Template-Type: ReDIF-Paper 1.0
Author-Name: van Bergeijk, P.A.G.
Author-Name-Last: van Bergeijk
Author-Name-First: Peter
Author-Person: pbe494
Author-Name: Dao, T.K.
Author-Name-Last: Dao
Author-Name-First: Tung Kim
Title: Global trade finance, trade collapse and trade slowdown: a Granger causality analysis
Abstract: This research paper provides a causality assessment on the linkage between declines in world trade finance and the world trade collapse in the period following the Financial Crisis of 2008 and 2009 as well as the ensuing global trade slowdown. The paper performs Granger Causality tests on two time series: World trade (volume data acquired from the CPB World Trade Monitor) and World trade finance (transaction data acquired from SWIFT), using global monthly data from January 2007 to May 2017. In the short run, Granger causality always runs one-way from world trade finance to world trade. We always find two-way Granger causality for lags longer than two years. Importantly Granger causality never runs one-way from world trade to world trade finance. Given the short-term nature of trade finance, we conclude that world trade finance Granger-causes world trade.
Length: 21
Creation-Date: 2018-01-29
File-URL: https://repub.eur.nl/pub/104224/WP634.pdf
File-Format: application/pdf
Series: RePEc:ems:euriss
Number: 634
Classification-JEL: F10, F34, F40, F65, G01, G21
Keywords: world trade, world trade collapse, world trade slow-down, trade finance, Granger causality, financial crisis, SWIFT
Handle: RePEc:ems:euriss:104224