Integration of current account imbalances in the OECD

Seema Narayan ()

Economic Modelling, 2014, vol. 38, issue C, 288-295

Abstract: The Glick and Rogoff (1995) hypothesis suggests that common or global shocks do not influence current accounts of countries which are symmetric. This is tested for 37 pairs of current account imbalances out of 17 OECD countries. Using time series data that spans the pre-Global crisis period but including several sub-samples recognizing the advent of the Euro, this study shows that for nine pairs of countries common shocks do matter for current account imbalances. Results obtained from the Granger causality test do not support the presence of spillovers in some of these pairs. Therefore, this study documents some empirical evidence which departs from the Glick and Rogoff proposal.

Keywords: Current account shocks; Correlation; Granger causality (search for similar items in EconPapers)
JEL-codes: F15 F32 F41 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:38:y:2014:i:c:p:288-295

DOI: 10.1016/j.econmod.2014.01.019

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