How Macroeconomic Imbalances Interact? Evidence from a Panel VAR Analysis
Blaise Gnimassoun () and
Valérie Mignon ()
Working Papers from CEPII research center
This paper aims at investigating the interactions between three key macroeconomic imbalances, namely Global imbalances,current-account discrepancies (external imbalances), output gaps (internal imbalances), and exchange-rate misalignments. To this end, we rely on the estimation of a panel VAR model for a sample of 22 industrialized countries over the 1980-2011 period. Our findings show that macroeconomic imbalances strongly interact through a causal relationship. We evidence that if current-account disequilibria threaten the stability of the global economy, their origin can be found in internal imbalances and exchange-rate misalignments: positive output-gap shocks as well as currency overvaluation deepen current-account deficits. In addition, while variations in external imbalances mainly result from exchange-rate misalignments in the euro area, they are mostly explained by output gaps for non-eurozone members.
Keywords: Global imbalances; current account; output gap; exchange-rate misalignments; panel VAR (search for similar items in EconPapers)
JEL-codes: F32 F31 C33 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac and nep-mon
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Journal Article: HOW DO MACROECONOMIC IMBALANCES INTERACT? EVIDENCE FROM A PANEL VAR ANALYSIS (2016)
Working Paper: How do macroeconomic imbalances interact? Evidence from a panel VAR analysis (2015)
Working Paper: How macroeconomic imbalances interact? Evidence from a panel VAR analysis (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:cii:cepidt:2013-42
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