0.52)
Constant
0.11 (2.02)
DLn VARt-3
581 Plastic materials, nes
DLn VARt-2
599 Chemical materials and

products, nes
DLn VARt-1
6.28 (5.37)
4.86 (4.07)
6.17 (4.02)
2.16 (1.07)
9.39 (11.48)
8.17 (4.11)
2.68 (6.23)
8.98 (6.15)
-23.91 (0.09)
4.11 (9.92)
-2.96 (3.40)
2.51 (1.99)
4.94 (6.74)
2.63 (5.86)
4.17 (7.36)
10.55 (3.55)
Ln YG
-35.54 (2.94)
DLn VARt
0.20 (1.23)
Industry
Table 1 continued
2.23 (2.29)
1.67 (1.87)
4.70 (3.35)
-1.43 (0.92)
2.11 (3.24)
2.05 (1.12)
-0.10 (0.29)
4.45 (3.76)
-68.90 (0.11)
0.56 (1.72)
-1.26 (1.79)
-0.58 (0.49)
2.37 (4.01)
-0.96 (2.78)
-0.12 (0.23)
7.86 (3.06)
Ln RE
1.58 (3.52)
1.67 (2.71)
1.14 (2.25)
0.61 (1.30)
2.26 (6.67)
1.79 (3.64)
0.24 (1.51)
1.36 (2.69)
30.15 (0.11)
-0.58 (3.28)
0.05 (0.26)
-0.69 (2.07)
0.53 (1.87)
0.40 (2.49)
0.52 (2.20)
0.47 (1.11)
Ln VAR
-1.34 (3.82)
-1.05 (2.44)
-0.92 (2.14)
0.27 (0.37)
-0.88 (3.05)
-2.10 (3.44)
0.41 (2.91)
1.31 (2.37)
9.16 (0.11)
-0.14 (0.89)
0.35 (0.95)
0.50 (1.34)
-1.02 (3.59)
0.12 (0.66)
-0.52 (2.11)
-1.19 (1.34)
Euro dummy
294
Empirica (2013) 40:287324
-0.26 (2.79)
0.20 (3.03)
-0.07 (1.62)
663 Mineral manufactures,

nes
0.04 (0.42)
0.21 (2.58)
677 Iron and steel wire
0.11 (0.75)
672 Ingots andother

primary forms of iron
0.07 (0.71)
0.63 (4.64)
671 Pig iron and

spiegeleisen, sponge iron
674 Universals, plates and

sheets of iron
0.01 (0.34)
667 Pearls and precious and

semi-precious stones
673 Iron and steel bars
0.15 (2.41)
665 Glassware
664 Glass
-0.29 (2.26)
0.43 (3.69)
662 Clay and refractory

construction materials
-0.02 (0.11)
-0.42 (2.15)
0.75 (3.47)
-0.90 (3.29)
-0.54 (3.19)
-0.14 (2.15)
-0.36 (1.55)
-0.28 (2.02)
-0.57 (3.12)
0.20 (1.61)
-0.10 (2.45)
-0.11 (1.38)
-0.20 (1.92)
-0.32 (1.70)
-0.18 (2.05)
-0.31 (2.82)
0.06 (1.12)
-0.12 (1.90)
-0.35 (2.86)
1.06 (0.74)
-0.62 (2.21)
0.17 (1.01)
661 Lime, cement and

fabricated building
materials
-0.26 (0.87)
-3.64 (0.28)
-0.15 (1.69)
657 Floor coverings,

tapestries, etc.
6.79 (2.52)
8.15 (1.56)
5.45 (3.31)
-1.56 (0.37)
16.48 (7.89)
2.91 (1.32)
-0.16 (0.09)
0.56 (0.28)
-3.82 (3.47)
-4.79 (1.35)
-9.39 (2.28)
-7.74 (1.43)
-14.57 (4.64)
Constant
0.06 (0.95)
-0.34 (1.85)
DLn VARt-3
0.12 (1.53)
-0.09 (1.39)
DLn VARt-2
655 Special textile fabrics
0.02 (0.23)
DLn VARt-1
1.12 (1.55)
1.74 (1.21)
0.97 (2.39)
4.14 (3.51)
-0.33 (0.62)
2.34 (4.20)
3.16 (7.99)
3.00 (6.06)
4.07 (14.66)
4.97 (5.33)
1.68 (4.33)
2.43 (0.86)
5.25 (5.16)
4.43 (3.41)
5.33 (7.23)
Ln YG
656 Made-up articles,

wholly or chiefly
-0.09 (0.97)
DLn VARt
654 Tulle, lace, embroidery,

ribbons
Industry
Table 1 continued
-0.03 (0.05)
1.17 (0.63)
0.34 (1.00)
1.28 (1.37)
-1.69 (4.04)
-0.26 (0.61)
-0.08 (0.27)
-0.19 (0.48)
-0.72 (3.35)
-0.51 (0.72)
-1.12 (3.69)
2.11 (0.66)
1.19 (1.33)
1.09 (0.82)
2.29 (3.71)
Ln RE
0.61 (1.77)
0.96 (1.17)
-0.69 (5.35)
1.39 (2.21)
1.86 (7.75)
0.67 (2.73)
0.56 (4.27)
0.51 (2.99)
0.74 (6.08)
1.95 (4.16)
0.14 (0.73)
-1.23 (0.83)
0.83 (2.72
0.08 (0.19)
-0.17 (0.98)
Ln VAR
0.01 (0.05)
-0.05 (0.09)
0.12 (0.86)
-1.29 (3.19)
0.78 (3.37)
-0.06 (0.31)
-0.68 (4.31)
0.06 (0.35)
-0.32 (3.24)
-0.82 (2.38)
0.68 (5.14)
-0.92 (0.59)
-0.84 (2.04)
-0.06 (0.13)
-0.87 (2.78)
Euro dummy
Empirica (2013) 40:287324

295
123
123
-0.46 (5.36)
-0.19 (3.34)
0.11 (0.75)
-0.01 (0.05)
0.03 (0.50)
0.03 (0.75)
0.02 (0.79)
0.09 (1.27)
692 Metal containers for

storage or transport
693 Wire products and

fencing grills
694 Nails, screws, nuts,

bolts, rivets
695 Tools for use in the

hand or in machines
696 Cutlery
697 Household equipment
-0.24 (2.03)
-0.12 (1.01)
-0.35 (2.84)
-0.39 (2.38)
0.18 (1.63)
0.13 (1.74)
0.20 (1.58)
-2.93 (3.41)
691 Finished structural

parts
1.60 (3.74)
-0.01 (0.09)
-0.09 (0.23)
686 Zinc
687 Tin
-0.69 (1.06)
-0.50 (2.86)
0.54 (2.04)
-0.50 (3.19)
-0.03 (0.22)
DLn VARt-1
689 Miscell.non-ferrous
base metals
0.05 (0.58)
0.07 (0.96)
-0.43 (2.75)
682 Copper
683 Nickel
0.32 (0.88)
0.03 (0.12)
681 Silver and platinum

group metals
684 Aluminum
-0.19 (1.82)
679 Iron steel castings

forgings
685 Lead
0.13 (0.77)
DLn VARt
678 Tubes, pipes and

fittings of iron
Industry
Table 1 continued
-0.13 (1.22)
-0.14 (2.94)
-0.42 (5.35)
-0.25 (2.30)
-0.31 (2.94)
0.15 (2.14)
0.22 (2.00)
-2.25 (3.13)
-1.49 (2.57)
-0.59 (3.85)
0.60 (2.67)
-0.55 (3.66)
0.18 (1.91)
DLn VARt-2
-0.11 (1.69)
-0.05 (1.79)
-0.23 (4.59)
-0.12 (1.78)
-0.14 (1.98)
0.21 (2.93)
-1.33 (3.06)
-1.47 (3.89)
-0.25 (2.34)
0.30 (2.31)
-0.19 (1.90)
DLn VARt-3
-4.48 (2.01)
-0.52 (0.44)
-2.80 (2.58)
-3.66 (1.36)
5.19 (3.71)
34.65 (0.39)
-13.16 (3.68)
-9.58 (1.19)
-16.44 (1.99)
47.10 (2.42)
27.06 (2.62)
11.06 (0.88)
-35.01 (0.69)
3.40 (1.88)
-12.76 (3.07)
10.65 (1.68)
23.89 (1.98)
Constant
3.66 (6.66)
3.06 (9.62)
4.01 (13.73)
3.76 (5.43)
1.58 (4.24)
0.60 (0.05)
5.75 (6.58)
4.09 (2.26)
9.18 (4.47)
-9.63 (2.04)
-3.30 (1.29)
1.19 (0.41)
18.92 (0.89)
0.64 (2.89)
5.84 (5.75)
-0.37 (0.22)
-2.56 (0.90)
Ln YG
0.81 (1.81)
0.27 (1.07)
-0.03 (0.11)
-0.11 (0.19)
-0.51 (1.78)
-5.31 (0.49)
1.44 (1.89)
0.33 (0.21)
3.14 (1.88)
-3.46 (0.89)
-3.17 (1.52)
-2.87 (1.14)
2.39 (0.33)
0.52 (1.41)
-0.21 (0.27)
-1.12 (0.97)
-3.74 (1.79)
Ln RE
0.52 (2.39)
0.49 (3.42)
0.71 (4.68)
0.49 (1.71)
0.49 (2.58)
7.13 (0.67)
0.32 (1.39)
-0.66 (1.38)
4.95 (6.26)
-0.27 (0.23)
1.58 (2.14)
1.09 (1.71)
11.57 (0.83)
0.64 (2.89)
0.58 (1.56)
-0.37 (0.21)
0.34 (0.83)
Ln VAR
0.05 (0.27)
-0.32 (2.52)
-0.24 (2.29)
0.07 (0.28)
-0.13 (0.99)
-0.31 (0.11)
-0.12 (0.47)
0.14 (0.28)
-0.68 (0.95)
2.75 (1.36)
1.78 (2.43)
0.85 (1.21)
-3.54 (0.67)
0.57 (3.38)
0.26 (0.65)
0.31 (0.47)
1.69 (1.58)
Euro dummy
296
Empirica (2013) 40:287324
-0.01 (0.07)
-0.01 (0.21)
-0.01 (0.01)
-0.14 (2.99)
-0.01 (0.02)
719 Machinery and

appliances-non electrical
722 Electric power

machinery and switches
723 Equipment for

distributing electricity
724 Telecommunications
apparatus
725 Domestic electrical

equipment
-0.02 (0.28)
0.27 (1.94)
729 Other electrical

machinery
731 Railway vehicles
0.03 (0.59)
0.02 (0.53)
718 Machines for special

industries
726 Electrical apparatus for

medical purpose
0.06 (0.71)
717 Textile and leather

machinery
-0.06 (0.75)
715 Metalworking
machinery
0.04 (0.48)
712 Agricultural machinery
-0.08 (2.02)
0.15 (2.49)
711 Power generating

machinery, other
714 Office machines
0.01 (0.24)
DLn VARt
0.05 (0.39)
-0.69 (3.48)
-0.24 (3.08)
-0.47 (2.71)
-0.14 (2.52)
-0.38 (3.68)
-0.11 (1.39)
-0.43 (3.16)
-0.14 (1.56)
-0.20 (1.56)
-0.21 (2.04)
-0.21 (2.94)
DLn VARt-1
698 Manufactures of metal,

nes
Industry
Table 1 continued
-0.11 (1.17)
-0.29 (1.81)
-0.14 (2.64)
-0.35 (3.35)
-0.11 (3.02)
-0.14 (2.64)
-0.36 (3.10)
-0.13 (2.01)
-0.25 (2.15)
-0.25 (2.98)
-0.24 (3.85)
DLn VARt-2
-0.15 (2.53)
-0.12 (1.19)
-0.15 (2.64)
-0.16 (2.07)
-0.06 (1.55)
-0.20 (2.80)
-0.11 (1.86)
-0.11 (2.79)
DLn VARt-3
-0.14 (0.03)
6.40 (0.06)
-1.01 (0.16)
-24.59 (4.55)
-7.11 (2.38)
-10.62 (2.30)
-1.11 (0.19)
-2.53 (0.24)
-3.77 (1.81)
2.08 (0.81)
1.44 (0.55)
-1.98 (0.71)
18.95 (2.19)
-7.26 (2.84)
-9.33 (3.98)
Constant
3.99 (3.38)
2.16 (0.08)
3.87 (2.64)
9.32 (6.67)
4.79 (6.05)
5.44 (5.33)
3.98 (2.83)
4.27 (1.72)
4.76 (8.59)
3.09 (4.90)
3.16 (4.97)
4.46 (6.55)
-0.62 (0.29)
5.62 (8.25)
5.61 (8.86)
Ln YG
-1.08 (1.22)
-15.85 (0.14)
-0.72 (0.54)
3.28 (2.79)
0.62 (1.08)
0.07 (0.08)
-0.82 (0.92)
1.18 (0.40)
0.42 (0.90)
0.24 (0.49)
-0.27 (0.58)
0.63 (0.95)
2.14 (2.10)
0.33 (0.48)
1.21 (2.34)
Ln RE
1.88 (3.78)
3.47 (0.19)
0.81 (1.77)
1.12 (2.75)
0.38 (1.14)
0.65 (1.18)
0.55 (1.06)
-0.04 (0.07)
0.79 (3.18)
0.69 (2.49)
0.61 (2.48)
1.17 (3.11)
1.17 (1.73)
0.75 (2.39)
0.80 (3.24)
Ln VAR
-0.82 (1.76)
6.83 (0.14)
0.16 (0.31)
-0.46 (1.16)
0.18 (0.56)
0.22 (0.60)
-0.50 (1.07)
-1.11 (0.76)
-0.86 (3.68)
-1.17 (4.88)
-0.54 (2.57)
-0.79 (3.00)
1.09 (1.41)
-0.78 (1.91)
-0.34 (1.77)
Euro dummy
Empirica (2013) 40:287324

297
123
123
851 Footwear
-0.08 (2.52)
0.07 (2.30)
892 Printed matter
-0.18 (3.13)
-0.18 (2.67)
-0.12 (2.66)
-2.22 (1.31)
-5.99 (1.75)
-4.47 (0.21)
-0.08 (1.56)
0.01 (0.06)
-0.12 (2.53)
-0.01 (0.19)
864 Watches and clocks
891 Musical instruments,

sound recorders
-0.03 (0.33)
31.35 (3.15)
-0.07 (0.47)
1.21 (0.44)
-2.83 (2.08)
-13.36 (2.95)
47.46 (1.92)
-13.79 (2.52)
3.37 (0.69)
-2.12 (0.25)
3.79 (0.33)
4.07 (0.77)
-15.05 (3.55)
-3.63 (1.95)
-2.03 (0.48)
Constant
863 Developed
cinematographic film
-0.17 (1.82)
-0.08 (1.43)
-0.09 (1.63)
DLn VARt-3
-0.02 (0.23)
0.12 (2.15)
-0.32 (2.43)
-0.18 (1.85)
-0.14 (2.13)
-0.24 (3.67)
0.18 (1.77)
DLn VARt-2
3.73 (8.11)
4.78 (5.52)
3.46 (0.79)
-6.44 (2.55)
2.59 (3.92)
4.12 (11.97)
5.44 (5.04)
-6.55 (1.13)
7.69 (4.27)
2.62 (2.18)
3.87 (1.97)
2.19 (0.88)
1.95 (1.52)
6.78 (6.54)
2.34 (5.51)
4.33 (4.32)
Ln YG
862 Photographic,
cinematographic supplies
861 Scientific, medical,

optical, instruments
-0.05 (0.91)
-0.49 (2.26)
-0.04 (0.30)
842 Fur clothing and

articles of artificial
clothing
-0.37 (3.34)
0.01 (0.09)
841 Clothing except fur

clothing
-0.29 (2.87)
0.05 (0.82)
0.05 (0.76)
821 Furniture
-0.34 (3.28)
0.58 (2.98)
DLn VARt-1
831 Travel goods, handbags

and similar
-0.05 (0.72)
0.95 (2.01)
735 Ships and boats
812 Sanitary, plumbing,

heating
0.36 (2.04)
734 Aircraft
0.01 (0.19)
-0.19 (2.33)
732 Road motor vehicles
DLn VARt
733 Road vehicles other

than motor
Industry
Table 1 continued
0.46 (1.09)
1.24 (1.72)
4.07 (0.59)
-4.97 (2.57)
-0.60 (1.19)
0.63 (2.13)
2.78 (2.95)
-7.28 (1.65)
3.05 (2.26)
0.02 (0.03)
0.97 (0.56)
-1.13 (0.53)
-0.31 (0.28)
0.67 (0.83)
1.49 (4.10)
1.67 (1.78)
Ln RE
0.64 (3.77)
0.78 (2.65)
-0.46 (0.32)
-0.22 (0.44)
0.29 (1.18)
0.30 (3.02)
-0.16 (0.91)
3.23 (2.48)
2.33 (2.34)
1.67 (1.99)
0.39 (0.88)
0.88 (0.92)
0.62 (1.92)
0.51 (1.86)
-1.03 (6.31)
0.03 (0.19)
Ln VAR
-0.33 (2.22)
-0.49 (1.96)
-1.00 (0.69)
2.49 (2.07)
-0.54 (2.21)
0.14 (1.29)
-0.67 (1.80)
1.02 (0.65)
-1.05 (2.11)
0.26 (0.52)
-0.87 (1.08)
1.14 (1.35)
1.18 (2.33)
0.08 (0.18)
0.62 (4.74)
-0.50 (1.24)
Euro dummy
298
Empirica (2013) 40:287324
-0.04 (1.02)
0.01 (0.20)
0.02 (0.16)
0.05 (0.74)
0.05 (0.78)
894 perambulators, toys,

games
895 Office and stationary

supplies, nes
896 Works of art, collectors

pieces
897 Jewellery
899 Manufactured articles,

nes
n.e.s. not elsewhere specified
-0.04 (0.86)
DLn VARt
0.01 (0.12)
-0.34 (3.45)
-0.29 (4.56)
DLn VARt-1
893 Articles of artificial

plastic mate
Industry
Table 1 continued
-0.12 (1.84)
-0.20 (3.30)
-0.28 (4.72)
DLn VARt-2
-0.12 (3.02)
DLn VARt-3
-9.92 (1.43)
5.36 (1.23)
18.64 (0.47)
-9.13 (1.45)
2.98 (0.32)
106.45 (0.06)
Constant
5.26 (2.95)
1.61 (1.67)
-0.89 (0.11)
6.11 (2.87)
2.88 (1.67)
-26.86 (0.04)
Ln YG
1.49 (1.06)
-0.18 (0.25)
-3.25 (0.59)
2.13 (1.35)
0.14 (0.09)
-97.18 (0.06)
Ln RE
0.37 (0.73)
0.18 (0.78)
0.18 (0.16)
1.92 (1.53)
0.98 (1.26)
10.77 (0.06)
Ln VAR
0.35 (0.77)
0.15 (0.40)
-0.73 (0.38)
-1.42 (1.77)
-0.64 (1.60)
23.63 (0.05)
Euro dummy
Empirica (2013) 40:287324

299
123
123
-0.13 (3.13)
-0.22 (2.83)
-0.17 (3.58)
-0.67 (4.88)
-0.92 (5.45)
3.01
1.86
2.45
5.58
081 Feed.-stuff for animals excluding unmilled creals
211 Hides and skins,-excluding fur skins
-0.55 (4.76)
-0.39 (4.12)
-0.69 (5.16)
3.31
3.34
5.34
3.54
243 Wood, shaped or simply worked
262 Wool and other animal hair
266 Synthetic and regenerated fibers
-0.55 (4.41)
-0.25 (3.77)
-0.15 (4.53)
5.96
5.34
231 Crude rubber-including synthetic
-0.26 (4.08)
-0.28 (3.21)
4.11
2.12
-0.42 (3.48)
-1.24 (5.64)
-0.08 (2.57)
-0.79 (6.42)
-0.01 (3.15)
-0.14 (3.43)
073 Chocolate and other food preparations
3.15
-1.24 (5.16)
-0.17 (2.81)
075 Spices
1.38
5.74
7.42
055 Vegetables, roots and tubers preserved
2.35
053 Fruit, preserved and fruit preparations
054 Vegetables, roots and tubers
061 Sugar and honey
2.11
6.15
048 Cereal preparations and preparations of flour
2.19
052 Dried fruit
4.56
031 Fish, fresh and simply preserved
032 Fish in airtight containers, nes
-0.21 (2.41)
-0.43 (4.31)
2.01
3.20
001 Live animals
ECMt-1
Diagnostics
013 Meat in airtight containers nes
Industry
Table 2 Diagnostic statistics
0.86
2.31
0.06
6.53
4.13
0.66
0.21
3.17
1.48
0.32
0.16
0.39
0.03
0.45
1.35
0.20
2.84
0.62
1.63
0.34
4.59
2.87
13.95
LM
3.11
0.58
0.92
0.57
4.18
1.47
0.13
2.89
10.39
0.33
5.09
5.63
0.39
1.27
8.58
6.74
0.16
6.84
1.71
4.26
6.05
0.11
2.04
RESET
US
US
CUSUM
US
US
US
US
CUSUMSQ
0.34
0.38
0.30
0.26
0.64
0.41
0.45
0.20
0.24
0.39
0.27
0.51
0.28
0.52
0.42
0.48
0.25
0.80
0.33
0.38
0.62
0.06
0.26
Adj. R2
0.110
0.007
0.004
0.032
0.024
0.005
0.004
0.405
0.039
0.039
0.006
0.035
0.032
0.003
0.008
0.072
0.038
0.002
0.035
0.005
0.014
0.006
0.013
Size
300
Empirica (2013) 40:287324
-0.47 (4.21)
3.84
4.69
3.77
1.27
283 Ores and concentrates of non-ferrous
284 Non-ferrous metal scrap
291 Crude animal materials, nes
-0.63 (4.78)
6.06
5.08
1.88
554 Soaps, cleansing and polishing
5.00
551 Essential oils, perfume and flavor
-0.48 (3.45)
2.44
533 Pigments, paints, varnishes
541 Medicinal pharmaceutical products
553 Perfumery, cosmetics, dentifrices
-0.27 (3.08)
1.98
532 Dyeing and tanning extracts, synthetic tanning materials
-0.27 (3.15)
-0.31 (5.32)
-0.85 (5.76)
-0.61 (4.42)
0.02 (5.15)
-0.24 (6.46)
-0.42 (3.56)
7.62
2.38
4.85
4.23
513 Inorganic chemical elements, oxides and halogen salts
514 Other inorganic chemicals
-1.07 (5.22)
-0.91 (6.22)
515 Radioactive and associated material
7.34
-0.44 (3.03)
531 Synthetic organic dyestuffs
5.37
431 Animal and vegetable oils
-0.88 (5.06)
5.82
1.76
422 Other fixed vegetable oils
-0.54 (3.57)
2.37
-0.46 (3.29)
-0.39 (3.76)
4.13
2.52
292 Crude vegetable materials, nes
321 Coal, coke and briquetters
-0.20 (2.29)
-0.44 (4.62)
-0.35 (4.39)
2.92
-0.58 (5.68)
-0.33 (3.72)
6.04
ECMt-1
267 Waste materials from textile fabric
Diagnostics
Industry
Table 2 continued
0.27
0.17
1.59
1.15
0.34
0.30
3.41
1.42
0.66
0.08
4.29
1.63
3.11
0.96
0.54
0.11
2.38
1.05
0.12
3.71
0.93
2.48
0.29
LM
1.71
0.21
5.68
1.33
2.61
7.74
0.83
5.85
1.99
10.82
5.17
0.92
0.21
0.93
1.02
0.05
0.17
1.23
0.01
1.63
0.34
3.80
0.53
RESET
US
CUSUM
US
US
US
US
CUSUMSQ
0.21
0.47
0.48
0.34
0.46
0.19
0.63
0.65
0.40
0.31
0.57
0.41
0.47
0.41
0.39
0.29
0.16
0.51
0.34
0.32
0.34
0.21
0.41
Adj. R2
0.046
0.084
0.013
1.101
0.140
0.005
0.283
0.085
0.174
0.261
1.669
0.007
0.008
0.002
0.189
0.130
0.032
0.052
0.021
0.038
0.012
0.001
0.006
Size
Empirica (2013) 40:287324

301
123
123
-0.54 (5.42)
-0.25 (3.64)
-0.61 (4.23)
-0.78 (4.31)
2.09
5.26
2.73
3.89
599 Chemical Materials and products, nes
611 Leather
612 Manufacturers of leather
613 Fur skins, tanned or dressed
-0.42 (3.65)
3.63
-0.32 (5.84)
-0.48 (5.73)
-0.14 (2.17)
-0.27 (5.75)
-0.59 (4.78)
-0.27 (4.19)
-0.33 (5.02)
-0.14 (3.57)
6.61
7.48
8.07
5.92
0.93
6.21
3.94
2.29
4.33
3.10
4.82
3.71
6.99
3.19
5.55
631 Veneers, plywood boards
632 Wood manufactures, nes
642 Articles of paper and paperboard
652 Cotton fabrics, woven excluding narrow or special fabrics
653 Text fabrics woven excluding narrow or special fabrics
654 Tulle, lace, embroidery, ribbons
656 Made-up articles, wholly or chiefly
657 Floor coverings, tapestries, etc.
661 Lime, cement and fabricated building materials
662 Clay and refractory construction materials
663 Mineral manufactures, nes
-1.02 (5.57)
-0.51 (3.77)
-1.93 (5.79)
-0.22 (2.65)
-0.32 (4.67)
-0.66 (6.47)
-0.31 (6.11)
0.01 (5.01)
4.09
4.46
-0.32 (3.24)
-0.32 (4.54)
2.78
ECMt-1
571 Explosives and pyrotechnic
Diagnostics
Industry
Table 2 continued
1.22
1.38
1.93
3.17
0.62
1.36
0.45
9.63
0.27
0.08
0.08
1.56
0.07
0.54
1.53
4.18
0.36
0.69
3.58
1.74
0.36
0.22
1.15
LM
1.03
7.82
0.17
0.28
7.47
9.52
0.90
4.42
2.19
0.11
0.03
4.04
0.81
1.46
4.82
0.04
1.87
1.20
6.79
3.19
0.59
1.35
15.21
RESET
CUSUM
US
CUSUMSQ
0.45
0.39
0.65
0.20
0.42
0.45
0.37
0.22
0.50
0.45
0.06
0.51
0.55
0.54
0.54
0.49
0.63
0.28
0.58
0.56
0.18
0.52
0.35
Adj. R2
0.034
0.010
1.100
0.187
0.001
0.249
0.067
0.111
0.071
0.659
1.121
0.092
0.003
0.222
0.280
0.083
0.015
0.020
0.084
0.560
0.649
0.017
0.066
Size
302
Empirica (2013) 40:287324
-0.56 (3.71)
3.36
4.38
2.63
5.12
4.67
9.25
664 Glass
665 Glassware
667 Pearls and precious and semi-precious stones
671 Pig iron and spiegeleisen, sponge iron
672 Ingots andother primary forms of iron
-0.29 (8,29)
9.22
695 Tools for use in the hand or in machines
4.04
1.60
691 Finished structural parts
692 Metal containers for storage or transport

2.93
4.72
3.57
-0.51 (4.63)
6.19
687 Tin
689 Miscell.non-ferrous base metals
693 Wire products and fencing grills
-0.96 (5.53)
-0.34 (5.19)
5.29
2.24
685 Lead
686 Zinc
694 Nails, screws, nuts, bolts, rivets
-0.31 (3.17)
3.19
684 Aluminum
-0.68 (7.14)
-0.40 (3.78)
-0.59 (4.21)
-0.09 (2.75)
-0.92 (5.52)
-0.29 (4.24)
0.09 (4.03)
-0.56 (4.08)
4.97
3.50
682 Copper
-0.87 (5.91)
683 Nickel
12.06
6.38
679 Iron steel castings forgings
681 Silver and platinum group metals
-0.33 (3.63)
2.44
678 Tubes, pipes and fittings of iron
-0.33 (4.49)
-0.48 (3.15)
3.78
1.75
674 Universals, plates and sheets of iron
-1.18 (6.89)
-0.58 (4.84)
-0.76 (4.66)
-0.39 (3.31)
-0.49 (4.51)
ECMt-1
Diagnostics
F
Industry
Table 2 continued
0.20
5.24
4.64
0.01
0.06
0.25
0.79
4.17
3.31
0.41
4.73
0.54
4.15
12.49
0.77
0.33
0.09
0.43
0.01
0.04
0.16
0.76
6.14
LM
6.95
0.96
0.61
0.09
0.09
2.67
2.13
1.19
15.03
0.29
6.15
0.30
2.56
13.83
0.61
3.46
0.01
0.32
0.16
2.58
2.53
1.62
3.12
RESET
CUSUM
US
US
US
US
US
US
CUSUMSQ
0.65
0.37
0.31
0.35
0.39
0.68
0.55
0.12
0.69
0.52
0.43
0.36
0.49
0.68
0.36
0.45
0.49
0.59
0.42
0.39
0.23
0.29
0.45
Adj. R2
0.331
0.047
0.122
0.241
1.889
0.001
0.002
0.005
0.170
0.137
0.044
0.072
0.007
0.782
0.078
0.233
0.020
0.081
0.561
0.659
0.022
0.054
0.021
Size
Empirica (2013) 40:287324

303
123
123
-0.30 (4.44)
-0.59 (4.80)
7.06
3.51
714 Office machines
-0.31 (5.17)
-0.41 (2.49)
-0.44 (5.21)
-0.31 (5.43)
2.12
5.01
726 Electrical apparatus for medical purpose
729 Other electrical machinery
-0.48 (4.92)
-1.56 (6.01)
-0.12 (2.09)
4.47
7.19
1.33
3.07
733 Road vehicles other than motor
734 Aircraft
735 Ships and boats
812 Sanitary, plumbing, heating
-0.13 (3.92)
-0.70 (4.84)
-0.82 (4.64)
5.30
3.91
0.01 (3.31)
-0.12 (3.23)
4.60
2.54
-0.29 (3.79)
724 Telecommunications apparatus
4.40
-0.15 (3.82)
725 Domestic electrical equipment
1.26
722 Electric power machinery and switches
723 Equipment for distributing electricity
-0.06 (2.31)
3.17
0.98
719 Machinery and appliances-non electrical
-0.41 (4.67)
4.24
718 Machines for special industries
-0.37 (3.13)
4.13
2.77
715 Metalworking machinery
717 Textile and leather machinery
-0.24 (6.24)
-0.35 (4.29)
5.07
3.38
2.56
698 Manufactures of metal, nes
-0.41 (5.34)
-0.51 (3.69)
5.43
696 Cutlery
711 Power generating machinery, other
ECMt-1
Diagnostics
F
Industry
Table 2 continued
0.05
0.38
0.21
0.15
1.07
0.58
2.85
0.61
1.28
0.01
0.53
2.29
0.69
1.09
0.04
0.20
3.23
3.06
2.99
3.32
1.07
1.10
0.01
LM
0.02
1.39
0.18
1.89
4.27
2.99
12.25
0.23
0.23
3.29
0.17
8.87
4.91
0.01
0.14
0.29
1.51
6.84
2.42
0.31
0.18
4.40
1.61
RESET
CUSUM
US
US
US
US
US
US
US
CUSUMSQ
0.35
0.34
0.56
0.38
0.59
0.41
0.69
0.44
0.30
0.49
0.25
0.64
0.62
0.29
0.48
0.12
0.54
0.57
0.56
0.68
0.54
0.40
0.56
Adj. R2
0.001
0.056
0.006
0.013
0.005
0.015
1.106
0.179
0.001
0.333
0.078
0.125
0.332
1.454
0.002
0.007
0.003
0.190
0.117
0.044
0.007
0.025
0.002
Size
304
Empirica (2013) 40:287324
-0.21 (3.52)
-0.11 (2.58)
-0.19 (5.05)
-0.27 (3.39)
-0.66 (5.01)
2.27
1.51
5.10
2.27
5.12
4.34
2.04
3.01
0.63
821 Furniture
831 Travel goods, handbags and similar
841 Clothing except fur clothing
842 Fur clothing and articles of artificial clothing
851 Footwear
861 Scientific, medical, optical, instruments
862 Photographic, cinematographic supplies
863 Developed cinematographic film
2.91
-0.35 (3.56)
-0.28 (2.75)
-0.15 (2.24)
11.63
0.01
3.17
4.63
5.60
1.74
1.46
4.34
4.61
0.01
0.17
7.75
0.15
0.34
1.47
0.05
LM
2.08
8.58
0.17
0.03
6.42
0.01
10.43
0.96
3.17
0.23
3.53
10.15
0.14
0.48
1.24
0.21
RESET
CUSUM
US
US
US
CUSUMSQ
0.43
0.47
0.10
0.31
0.52
0.32
0.69
0.36
0.36
0.27
0.38
0.34
0.46
0.45
0.56
0.18
Adj. R2
0.752
0.023
0.092
0.054
0.001
0.001
0.301
0.088
0.061
0.033
0.032
0.066
0.002
0.009
0.066
0.038
Size
Absolute values of the t statistic are in parentheses. Critical values for the F test are 4.02 for the upper bound, per Narayan (2005), Case III, with an unrestricted intercept,
no trend, k = 3, and 40 observations. The critical t statistic for the ECM test is -2.95, per Banerjee et al. (1998)
1.36
896 Works of art, collectors pieces
897 Jewellery
-0.21 (4.12)
3.43
1.16
894 perambulators, toys, games
895 Office and stationary supplies, nes
-0.16 (2.94)
2.11
893 Articles of artificial plastic mate
0.01 (3.10)
-0.34 (4.46)
6.01
1.96
891 Musical instruments, sound recorders
892 Printed matter
-0.14 (1.54)
-0.09 (3.85)
-0.25 (2.90)
-0.56 (4.64)
ECMt-1
Diagnostics
F
Industry
Table 2 continued
Empirica (2013) 40:287324

305
123
306
Empirica (2013) 40:287324
U.S. to Germany are affected by exchange rate volatility. In what per cent of these
industries short-run effects last into the long run? To answer this question we shift to
the long-run results in the same Table 1. Again, at the 10 % level of significance we
observe that the variability measure of the real exchange rate (Ln VAR) carries a
significant coefficient in 67 industries. While in five of them (i.e., industries coded
031, 613, 621, 673, and 733), the coefficient is negative, in the remaining 62
industries it is positive. Thus, it appears that almost all affected U.S. exporting
industries benefit from variability of the real dollareuro rate in the long run. Note
that almost all of the affected industries are small, as reflected by their export shares
reported in Table 2 as their size.3 The only large industries that are affected are 512
(Organic chemicals) with almost 1.7 % market share and 731 (Railway vehicles)
with 1.1 % market share. Furthermore, included among the affected industries are
durables as well as non-durables.
As for the long-run effects of the other two variables, Germanys income carries
its expected positive sign and significant coefficient in almost every case, signifying
the importance of economic activity in Germany as a main determinant of U.S.
exports. Note that there are seven industries (i.e., industries coded 031, 212. 231,
283, 613, 686, and 863) in which German income carries a significantly negative
coefficient. These industries could be industries that produce import-substitute
goods. As German economy grows, these industries produce more of importsubstitute goods leading to a decline in German imports or U.S. exports.4 The real
exchange rate itself does not seem to have a significant effect in most industries.
Real depreciation of the dollar only benefits 27 of the 131 industries since it carries
a positive coefficient only in 27 industries. Finally, the euro dummy carries a
significant coefficient in a total of 49 cases. However, the coefficient is positive only
in 14 industries. Thus, U.S. exporting industries that have benefitted from the
introduction of euro are identified to be those that are coded 073, 283, 321, 422, 541,
631, 632, 661, 671, 682, 685, 733, 735, and 863.
For the above long-run coefficient estimates to be meaningful, we now need to
establish joint significance of lagged level variables or cointegration using the
F test. As mentioned Pesaran et al. (2001), provide new critical values. However,
they are for large sample sizes. For small sample sizes like ours, the critical values
come from Narayan (2005). Given the upper bound critical value of 3.973 from
Narayan, there are 61 industries in which our calculated F is significant, supporting
cointegration. In many of the remaining industries cointegration is established by an
alternative test. Following Bahmani-Oskooee and Tanku (2008) and BahmaniOskooee and Hegerty (2009a), we use long-run coefficient estimates and form an
error-correction term using Eq. (1). Denoting this error-correction term by ECM, we
then replace the linear combination of lagged level variables in (3) by ECMt-1 and
re-estimate each model one more time using the same optimum number of lags as
before. A significantly negative coefficient obtained for ECMt-1 will be an
alternative way of supporting cointegration. However, the distribution of this
3
The trade share for each industry is defined as exports of each industry as a percent of total US exports
to Germany.
For more on this see Bahmani-Oskooee (1986).
123
Empirica (2013) 40:287324
307
statistic is not normal and the new critical values are tabulated by Banerjee et al.
(1998). Given the critical value of -2.95 from Banerjee et al. (1998), cointegration
is supported in most remaining industries. The size of the coefficient measures the
speed of adjustment among the variables in each model.
In Table 2 we have also reported several other diagnostics. To test for serial
correlation, the Lagrange Multiplier (LM) statistic is reported and to test for
functional misspecification, Ramsys RESET test is reported. These tests are
distributed as v2 with one degree of freedom. Given the critical value of 3.89,
majority of the optimum models pass these tests, implying autocorrelation free
residuals and correctly specified error-correction models. To establish stability of
the short-run as well as long-run coefficient estimates, the well-known CUSUM and
CUSUMSQ tests are applied to the residuals of each optimum model. Stable
coefficients are denoted by S and unstable ones by US. As can be seen, clearly
most estimated coefficients are stable. Finally, size of the adjusted R2 reveals that
most models enjoy reasonable goodness of fit.
We now shift to the estimate of U.S. import demand error-correction model
outlined by Eq. (4). The results from each optimum model are reported in Tables 3
and their diagnostics in Table 4. From the short-run coefficient estimates in Table 3,
we identify 75 industries in which there is at least one significant coefficient,
implying that exchange rate uncertainty has short-run effects in most industries
imports. Again, while in some industries the short-run effects are negative (e.g.,
industry coded 001), in some others they are positive (e.g., industry coded 048).
However, only in 51 industries the short-run effects are translated into the long run.
Furthermore, unlike U.S. exporting industries in which most of them were affected
positively by exchange rate volatility, most importing industries are adversely
affected. More precisely, while 32 of the 51 industries are adversely affected, the
remaining 19 are positively affected. The 32 industries are those that are coded: 048,
054, 055, 081, 112, 211, 283, 321, 513, 514, 541, 551, 612, 641, 655, 656, 657, 662,
672, 673, 674, 677, 682, 684, 698, 711, 715, 717, 718, 729, 862, and 897. Again,
most of these adversely affected industries are small. The large importing industries
reflected by their import shares (as their size in Table 4) are: 663 (Mineral
manufactures with 2.1 % market share), 664 (Glass with 1.76 % market share), 684
(Aluminum with 1.5 % market share), 685 (Lead with 1.6 % share), and 714 (Office
machines with almost 1 % share). Among these five largest importing industries
only 684 is adversely affected.
Turning to other variables we gather that the U.S. income carries its expectedly
positive and significant coefficient in 56 cases supporting the notion that as U.S.
economy grows, so does imports of these industries from Germany. However, there
are also 13 industries in which U.S. income carries a significantly negative
coefficient. These industries could be those that as U.S. economy grows, it produces
close substitutes of these commodities. The real exchange rate itself carries its
expectedly negative coefficient in 60 cases, implying that as dollar depreciates
against the euro in real term, U.S. imports less of these commodities which signify
importance of the real exchange rate as determinants of U.S. imports from
Germany. Finally, the euro dummy carries a significant coefficient in 54 cases and
123
123
211 Hides and skins, -excluding

fur skins
-0.22 (1.71)
-0.56 (2.30)
-0.26 (1.69)
-17.63 (4.37)
10.59 (2.38)
18.19 (1.32)
0.04 (0.24)
0.05 (0.95)
1.79 (0.54)
-7.49 (1.01)
-0.35 (1.28)
15.36 (3.43)
-15.94 (4.11)
-16.83 (2.11)
-0.13 (2.05)
-0.29 (2.19)
22.16 (0.56)
14.57 (6.11)
940.93 (0.09)
-67.63 (1.13)
-12.53 (1.74)
4.31 (0.47)
25.98 (5.09)
-6.89 (1.33)
2.14 (0.90)
Constant
0.09 (0.96)
-0.07 (0.63)
-0.63 (2.78)
-0.17 (2.52)
0.20 (1.92)
-0.28 (1.84)
1.08 (3.31)
-0.25 (1.98)
DLn VARt-3
-0.39 (2.19)
075 Spices
-0.05 (0.85)
-0.92 (3.14)
-0.18 (1.67)
0.35 (2.16)
-0.20 (0.83)
-0.08 (1.75)
-0.34 (4.20)
1.73 (3.46)
-0.62 (2.95)
DLn VARt-2
5.75 (6.06)
0.69 (0.66)
-0.81 (0.23)
4.43 (2.51)
6.32 (3.23)
1.86 (2.26)
8.22 (8.72)
-1.14 (1.07)
-0.92 (0.13)
-0.96 (1.57)
-190.4 (0.09)
20.68 (1.31)
6.15 (3.23)
1.99 (1.06)
-5.84 (4.55)
3.19 (2.57)
1.92 (3.21)
Ln YU.S.
081 Feed.-stuff for animals

excluding unmilled creals
073 Chocolate and other food

preparations
0.72 (2.61)
0.43 (3.43)
061 Sugar and honey
0.02 (0.26)

tubers preserved
0.18 (1.70)

tubers
-0.12 (0.42)
0.34 (2.15)
0.20 (1.91)
052 Dried fruit
053 Fruit, preserved and fruit

preparations
-0.03 (0.40)
-0.36 (2.93)
0.04 (0.94)
-0.68 (0.01)
032 Fish in airtight containers,

nes
048 Cereal preparations and

preparations of flour
-0.73 (2.45)
1.40 (2.45)
-0.84 (3.34)
-0.01 (0.07)
0.18 (1.33)
DLn VARt-1
DLn VARt
031 Fish, fresh and simply

preserved
013 Meat in airtight containers

nes
001 Live animals
Industry
Table 3 Short-run and long-run coefficient estimates of U.S. import model (absolute value of t ratios in parentheses)
1.43 (1.75)
-0.95 (1.09)
-4.47 (1.76)
0.89 (0.50)
0.40 (0.26)
-1.04 (1.53)
0.42 (0.56)
-3.34 (3.68)
-3.50 (0.63)
2.28 (4.87)
-135.2 (0.09)
19.07 (1.03)
2.09 (0.95)
-0.35 (0.24)
-3.54 (3.35)
4.67 (4.31)
-3.09 (5.19)
Ln RE
-0.29 (1.58)
0.26 (1.03)
1.25 (0.85)
0.35 (1.05)
1.02 (1.91)
-0.01 (0.04)
2.91 (8.02)
1.14 (3.44)
2.62 (0.80)
0.10 (0.39)
30.88 (0.10)
4.15 (1.39)
0.59 (0.99)
1.68 (0.87)
-1.79 (3.92)
0.24 (1.39)
0.72 (3.35)
Ln VAR
-0.68 (1.91)
0.23 (0.52)
0.66 (0.53)
-1.53 (2.22)
-0.04 (0.06)
0.64 (2.53)
-1.29 (3.88)
0.54 (1.36)
2.04 (0.71)
0.02 (0.09)
26.29 (0.09)
-4.62 (0.77)
-1.25 (1.16)
0.96 (0.82)
0.54 (1.15)
-0.75 (1.89)
-1.72 (6.31)
Dummy
308
Empirica (2013) 40:287324
0.16 (2.93)
0.07 (0.36)
-0.18 (0.53)
0.01 (0.04)
1.03 (1.59)
0.18 (0.94)
0.02 (0.22)
292 Crude vegetable materials,

nes
0.18 (0.89)
-0.03 (0.31)
291 Crude animal materials,

nes
-0.03 (0.07)
0.14 (0.72)
0.04 (0.55)
283 Ores and concentrates of

non-ferrous
-0.91 (4.10)
-0.04 (0.36)
267 Waste materials from

textile fabric
-0.11 (1.83)
-1.44 (2.45)
-0.31 (2.09)
-0.28 (2.22)
0.17 (2.23)
-0.39 (2.02)
0.01 (0.04)
266 Synthetic and regenerated

fibers
-1.37 (2.68)
-0.20 (2.55)
-0.73 (3.52)
-0.45 (2.63)
-0.43 (2.49)
0.99 (3.09)
-0.31 (2.42)
-0.20 (1.78)
-1.04 (0.74)
-22.50 (5.03)
7.84 (1.21)
0.42 (0.15)
-11.59 (1.87)
-18.16 (0.31)
-8.94 (3.13)
7.13 (1.21)
7.10 (0.67)
120.18 (4.24)
1.22 (0.33)
-0.39 (0.03)
-7.80 (2.30)
-0.77 (0.24)
6.82 (1.23)
-46.78 (4.38)
-0.53 (1.94)
0.13 (0.53)
-0.54 (2.99)
49.24 (1.16)
17.35 (3.45)
Constant
-37.28 (1.92)
-0.51 (1.85)
DLn VARt-3
0.12 (0.89)
-0.94 (2.23)
DLn VARt-2
243 Wood, shaped or simply

worked
-0.62 (1.27)
DLn VARt-1
3.79 (10.55)
7.56 (6.41)
-0.30 (0.19)
1.89 (2.62)
4.89 (3.24)
7.08 (0.48)
4.39 (6.32)
1.09 (0.72)
1.22 (0.47)
-26.58 (3.87)
1.46 (1.77)
1.55 (0.46)
4.47 (4.89)
2.88 (3.41)
-0.71 (-0.52)
14.40 (5.00)
10.81 (2.29)
-7.17 (0.77)
-2.29 (1.89)
Ln YU.S.
49.24 (1.16)
0.53 (1.83)
DLn VARt
231 Crude rubber-including

synthetic
Industry
Table 3 continued
0.02 (0.07)
2.45 (2.70)
0.28 (0.23)
-1.73 (2.86)
-1.52 (1.26)
10.61 (0.83)
0.82 (1.41)
0.90 (0.56)
-2.88 (1.28)
-15.63 (3.23)
-0.01 (0.01)
-4.79 (1.52)
1.70 (2.47)
0.72 (1.11)
-2.34 (2.08)
4.27 (2.00)
5.43 (1.45)
-8.39 (1.31)
-0.79 (0.82)
Ln RE
0.48 (5.12)
0.76 (1.31)
0.13 (0.35)
0.58 (3.04)
-0.47 (0.73)
2.59 (1.22)
0.03 (0.22)
0.52 (0.91)
1.11 (1.79)
-0.09 (0.07)
-0.35 (0.99)
0.41 (0.70)
1.35 (2.89)
0.45 (1.06)
-0.96 (1.86)
2.41 (1.76)
0.45 (0.83)
2.39 (1.93)
0.53 (1.83)
Ln VAR
0.10 (1.01)
0.19 (0.44)
1.95 (3.13)
-0.32 (1.37)
0.94 (1.52)
-0.35 (0.10)
0.40 (1.65)
-1.14 (2.06)
-0.59 (0.75)
8.12 (2.83)
1.22 (0.33)
1.14 (0.96)
-0.99 (3.04)
0.29 (0.94)
-0.21 (0.45)
-2.61 (2.42)
1.49 (1.02)
4.48 (1.38)
0.22 (0.45)
Dummy
Empirica (2013) 40:287324

309
123
123
Constant
613 Fur skins, tanned or

dressed
0.04 (0.26)
-9.45 (3.20)
-0.14 (1.78)
-0.13 (2.89)
-0.39 (4.57)
-0.21 (2.64)
-0.14 (2.97)
611 Leather
-0.61 (4,58)
2.57 (1.38)
0.11 (2.02)
599 Chemical Materials and

products, nes
20.33 (5.61)
-3.91 (0.77)
-2.86 (1.27)
-35.54 (2.94)
0.02 (0.52)
-9.24 (1.68)
-6.63 (1.05)
-10.62 (6.39)
-9.84 (3.51)
-1.55 (0.36)
-2.68 (0.25)
-107.7 (0.16)
0.20 (1.23)
-0.12 (2.90)
-0.18 (2.31)
-0.16 (1.95)
-0.23 (2.00)
-0.18 (3.83)
87.80 (1.55)
0.09 (1.48)
-0.48 (3.68)
-0.25 (1.98)
-0.49 (2.61)
-0.22 (2.85)
5.17 (4.46)
-0.12 (1.66)
554 Soaps, cleansing and

polishing
0.23 (2.87)
551 Essential oils, perfume and

flavor
-0.02 (0.24)
0.08 (1.02)
553 Perfumery, cosmetics,

dentifrices
-0.14 (1.23)
541 Medicinal pharmaceutical

products
0.21 (1.65)
-0.03 (0.51)
532 Dyeing and tanning

extracts, synthetic tanning
materials
-0.66 (3.23)
0.15 (1.57)
DLn VARt-3
-5.93 (1.36)
0.21 (2.09)
-0.33 (1.62)
-0.19 (1.23)
DLn VARt-2
3.25 (1.92)
DLn VARt-1
-2.96 (3.40)
2.51 (1.99)
4.94 (6.74)
2.63 (5.86)
4.17 (7.36)
10.55 (3.55)
4.23 (3.48)
5.59 (3.79)
5.05 (12.35)
5.20 (7.97)
3.82 (3.59)
3.22 (1.31)
22.09 (0.19)
-16.34 (1.25)
4.74 (4.24)
2.29 (5.54)
Ln YU.S.
0.15 (1.95)
DLn VARt
515 Radioactive and associated

material
513 Inorganic chemical

elements, oxides and halogen
salts
Industry
Table 3 continued
-1.26 (1.79)
-0.58 (0.49)
2.37 (4.01)
-0.96 (2.78)
-0.12 (0.23)
7.86 (3.06)
0.28 (0.24)
-1.18 (0.97)
0.01 (0.04)
0.17 (0.34)
-0.90 (1.20)
-2.16 (1.12)
-4.07 (0.12)
-18.90 (1.86)
1.24 (1.32)
-0.53 (1.67)
Ln RE
0.05 (0.26)
-0.69 (2.07)
0.53 (1.87)
0.40 (2.49)
0.52 (2.20)
0.47 (1.11)
-0.44 (1.09)
1.93 (4.04)
0.68 (4.57)
-0.14 (0.88)
0.92 (2.37)
0.88 (1.50)
-6.83 (0.13)
2.18 (1.73)
1.24 (1.32)
0.36 (2.65)
Ln VAR
0.35 (0.95)
0.50 (1.34)
-1.02 (3.59)
0.12 (0.66)
-0.52 (2.11)
-1.19 (1.34)
-0.35 (0.72)
0.03 (0.07)
-0.41 (2.78)
0.78 (2.94)
-0.37 (1.07)
-1.05 (1.2)
0.46 (0.03)
6.39 (1.62)
0.35 (1.06)
-0.24 (1.57)
Dummy
310
Empirica (2013) 40:287324
0.20 (3.03)
0.17 (1.01)
661 Lime, cement and

fabricated building materials
0.43 (3.69)
-0.15 (1.69)
657 Floor coverings, tapestries,

etc
662 Clay and refractory

construction materials
0.06 (0.95)
0.12 (1.53)
656 Made-up articles, wholly

or chiefly
-0.29 (2.26)
-0.36 (1.55)
-0.26 (0.87)
0.02 (0.23)
-0.09 (0.97)
654 Tulle, lace, embroidery,

ribbons
-0.29 (3.23)
0.19 (2.77)
653 Text fabrics woven

excluding narrow or special
fabrics
-0.20 (1.92)
-0.32 (1.70)
-0.62 (2.21)
-0.09 (1.39)
-0.09 (1.58)
-0.27 (3.33)
-0.17 (1.32)
-0.12 (1.90)
-0.35 (2.86)
-0.34 (1.85)
-11.66 (1.97)
-0.17 (1.32)
-0.42 (3.20)
0.09 (1.11)
0.02 (0.21)
652 Cotton fabrics, woven

excluding narrow or special
fabrics
-3.82 (3.47)
-4.79 (1.35)
1.06 (0.74)
-3.64 (0.28)
-9.39 (2.28)
-7.74 (1.43)
-14.57 (4.64)
-10.89 (2.31)
-6.03 (1.42)
-20.54 (6.77)
3.40 (0.39)
-0.26 (2.48)
0.14 (1.47)
0.08 (1.32)
-21.99 (2.76)
-1.48 (0.89)
-24.01 (4.62)
-0.62 (3.45)
-0.18 (2.34)
199.01 (0.11)
-8.84 (5.47)
Constant
642 Articles of paper and

paperboard
-0.84 (3.73)
-0.52 (4.58)
DLn VARt-3
0.35 (2.98)
-0.73 (5.41)
-0.63 (5.00)
-0.24 (3.03)
DLn VARt-2
4.07 (14.66)
4.97 (5.33)
1.68 (4.33)
2.43 (0.86)
5.25 (5.16)
4.43 (3.41)
5.33 (7.23)
6.28 (5.37)
4.86 (4.07)
6.17 (4.02)
2.16 (1.07)
9.39 (11.48)
8.17 (4.11)
2.68 (6.23)
8.98 (6.15)
-23.91 (0.09)
4.11 (9.92)
Ln YU.S.
633 Cork manufacturers
-0.07 (1.06)
0.09 (1.51)
-0.14 (0.95)
-0.22 (3.07)
-0.08 (1.46)
DLn VARt-1
DLn VARt
Industry
Table 3 continued
-0.72 (3.35)
-0.51 (0.72)
-1.12 (3.69)
2.11 (0.66)
1.19 (1.33)
1.09 (0.82)
2.29 (3.71)
2.23 (2.29)
1.67 (1.87)
4.70 (3.35)
-1.43 (0.92)
2.11 (3.24)
2.05 (1.12)
-0.10 (0.29)
4.45 (3.76)
-68.90 (0.11)
0.56 (1.72)
Ln RE
0.74 (6.08)
1.95 (4.16)
0.14 (0.73)
-1.23 (0.83)
0.83 (2.72
0.08 (0.19)
-0.17 (0.98)
1.58 (3.52)
1.67 (2.71)
1.14 (2.25)
0.61 (1.30)
2.26 (6.67)
1.79 (3.64)
0.24 (1.51)
1.36 (2.69)
30.15 (0.11)
-0.58 (3.28)
Ln VAR
-0.32 (3.24)
-0.82 (2.38)
0.68 (5.14)
-0.92 (0.59)
-0.84 (2.04)
-0.06 (0.13)
-0.87 (2.78)
-1.34 (3.82)
-1.05 (2.44)
-0.92 (2.14)
0.27 (0.37)
-0.88 (3.05)
-2.10 (3.44)
0.41 (2.91)
1.31 (2.37)
9.16 (0.11)
-0.14 (0.89)
Dummy
Empirica (2013) 40:287324

311
123
123
0.13 (1.74)
1.60 (3.74)
-0.01 (0.09)
-0.09 (0.23)
686 Zinc
687 Tin
689 Miscell.non-ferrous base

metals
0.05 (0.58)
683 Nickel
0.32 (0.88)
0.07 (0.96)
-0.43 (2.75)
682 Copper
684 Aluminum
0.03 (0.12)
685 Lead
-0.19 (1.82)
681 Silver and platinum group

metals
-0.02 (0.11)
0.21 (2.58)
0.13 (0.77)
674 Universals, plates and

sheets of iron
0.04 (0.42)
0.07 (0.71)
678 Tubes, pipes and fittings of

iron
-0.42 (2.15)
0.11 (0.75)
672 Ingots andother primary

forms of iron
0.18 (1.63)
0.20 (1.58)
-2.93 (3.41)
-0.69 (1.06)
-0.50 (2.86)
0.54 (2.04)
-0.50 (3.19)
-0.03 (0.22)
0.75 (3.47)
-0.90 (3.29)
-0.54 (3.19)
0.63 (4.64)
671 Pig iron and spiegeleisen,

sponge iron
-0.14 (2.15)
0.01 (0.34)
667 Pearls and precious and

semi-precious stones
-0.26 (2.79)
-0.07 (1.62)
0.15 (2.41)
DLn VARt-1
DLn VARt
665 Glassware
664 Glass
Industry
Table 3 continued
0.15 (2.14)
0.22 (2.00)
-2.25 (3.13)
-1.49 (2.57)
-0.59 (3.85)
0.60 (2.67)
-0.55 (3.66)
0.18 (1.91)
-0.28 (2.02)
-0.57 (3.12)
0.20 (1.61)
-0.10 (2.45)
-0.11 (1.38)
DLn VARt-2
0.21 (2.93)
-1.33 (3.06)
-1.47 (3.89)
-0.25 (2.34)
0.30 (2.31)
-0.19 (1.90)
-0.18 (2.05)
-0.31 (2.82)
0.06 (1.12)
DLn VARt-3
-13.16 (3.68)
-9.58 (1.19)
-16.44 (1.99)
47.10 (2.42)
27.06 (2.62)
11.06 (0.88)
-35.01 (0.69)
3.40 (1.88)
-12.76 (3.07)
10.65 (1.68)
23.89 (1.98)
6.79 (2.52)
8.15 (1.56)
5.45 (3.31)
-1.56 (0.37)
16.48 (7.89)
2.91 (1.32)
-0.16 (0.09)
0.56 (0.28)
Constant
5.75 (6.58)
4.09 (2.26)
9.18 (4.47)
-9.63 (2.04)
-3.30 (1.29)
1.19 (0.41)
18.92 (0.89)
0.64 (2.89)
5.84 (5.75)
-0.37 (0.22)
-2.56 (0.90)
1.12 (1.55)
1.74 (1.21)
0.97 (2.39)
4.14 (3.51)
-0.33 (0.62)
2.34 (4.20)
3.16 (7.99)
3.00 (6.06)
Ln YU.S.
1.44 (1.89)
0.33 (0.21)
3.14 (1.88)
-3.46 (0.89)
-3.17 (1.52)
-2.87 (1.14)
2.39 (0.33)
0.52 (1.41)
-0.21 (0.27)
-1.12 (0.97)
-3.74 (1.79)
-0.03 (0.05)
1.17 (0.63)
0.34 (1.00)
1.28 (1.37)
-1.69 (4.04)
-0.26 (0.61)
-0.08 (0.27)
-0.19 (0.48)
Ln RE
0.32 (1.39)
-0.66 (1.38)
4.95 (6.26)
-0.27 (0.23)
1.58 (2.14)
1.09 (1.71)
11.57 (0.83)
0.64 (2.89)
0.58 (1.56)
-0.37 (0.21)
0.34 (0.83)
0.61 (1.77)
0.96 (1.17)
-0.69 (5.35)
1.39 (2.21)
1.86 (7.75)
0.67 (2.73)
0.56 (4.27)
0.51 (2.99)
Ln VAR
-0.12 (0.47)
0.14 (0.28)
-0.68 (0.95)
2.75 (1.36)
1.78 (2.43
0.85 (1.21)
-3.54 (0.67)
0.57 (3.38)
0.26 (0.65)
0.31 (0.47)
1.69 (1.58)
0.01 (0.05)
-0.05 (0.09)
0.12 (0.86)
-1.29 (3.19)
0.78 (3.37)
-0.06 (0.31)
-0.68 (4.31)
0.06 (0.35)
Dummy
312
Empirica (2013) 40:287324
-0.01 (0.01)
-0.14 (2.99)
722 Electric power machinery

and switches
723 Equipment for distributing

electricity
-0.01 (0.21)
-0.01 (0.07)
0.02 (0.53)
718 Machines for special

industries
719 Machinery and appliancesnon electrical
0.06 (0.71)
-0.06 (0.75)
717 Textile and leather

machinery
0.04 (0.48)
-0.08 (2.02)
0.15 (2.49)
711 Power generating

machinery, other
714 Office machines
0.01 (0.24)
-0.19 (3.34)
0.02 (0.79)
0.09 (1.27)
696 Cutlery
-0.46 (5.36)
0.03 (0.75)
695 Tools for use in the hand or

in machines
-0.24 (3.08)
-0.47 (2.71)
-0.14 (2.52)
-0.38 (3.68)
-0.11 (1.39)
-0.43 (3.16)
-0.14 (1.56)
-0.20 (1.56)
-0.21 (2.04)
-0.21 (2.94)
-0.24 (2.03)
-0.12 (1.01)
0.03 (0.50)
694 Nails, screws, nuts, bolts,

rivets
-0.35 (2.84)
-0.39 (2.38)
DLn VARt-1
-0.01 (0.05)
0.11 (0.75)
DLn VARt
693 Wire products and fencing

grills
692 Metal containers for

storage or transport
Industry
Table 3 continued
-0.14 (2.64)
-0.35 (3.35)
-0.11 (3.02)
-0.14 (2.64)
-0.36 (3.10)
-0.13 (2.01)
-0.25 (2.15)
-0.25 (2.98)
-0.24 (3.85)
-0.13 (1.22)
-0.14 (2.94)
-0.42 (5.35)
-0.25 (2.30)
-0.31 (2.94)
DLn VARt-2
-0.15 (2,64)
-0.16 (2.07)
-0.06 (1.55)
-0.20 (2.80)
-0.11 (1.86)
-0.11 (2.79)
-0.11 (1.69)
-0.05 (1.79)
-0.23 (4.59)
-0.12 (1.78)
-0.14 (1.98)
DLn VARt-3
-7.11 (2.38)
-10.62 (2.30)
-1.11 (0.19)
-2.53 (0.24)
-3.77 (1.81)
2.08 (0.81)
1.44 (0.55)
-1.98 (0.71)
18.95 (2.19)
-7.26 (2.84)
-9.33 (3.98)
-4.48 (2.01)
-0.52 (0.44)
-2.80 (2.58)
-3.66 (1.36)
5.19 (3.71)
34.65 (0.39)
Constant
4.79 (6.05)
5.44 (5.33)
3.98 (2.83)
4.27 (1.72)
4.76 (8,59)
3.09 (4.90)
3.16 (4.97)
4.46 (6.55)
-0.62 (0.29)
5.62 (8.25)
5.61 (8.86)
3.66 (6.66)
3.06 (9.62)
4.01 (13.73)
3.76 (5.43)
1.58 (4.24)
0.60 (0.05)
Ln YU.S.
0.62 (1.08)
0.07 (0.08)
-0.82 (0.92)
1.18 (0.40)
0.42 (0.90)
0.24 (0.49)
-0.27 (0.58)
0.63 (0.95)
2.14 (2.10)
0.33 (0.48)
1.21 (2.34)
0.81 (1.81)
0.27 (1.07)
-0.03 (0.11)
-0.11 (0.19)
-0.51 (1.78)
-5.31 (0.49)
Ln RE
0.38 (1.14)
0.65 (1.18)
0.55 (1.06)
-0.04 (0.07)
0.79 (3.18)
0.69 (2.49)
0.61 (2.48)
1.17 (3.11)
1.17 (1.73)
0.75 (2.39)
0.80 (3.24)
0.52 (2.39)
0.49 (3.42)
0.71 (4.68)
0.49 (1.71)
0.49 (2.58)
7.13 (0.67)
Ln VAR
0.18 (0.56)
0.22 (0.60)
-0.50 (1.07)
-1.11 (0.76)
-0.86 (3.68)
-1.17 (4.88)
-0.54 (2.57)
-0.79 (3.00)
1.09 (1.41)
-0.78 (1.91)
-0.34 (1.77)
0.05 (0.27)
-0.32 (2.52)
-0.24 (2.29)
0.07 (0.28)
-0.13 (0.99)
-0.31 (0.11)
Dummy
Empirica (2013) 40:287324

313
123
123
-0.09 (1.63)
-0.07 (0.47)
862 Photographic,
cinematographic supplies
31.35 (3.15)
1.21 (0.44)
-2.83 (2.08)
-0.17 (1.82)
-0.08 (1.43)
0.12 (2.15)
-0.02 (0.23)
861 Scientific, medical, optical,

instruments
851 Footwear
-13.36 (2.95)
-0.05 (0.91)
47.46 (1.92)
842 Fur clothing and articles of

artificial clothing
-0.32 (2.43)
-0.04 (0.30)
-13.79 (2.52)
841 Clothing except fur

clothing
-0.49 (2.26)
-0.14 (2.13)
-0.18 (1.85)
3.37 (0.69)
-0.29 (2.87)
0.05 (0.76)
0.01 (0.09)
821 Furniture
831 Travel goods, handbags

and similar
-0.37 (3.34)
-2.12 (0.25)
3.79 (0.33)
4.07 (0.77)
-0.24 (3.67)
-3.63 (1.95)
-2.03 (0.48)
-0.14 (0.03)
6.40 (0.06)
-1.01 (0.16)
-24.59 (4.55)
Constant
0.95 (2.01)
-0.05 (0.72)
-0.34 (3.28)
-0.15 (2.53)
-0.12 (1.19)
DLn VARt-3
-15.05 (3.55)
0.18 (1.77)
-0.11 (1.17)
-0.29 (1.81)
DLn VARt-2
0.36 (2.04)
0.58 (2.98)
0.05 (0.39)
-0.69 (3.48)
DLn VARt-1
-6.44 (2.55)
2.59 (3.92)
4.12 (11.97)
5.44 (5.04)
-6.55 (1.13)
7.69 (4.27)
2.62 (2.18)
3.87 (1.97)
2.19 (0.88)
1.95 (1.52)
6.78 (6.54)
2.34 (5.51)
4.33 (4.32)
3.99 (3.38)
2.16 (0.08)
3.87 (2.64)
9.32 (6.67)
Ln YU.S.
0.05 (0.82)
812 Sanitary, plumbing,

heating
735 Ships and boats
734 Aircraft
733 Road vehicles other than

motor
-0.19 (2.33)
0.27 (1.94)
0.01 (0.19)
-0.02 (0.28)
0.03 (0.59)
725 Domestic electrical

equipment
726 Electrical apparatus for

medical purpose
-0.01 (0.02)
DLn VARt
724 Telecommunications
apparatus
Industry
Table 3 continued
-4.97 (2.57)
-0.60 (1.19)
0.63 (2.13)
2.78 (2.95)
-7.28 (1.65)
3.05 (2.26)
0.02 (0.03)
0.97 (0.56)
-1.13 (0.53)
-0.31 (0.28)
0.67 (0.83)
1.49 (4.10)
1.67 (1.78)
-1.08 (1.22)
-15.85 (0.14)
-0.72 (0.54)
3.28 (2.79)
Ln RE
-0.22 (0.44)
0.29 (1.18)
0.30 (3.02)
-0.16 (0.91)
3.23 (2.48)
2.33 (2.34)
1.67 (1.99)
0.39 (0.88)
0.88 (0.92)
0.62 (1.92)
0.51 (1.86)
-1.03 (6.31)
0.03 (0.19)
1.88 (3.78)
3.47 (0.19)
0.81 (1.77)
1.12 (2.75)
Ln VAR
2.49 (2.07)
-0.54 (2.21)
0.14 (1.29)
-0.67 (1.80)
1.02 (0.65)
-1.05 (2.11)
0.26 (0.52)
-0.87 (1.08)
1.14 (1.35)
1.18 (2.33)
0.08 (0.18)
0.62 (4.74)
-0.50 (1.24)
-0.82 (1.76)
6.83 (0.14)
0.16 (0.31)
-0.46 (1.16)
Dummy
314
Empirica (2013) 40:287324
0.05 (0.74)
0.05 (0.78)
896 Works of art, collectors

pieces
897 Jewellery
0.01 (0.20)
0.02 (0.16)
894 Perambulators, toys, games
895 Office and stationary

supplies, nes
-0.04 (0.86)
-0.04 (1.02)
892 Printed matter
893 Articles of artificial plastic

mate
-0.18 (2.67)
0.01 (0.12)
-0.34 (3.45)
-0.29 (4.56)
-0.18 (3.13)
0.01 (0.06)
0.07 (2.30)
891 Musical instruments, sound

recorders
DLn VARt-1
-0.03 (0.33)
DLn VARt
-0.01 (0.19)
863 Developed
cinematographic film
Industry
Table 3 continued
-0.12 (1.84)
-0.20 (3.30)
-0.28 (4.72)
-0.12 (2.66)
-0.12 (2.53)
-0.08 (1.56)
DLn VARt-2
-0.12 (3.02)
-0.08 (2.52)
DLn VARt-3
-9.92 (1.43)
5.36 (1.23)
18.64 (0.47)
-9.13 (1.45)
2.98 (0.32)
106.45 (0.06)
-2.22 (1.31)
-5.99 (1.75)
-4.47 (0.21)
Constant
5.26 (2.95)
1.61 (1.67)
-0.89 (0.11)
6.11 (2.87)
2.88 (1.67)
-26.86 (0.04)
3.73 (8.11)
4.78 (5.52)
3.46 (0.79)
Ln YU.S.
1.49 (1.06)
-0.18 (0.25)
-3.25 (0.59)
2.13 (1.35)
0.14 (0.09)
-97.18 (0.06)
0.46 (1.09)
1.24 (1.72)
4.07 (0.59)
Ln RE
0.37 (0.73)
0.18 (0.78)
0.18 (0.16)
1.92 (1.53)
0.98 (1.26)
10.77 (0.06)
0.64 (3.77)
0.78 (2.65)
-0.46 (0.32)
Ln VAR
0.35 (0.77)
0.15 (0.40)
-0.73 (0.38)
-1.42 (1.77)
-0.64 (1.60)
23.63 (0.05)
-0.33 (2.22)
-0.49 (1.96)
-1.00 (0.69)
Dummy
Empirica (2013) 40:287324

315
123
123
-0.49 (2.54)
-0.25 (6.10)
-0.18 (6.11)
-0.06 (3.94)
-0.03 (3.47)
6.49
6.74
7.08
3.38
081 Feed.-stuff for animals excluding unmilled creals
211 Hides and skins,-excluding fur skins
-0.22 (2.33)
-0.14 (2.67)
-0.26 (1.47)
6.60
1.94
0.60
1.85
243 Wood, shaped or simply worked
266 Synthetic and regenerated fibers
-0.32 (3.08)
-0.27 (5.98)
-0.45 (3.92)
2.29
2.18
231 Crude rubber-including synthetic
-0.24 (5.81)
-0.34 (2.42)
1.03
2.94
-0.46 (3.60)
-0.94 (6.33)
-0.72 (6.10)
-0.66 (4.90)
-0.52 (3.98)
-0.48 (4.64)
073 Chocolate and other food preparations
2.69
-0.42 (4.43)
-1.60 (5.56)
075 Spices
7.42
7.78
4.56
055 Vegetables, roots and tubers preserved
4.62
053 Fruit, preserved and fruit preparations
054 Vegetables, roots and tubers
061 Sugar and honey
1.46
4.25
048 Cereal preparations and preparations of flour
052 Dried fruit
4.20
8.22
031 Fish, fresh and simply preserved
032 Fish in airtight containers, nes
-0.67 (6.04)
-0.79 (5.18)
6.39
6.70
001 Live animals
ECMt-1
Diagnostics
013 Meat in airtight containers nes
Industry
Table 4 Diagnostic Statistics
0.11
1.28
0.16
0.13
0.02
2.74
5.55
0.39
1.11
0.07
0.03
1.87
0.84
1.55
1.20
1.28
0.03
0.79
0.44
0.09
0.03
1.85
1.34
LM
1.41
8.98
0.68
2.38
9.98
1.96
0.37
1.31
2.07
0.06
3.19
0.32
6.86
0.14
7.11
0.48
4.41
4.84
0.18
7.98
0.32
1.79
0.04
RESET
US
CUSUM
US
US
US
US
CUSUMSQ
0.25
0.06
0.12
0.66
0.38
0.22
0.45
0.56
0.65
0.47
0.15
0.33
0.46
0.74
0.56
0.38
0.37
0.45
0.49
0.49
0.30
0.46
0.47
Adj. R2
0.003
0.043
0.004
0.042
0.016
0.004
0.051
0.010
0.070
0.079
0.174
0.052
0.003
0.006
0.046
0.008
0.006
0.064
0.013
0.022
0.005
0.005
0.018
Size
316
Empirica (2013) 40:287324
-0.10 (2.86)
5.88
3.51
4.10
553 Perfumery, cosmetics, dentifrices
554 Soaps, cleansing and polishing
3.31
541 Medicinal pharmaceutical products
551 Essential oils, perfume and flavor
3.42
6.01
532 Dyeing and tanning extracts, synthetic tanning materials
3.92
3.55
515 Radioactive and associated material
4.16
6.78
513 Inorganic chemical elements, oxides and halogen salts
1.12
3.89
1.81
6.03
-0.21 (2.98)
1.84
332 Petroleum products
-0.60 (7.46)
-0.42 (4.64)
-0.12 (4.15)
-0.79 (5.62)
-0.31 (4.01)
-0.87 (5.67)
-0.35 (3.31)
-0.56 (4.29)
-0.12 (3.37)
-0.51 (5.78)
-0.64 (4.72)
-0.43 (4.62)
-0.42 (2.49)
-0.96 (4.58)
-0.32 (3.41)
10.51
2.66
292 Crude vegetable materials, nes
-0.43 (6.31)
-0.58 (3.89)
2.69
7.31
11.21
291 Crude animal materials, nes
-0.33 (4.67)
-1.08 (6.07)
4.25
283 Ores and concentrates of non-ferrous
-0.14 (2.04)
-0.44 (4.18)
0.85
3.48
ECMt-1
267 Waste materials from textile fabric
Diagnostics
Industry
Table 4 continued
2.57
0.11
0.05
0.08
1.61
4.61
0.07
1.59
2.46
0.92
0.01
1.43
0.01
0.29
0.02
2.08
0.29
5.43
0.29
3.35
0.05
0.04
0.01
LM
1.14
1.06
0.06
1.02
3.79
6.55
0.27
3.49
0.02
2.22
0.23
2.38
1.84
1.03
3.53
0.11
5.53
0.25
0.04
9.00
2.89
0.82
0.14
RESET
US
CUSUM
US
US
US
US
US
US
US
CUSUMSQ
0.43
0.25
0.40
0.23
0.48
0.16
0.36
0.19
0.54
0.34
0.29
0.36
0.46
0.41
0.12
0.42
0.57
0.49
0.37
0.49
0.28
0.39
0.11
Adj. R2
0.006
0.093
0.114
0.019
0.006
0.645
0.005
0.251
0.051
0.238
0.033
0.161
0.004
0.034
0.005
0.101
0.484
0.047
0.048
0.989
0.049
0.003
0.006
Size
Empirica (2013) 40:287324

317
123
123
-0.15 (1.32)
-0.37 (3.83)
-0.48 (3.71)
-0.31 (4.84)
5.09
2.34
2.64
2.58
599 Chemical materials and products, nes
611 Leather
613 Fur skins, tanned or dressed
-0.08 (3.88)
6.78
-0.24 (2.38)
-1.07 (5.96)
-0.44 (3.71)
-0.96 (4.62)
-0.29 (4.71)
-0.36 (3.33)
-0.18 (3.99)
-0.35 (4.41)
7.05
1.78
1.33
7.05
2.50
4.10
0.99
5.32
4.26
2.83
2.29
4.36
3.51
5.74
1.84
642 Articles of paper and paperboard
652 Cotton fabrics, woven excluding narrow or special fabrics
653 Text fabrics woven excluding narrow or special fabrics
654 Tulle, lace, embroidery, ribbons
656 Made-up articles, wholly or chiefly
657 Floor coverings, tapestries, etc
661 Lime, cement and fabricated building materials
662 Clay and refractory construction materials
-0.31 (3.17)
-0.69 (5.61)
-0.29 (3.36)
-0.18 (1.91)
-0.18 (2.11)
-0.15 (3.05)
-0.05 (4.99)
-0.36 (3.38)
4.21
3.49
-0.70 (5.15)
-0.87 (5.97)
4.20
ECMt-1
Diagnostics
Industry
Table 4 continued
0.06
4.64
2.87
5.54
1.21
0.03
0.75
0.71
0.43
2.68
0.51
2.71
0.01
2.13
0.22
5.63
0.06
0.62
3.02
0.04
1.49
1.10
5.09
LM
1.37
0.01
2.19
0.34
0.12
2.25
0.72
1.03
8.50
3.72
2.22
4.00
0.12
0.24
0.85
4.34
1.83
3.22
8.61
0.33
0.13
5.45
0.19
RESET
CUSUM
CUSUMSQ
0.11
0.53
0.36
0.58
0.67
0.14
0.45
0.15
0.47
0.37
0.44
0.67
0.43
0.34
0.69
0.23
0.58
0.43
0.40
0.14
0.33
0.42
0.34
Adj. R2
2.091
0.009
0.019
0.007
0.095
0.002
0.515
0.276
0.561
0.142
0.117
0.038
0.048
0.053
0.315
0.025
0.192
0.040
0.251
0/013
0.012
0.001
0.010
Size
318
Empirica (2013) 40:287324
-0.69 (4.53)
-0.47 (4.14)
3.34
4.40
695 Tools for use in the hand or in machines
3.48
1.74
692 Metal containers for storage or transport

2.06
-0.33 (3.76)
2.16
694 Nails, screws, nuts, bolts, rivets
-0.73 (3.96)
-0.48 (3.42)
2.71
687 Tin
689 Miscell.non-ferrous base metals
693 Wire products and fencing grills
-0.22 (3.37)
2.40
686 Zinc
-0.82 (4.94)
-0.30 (2.74)
0.03 (3.12)
-0.17 (2.97)
0.20 (3.51)
-0.54 (3.89)
3.22
2.32
684 Aluminum
-0.34 (2.81)
-0.41 (2.51)
-0.64 (3.93)
685 Lead
1.32
1.45
682 Copper
683 Nickel
3.63
2.83
681 Silver and platinum group metals
-0.63 (4.08)
3.67
678 Tubes, pipes and fittings of iron
-0.92 (7.06)
-0.43 (4.28)
11.57
3.34
674 Universals, plates and sheets of iron
-0.83 (6.42)
-0.88 (5.74)
-0.38 (2.93)
6.54
7.41
672 Ingots and other primary forms of iron
4.19
2.08
667 Pearls and precious and semi-precious stones
671 Pig iron and spiegeleisen, sponge iron
-0.13 (4.53)
-0.15 (3.69)
3.11
3.99
664 Glass
ECMt-1
Diagnostics
665 Glassware
Industry
Table 4 continued
0.49
1.97
0.41
3.16
10.05
4.07
0.31
7.37
2.29
0.68
0.33
0.19
0.01
0.41
3.29
0.08
0.39
0.01
0.84
5.45
1.15
1.12
2.13
LM
0.17
0.09
1.68
0.16
2.22
1.01
1.76
0.49
0.16
0.07
2.41
0.02
0.47
0.12
0.02
2.83
1.07
0.07
0.32
6.32
0.68
3.53
12.15
RESET
CUSUM
US
US
US
US
CUSUMSQ
0.37
0.45
0.53
0.32
0.31
0.41
0.58
0.22
0.45
0.23
0.20
0.34
0.36
0.32
0.40
0.24
0.56
0.57
0.52
0.17
0.54
0.38
0.35
Adj. R2
0.040
0.066
0.073
0.059
0.078
0.119
0.047
0.016
1.627
1.542
0.129
0.184
0.002
0.007
0.051
0.349
0.552
0.114
0.213
0.201
0.205
0.310
1.757
Size
Empirica (2013) 40:287324

319
123
123
-0.41 (4.09)
-0.23 (3.31)
-0.27 (3.86)
6.65
2.51
726 Electrical apparatus for medical purpose
-0.27 (3.76)
-0.37 (3.37)
-0.29 (3.53)
6.15
2.52
2.83
6.47
733 Road vehicles other than motor
734 Aircraft
735 Ships and boats
812 Sanitary, plumbing, heating
-0.96 (5.39)
-0.69 (5.19)
-0.34 (2.72)
3.36
1.69
-0.22 (5.41)
-0.38 (5.89)
3.17
7.75
-0.45 (3.92)
724 Telecommunications apparatus
3.51
-0.29 (3.81)
-1.11 (4.55)
-0.23 (2.78)
725 Domestic electrical equipment
3.79
12.17
722 Electric power machinery and switches
-0.49 (7.36)
17.24
718 Machines for special industries
723 Equipment for distributing electricity
-1.47 (9.27)
3.90
3.49
-0.66 (5.32)
5.08
717 Textile and leather machinery
719 Machinery and appliances-non electrical
-0.01 (3.65)
1.93
2.55
714 Office machines
-0.41 (4.08)
-0.24 (4.42)
5.33
3.95
-0.23 (2.99)
-0.70 (6.25)
2.05
6.71
696 Cutlery
711 Power generating machinery, other
ECMt-1
Diagnostics
F
Industry
Table 4 continued
1.56
4.09
0.01
0.05
0.85
1.81
2.51
2.19
0.85
0.60
0.00
0.84
0.00
0.05
3.12
1.96
1.58
3.91
0.01
0.92
0.15
0.78
0.01
LM
0.22
1.05
0.65
1.34
8.39
0.64
0.61
0.49
2.52
0.20
3.22
8.60
0.83
0.74
0.31
6.99
0.19
1.93
0.01
2.36
0.85
1.06
0.80
RESET
CUSUM
US
US
CUSUMSQ
0.50
0.45
0.44
0.36
0.32
0.30
0.23
0.52
0.47
0.51
0.64
0.61
0.18
0.64
0.73
0.37
0.52
0.58
0.24
0.43
0.38
0.62
0.19
Adj. R2
0.088
0.071
0.122
0.062
0.003
0.001
0.076
0.015
0.002
0.077
0.017
0.025
0.005
0.003
0.038
0.056
0.090
1.036
0.694
0.916
0.841
0.020
0.019
Size
320
Empirica (2013) 40:287324
12.17
3.49
7.45
895 Office and stationary supplies, nes
896 Works of art, collectors pieces
897 Jewellery
6.82
8.77
893 Articles of artificial plastic mate
894 Perambulators, toys, games
1.86
0.79
891 Musical instruments, sound recorders
892 Printed matter
2.18
9.03
5.75
9.78
851 Footwear
861 Scientific, medical, optical, instruments

1.79
-0.90 (6.57)
1.83
862 Photographic, cinematographic supplies
-0.12 (2.09)
-0.24 (2.81)
0.99
841 Clothing except fur clothing
842 Fur clothing and articles of artificial clothing
863 Developed cinematographic film
-0.47 (5.20)
-0.53 (3.64)
6.16
3.09
821 Furniture
831 Travel goods, handbags and similar
-0.54 (5.80)
-0.29 (3.81)
-0.49 (7.36)
-1.34 (6.27)
-0.31 (5.52)
-0.15 (1.89)
-0.12 (2.85)
-0.32 (3.09)
-0.48 (2.83)
-0.75 (5.03)
-0.38 (6.30)
ECMt-1
Diagnostics
F
Industry
Table 4 continued
1.47
0.00
0.05
1.09
0.19
3.81
2.87
8.19
0.30
0.31
2.09
0.03
3.87
0.24
0.12
0.96
LM
0.54
0.83
0.74
0.38
0.91
2.11
1.00
5.71
2.28
0.91
0.01
1.57
0.89
0.23
28.53
7.56
RESET
CUSUM
US
US
CUSUMSQ
0.65
0.18
0.64
0.60
0.45
0.26
0.30
0.27
0.33
0.36
0.69
0.61
0.34
0.37
0.18
0.38
Adj. R2
0.697
0.912
0.823
0.024
0.014
0.044
0.011
0.002
0.001
0.041
0.003
0.041
0.014
0.001
0.042
0.011
Size
Empirica (2013) 40:287324

321
123
322
Empirica (2013) 40:287324
while its coefficient is significantly positive in 29 industries, it is negative in 25

industries.
Once again, for the above long-run coefficient estimates to be valid, cointegration
must be established. The results in Table 4 clearly support cointegration among the
variables of import demand model either by the F test or by ECMt-1. The
exceptions are two industries coded 262 and 611 in which neither statistic is
significant. Furthermore, as reflected by less than critical value of 3.89, the LM
statistic supports correlation free residuals in majority of the optimum models. The
same is true of the RESET test which supports correctly specified models. Finally,
estimated short-run as well as long-run coefficient estimates seem to be stable as
indicated by the outcome of CUSUM and CUSUMSQ tests.
4 Summary and conclusion

One advantage of joining an optimum currency area such as the euro zone is that
trade among member countries is not subject to any exchange rate uncertainty.
However, if a members major trading partner is a non-member country, most of its
trade could be affected by exchange rate uncertainty. Such is the sensitivity of
German trade with the U.S.
Previous research that investigated the impact of exchange rate uncertainty on
German trade flows either used aggregate trade data between Germany and rest of
the world or between Germany and her trading partners. The findings were mixed at
best.
In this paper we consider the GermanU.S. trade one more time. However, unlike
previous research we disaggregate the trade data between the two countries and
investigate sensitivity of 131 industries exports and imports to a measure of real
dollareuro volatility. By relying upon bounds testing approach to cointegration and
error-correction modeling, we find that most of trade by 131 industries are affected
by exchange rate volatility in the short run. However, in the long run only limited
number of industries are affected. More precisely, we find that imports by 67
German industries (or U.S. export industries) are affected in the long run and almost
all of these industries are affected favorably. On the other hand, only exports of 51
German industries (or U.S. import industries) are affected in the long run and most
of these industries are adversely affected.
Appendix: Data definitions and sources

All data are annual (19712009) and are collected from the following sources:
(a) The World Bank.
(b) The International Financial Statistics of the IMF.
(c) University of Pennsylvania, Center for International Comparisons of Production, Income and Prices.
(d) Eonomagic: (http://www.economagic.com/)
123
Empirica (2013) 40:287324
323
Variables
X = For each industry i, X is defined as the volume of U.S. exports to Germany.
Export value data in U.S. dollars for each commodity come from source a. In the
absence of annual price levels for each commodity, following Bahmani-Oskooee
and Hegerty (2009a) and the literature we deflate each industrys trade value by the
U.S. export unit value (source b).
M = For each industry i, M is defined as the volume of U.S. imports from
Germany. Import value data in U.S. dollars for each commodity come from source
a. Again, in the absence of annual price levels for each commodity, we deflate each
industrys trade value by Germanys import unit value (source b).
EURO = A dummy variable that equals zero until 1998 and 1 beginning in 1999.
YG = German real GDP. The data come from source b.
YU.S. = U.S. real GDP, source b.
REX =
Real bilateral exchange rate between dollar and euro defined as
PG NEX
PUS
, where P is the price level. NEX is the nominal bilateral exchange rate
defined as number of dollar per euro. Thus, an increase in REX reflects a real
depreciation of the dollar. Annual data for dollareuro rate comes from source c and
for the price levels (PPI) from source b.
VAR = Variability or volatility measure of the real bilateral exchange rate
(REX). Following Bahmani-Oskooee and Hegerty (2009a, b), for each year it is
defined as the standard deviation of the 12 monthly real exchange rate (REX) values
within that year. While monthly PPI data come from source b, monthly euro-dollar
rate for post 1999 comes from source d. For pre-1999 a conversion factor of 1
DM = 0.51 Euro was used to convert DM to euro. The factor comes form
http://coinmill.com/DEM_EUR.html.
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Impact of exchange-rate variability on commodity

Published online: 29 April 2012

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currency where there is no currency conversion, hence no uncertainty. Since trade is

Empirica (2013) 40:287324

2 The trade flow models and estimation method

Ln Mit a0 a1 Ln YUS;t a2 Ln REt a3 Ln VARt et

where Xi in (1) denotes U.S. export volume of commodity i to Germany which is

Empirica (2013) 40:287324

For details of normalization see Bahmani-Oskooee and Tanku (2008).

099 Food preparations, nes

112 Alcoholic beverages

211 Hides and skins,excluding fur skins

081 Feed.-stuff for animals

073 Chocolate and other

061 Sugar and honey

055 Vegetables, roots and

062 Sugar confectionery

054 Vegetables, roots and

052 Dried fruit

053 Fruit, preserved and

032 Fish in airtight

048 Cereal preparations and

Short-run coefficient estimates

031 Fish, fresh and simply

013 Meat in airtight

001 Live animals

Long-run coefficient estimates

Empirica (2013) 40:287324

332 Petroleum Products

411 Animal oil and fats

321 Coal, coke and

292 Crude vegetable

291 Crude animal materials,

283 Ores and concentrates

284 Non-ferrous metal

273 Stone, sand and gravel

276 Other crude minerals

267 Waste materials from

266 Synthetic and

251 Pulp and waste paper

262 Wool and other animal

Long-run coefficient estimates

Short-run coefficient estimates

243 Wood, shaped or

231 Crude rubber-including

212 Fur skins, undressed

515 Radioactive and

531 Synthetic organic

553 Perfumery, cosmetics,

551 Essential oils, perfume

554 Soaps, cleansing and

533 Pigments, paints,

514 Other inorganic

532 Dyeing and tanning

513 Inorganic chemical

431 Animal and vegetable

512 Organic chemicals

Short-run coefficient estimates

422 Other fixed vegetable

Long-run coefficient estimates

Empirica (2013) 40:287324

651 Textile yarn and thread