During the pre‐EMU period real effective exchange rate or domestic and foreign GDP per capita growth rate differential Granger‐caused aggregate trade balance in most of the EMU‐12 countries. However, our data‐driven paper provides evidence that during the EMU period neither the growth differentials nor the CPI‐based real effective exchange rates have Granger‐caused the aggregate trade balances. When we decompose the aggregate trade balances into the intra balances (trade balance vis‐à‐vis the euro area) and the extra balances (trade balance vis‐à‐vis the rest of the world), we find that typically the change in the dynamics of the aggregate trade balance resulted from a change in the dynamics of the intra balance.