Stochastic trends and balance of payments crises

Mohamed Ben Abdallah () and Taoufik Rahji
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Mohamed Ben Abdallah: TEAM - Théories et Applications en Microéconomie et Macroéconomie - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Taoufik Rahji: LEO - Laboratoire d'Économie d'Orleans [UMR6586] - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique

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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. The results presented in this paper suggest that Asian countries have exposed their economy to external shock that have rendered their economy vulnerable to them. Consequently, we suggest that we must search the causes of Asian crises in the external shocks that have hit the Asian economy.

Keywords: Cointegration; common trends; fluctuations; nominal exchange rate; current account Asian crises and variances decompositions; Cointégration; tendances communes; taux de change nominal; crise asiatique et décomposition de la variance (search for similar items in EconPapers)
Date: 2000-05
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-03773481
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Published in 2000

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-03773481

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