External imbalances from a GVAR perspective

Abstract

We study the drivers governing external disequilibria through a Global VAR (GVAR) analysis applied to a group of 24 countries during the period 1972-2017. The GVAR methodology is particularly well suited for our research question. First, it permits to measure the effects of both domestic and foreign country-specific shocks. Second, it allows us to analyse the long-run relationships and dynamics through generalised impulse response functions. Third, it enables us to test many hypotheses from a macroeconomic perspective and the existence of spillovers. Our results show evidence of international financial integration in terms of fulfilling the real interest rate parity. Concerning the twin deficits hypothesis, we find no conclusive results. In addition, we show how German fiscal policy has relevant spillover effects on other European countries (such as France, Spain and the Netherlands) and the United States and India.Finally, global shocks have long-lasting effects in most countries analysed, primarily through real oil prices. These results provide clues about how to implement a more symmetrical external adjustment, especially inside the euro area.

Market Integration and Price Dynamics under Market Shocks in European Union Internal and External Cheese Export Markets

“…The global vector autoregressive (GVAR) model is employed in this paper. The GVAR model has been widely applied in macroeconomics, including (see Chudik and Pesaran [ 13 ] for comprehensive surveys) studying the factors and shocks affecting global inflation [ 24 ], global imbalance [ 25 , 26 , 27 , 28 ], effects of fiscal and monetary policy [ 29 , 30 , 31 , 32 , 33 , 34 , 35 ], credit supply shock [ 36 , 37 , 38 ], spill-overs in the labor market [ 39 ], financial market [ 40 ], energy market [ 41 ], trade [ 42 ], and different sectors [ 43 , 44 , 45 ], etc. So far, the GVAR model has been applied to agricultural markets in a few empirical studies, including analyzing linkages among food commodity prices, energy prices, and financial sectors in the major wheat export countries by Gutierrez et al [ 46 ], studying short-run food price shock propagation in Sub-Saharan Africa (SSA) by Pierre and Kaminski [ 47 ], and analyzing spatial price transmission of the global butter export market under different market shocks such as exchange rate fluctuation, shocks to fertilizer prices, palm oil price, and crude oil price by Xue et al [ 48 ].…”

Danimarka ve İsveç İçin İşsizlik Histerisi Hipotezinin Test Edilmesi

“…The study of Blanchard and Summers (1986) is at the forefront of the empirical studies on unemployment hysteresis. Apart from this study, other examined empirical studies are as follows: Brunello (1990), Neudorfer et al (1990), Jaeger and Parkinson (1994), Røed (1996), Song and Wu (1997), Arestis and Mariscal (1999), Papell et al (2000), León-Ledesma (2002), Camarero and Tamarit (2004), Camarero et al (2006), Gustavsson and Österholm (2006), Camarero et al (2008), Gomes and Da Silva (2008), Lee and Chang (2008), Lee et al (2009), Lee (2010), Chang (2011), Ayala et al (2012), Cevik and Dibooglu (2013), Lee et al (2013), Bakas and Papapetrou (2014), Cheng et al (2014), Furuoka (2014), Tiwari (2014), Jiang and Chang (2016), Akdoğan (2017), Güriş et al (2017), Meng et al (2017), Bahmani-Oskooee et al (2018), Rodriguez-Gil (2018), Yaya et al (2019), Khraief et al (2020), Omay et al (2020), Yilanci et al (2020), Omay et al (2021), Bostancı and Koç (2022), Caporale et al (2022),…”

Spatial Price Transmission and Price Dynamics of Global Butter Export Market under Economic Shocks

“…The GVAR model has been applied extensively in macroeconomics, including but not limited to (see Chudik and Pesaran [13] for comprehensive surveys) studying the factors and shocks affecting global inflation [28], global imbalance [29][30][31][32], effects of fiscal and monetary policy [33][34][35][36][37][38][39], credit supply shock [40][41][42], spill overs in the labour market [43], financial market [44], energy market [45], trade [46], and different sectors [47][48][49], etc. So far, the GVAR model has been applied to agricultural markets twice.…”