Stochastic Trends and Balance of Payments Crises

Mohamed Ben Abdallah and Taoufik Rajhi

Papiers d'Economie Mathématique et Applications from Université Panthéon-Sorbonne (Paris 1)

Abstract: In this paper we investigate the importance of domestic nominal and real shocks on the fluctuations of the exchange rate and the current account balance in four countries : South Korea, Indonesia, Thailand and Mexico. We also analyse the effect of the budgetary deficit and the monetary policy on their exchange rate and their current account balance. We use the recently developed multivariate cointegration analysis followed by the model of common trends, the vector error correlation modelling, the impulse response functions and the variance decompositions.

Keywords: COINTEGRATION; FLUCTUATIONS; EXCHANGE RATE (search for similar items in EconPapers)
JEL-codes: F32 F41 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2000
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Working Paper: Stochastic trends and balance of payments crises (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:pariem:2000.68

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