External imbalances from a GVAR perspective
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comunitat-uji-handle2:10234/8643
comunitat-uji-handle3:10234/8644
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Title
External imbalances from a GVAR perspectiveDate
2021-03-16Publisher
WileyISSN
1467-9701Bibliographic citation
CAMARERO, Mariam; CARRION‐I‐SILVESTRE, Josep Lluís; TAMARIT, Cecilio. External imbalances from a GVAR perspective. The World Economy, 2021Type
info:eu-repo/semantics/articleVersion
info:eu-repo/semantics/acceptedVersionSubject
Abstract
We study the drivers governing external disequilibria through a Global VAR (GVAR) analysis applied to a group of 24 countries during the period 1972–2017. The GVAR methodology is particularly well suited for our ... [+]
We study the drivers governing external disequilibria through a Global VAR (GVAR) analysis applied to a group of 24 countries during the period 1972–2017. The GVAR methodology is particularly well suited for our research question. First, it permits to measure the effects of both domestic and foreign country-specific shocks. Second, it allows us to analyse the long-run relationships and dynamics through generalised impulse response functions. Third, it enables us to test many hypotheses from a macroeconomic perspective and the existence of spillovers. Our results show evidence of international financial integration in terms of fulfilling the real interest rate parity. Concerning the twin deficits hypothesis, we find no conclusive results. In addition, we show how German fiscal policy has relevant spillover effects on other European countries (such as France, Spain and the Netherlands) and the United States and India. Finally, global shocks have long-lasting effects in most countries analysed, primarily through real oil prices. These results provide clues about how to implement a more symmetrical external adjustment, especially inside the euro area. [-]
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The World Economy, 2021Funder Name
Instituto de Estudios Fiscales, Feder-Spanish Research Agency | Valencian regional government | European Commission
Project code
ECO2017-83255-C3-1-P | ECO2017-83255-C3-3-P | Generalitat Valenciana-PROMETEO 2018/102 | 611032-EPP-1-2019-1-ES-EPPJMO-CoE
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info:eu-repo/semantics/openAccess
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