@TechReport{CEPII:2013-42,
author={Blaise Gnimassoun and Valérie Mignon},
title={How Macroeconomic Imbalances Interact? Evidence from a Panel VAR Analysis},
year=2013,
month=December,
institution={CEPII},
type={Working Papers},
url={http://www.cepii.fr/CEPII/fr/publications/wp/abstract.asp?NoDoc=6285},
number={2013-42},
abstract={This paper aims at investigating the interactions between three key macroeconomic imbalances, namely Global imbalances,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.},
keywords={Global imbalances ; current account ; output gap ; exchange-rate misalignments ; panel VAR}
}