How macroeconomic imbalances interact? Evidence from a panel VAR analysis - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2014

How macroeconomic imbalances interact? Evidence from a panel VAR analysis

Blaise Gnimassoun
Valérie Mignon
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Résumé

This paper aims at investigating the interactions between three key macroeconomic imbalances, namely 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.
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Dates et versions

hal-04141365 , version 1 (26-06-2023)

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  • HAL Id : hal-04141365 , version 1

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Blaise Gnimassoun, Valérie Mignon. How macroeconomic imbalances interact? Evidence from a panel VAR analysis. 2014. ⟨hal-04141365⟩
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