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Net Foreign Assets in the Euro Area: A Cointegration Analysis

Alessandro Girardi () and Paolo Paesani ()

No 76, Working Papers from University of Rome La Sapienza, Department of Public Economics

Abstract: This paper discusses the macroeconomics of NFA at the Euro Area level, making use of the cointegrated VAR methodology. The wish to contribute to the literature on EMU motivates the choice of the topic; the non-stationarity of the data explains the choice of the methodology. The main conclusion of the paper is that, as far as Net Foreign Assets are concerned, the use of synthetic Euro area aggregate data yields a series of results consistent with economic theory. Real growth and exchange rate appreciation are both consistent with NFA accumulation. Portfolio adjustment considerations appear also to be important.

Keywords: cointegration; euro area; net foreign assets. (search for similar items in EconPapers)
JEL-codes: C32 C51 F21 (search for similar items in EconPapers)
Date: 2005-01
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