A Panel VAR Analysis of Macro-Financial Imbalances in the EU

Comunale, Mariarosaria

doi:10.2139/ssrn.2925662

Cited by 13 publications

(7 citation statements)

References 19 publications

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“…Therefore, it is expected that the existence of the cross-sectional dependence in this panel data would not harm panel VAR estimations [3]. Moreover, it is confirmed that this statement is valid in this paper by applying a procedure suggested by Solberger (2011) and Comunale (2017). Estimations are repeated by altering external income variable.…”

Section: Robustness Checksupporting

confidence: 64%

Analysis of global economic policy uncertainty and export flows for emerging markets with panel VAR modeling

Aslan¹,

Acikgoz

2021

IJOEM

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PurposeThe purpose of this paper to examine how global economic policy uncertainty (GEPU) affects export flows of emerging market economies.Design/methodology/approachThis study examines the effect of GEPU on 28 emerging markets' export performance. GEPU variable used in the authors’ empirical analysis is measured by partial least square (PLS) factor loading model with the help of 24 countries' economic policy uncertainty index. A panel vector autoregression (VAR) model is employed for the estimations and monthly data over the 2006:01–2019:12 period are used.FindingsThe empirical findings show that while the real external income is the main factor that affects export flows, the real exchange rate is the least effective variable with regard to the variance decomposition, which is not expected by the related economic theory. Panel VAR estimations results confirm the previous studies and find that GEPU affects export flows negatively and significantly.Originality/valueTo the best of the authors’ knowledge, this is the sole study in terms of focusing on the impacts of GEPU on the export volume of emerging markets. The contribution of this paper is twofold. Firstly, a large set of countries with monthly frequented data that assist to capture uncertainties better is used. Secondly, the global economic policy index is obtained by employing the PLS method, which provides more robust results that are calculated with respect to the dependent variable.

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Section: Robustness Checksupporting

confidence: 64%

Analysis of global economic policy uncertainty and export flows for emerging markets with panel VAR modeling

Aslan¹,

Acikgoz

2021

IJOEM

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“…As such, we are assuming that RER misalignment responds contemporaneously to shocks to CPI inflation, output gaps, credit‐to‐output gaps, and interest rates, but shocks to RER misalignment only affect the other variables with a lag. The assumption that shocks to the RER or RER misalignment do not have contemporaneous effects has precedence (see, e.g., Comunale, 2017; Houssa et al, 2015). Because data on the credit‐to‐output gap are available for eight countries only, we will omit it in our baseline analysis and introduce it later in our robustness checks.…”

Section: Methodsmentioning

confidence: 99%

“…Based on a sample of 22 industrialized countries, Gnimassoun and Mignon (2015) found that RER misalignments, particularly RER overvaluations, could increase the size and persistence of current account imbalances. 6 Similarly, using a Bayesian panel VAR approach on 27 countries over the 1994-2012 period, Comunale (2017) studied the interaction between RER misalignment, current account misalignment, and financial gaps in the EU and observed that RER misalignment shocks can have a negative impact on financial and output gaps.…”

Section: Business Cyclementioning

confidence: 99%

“…This approach is helpful as the number of observations available for estimating a country-specific model is much smaller (than the pooled sample used by the panel VAR). Additionally, it has been implemented by studies that aimed to uncover the sources of business cycle fluctuations, more recently by Comunale (2017) and Houssa et al (2015), who studied the role of current account misalignment shocks and productivity, commodity price, and credit supply shocks on the business cycle, respectively.…”

Section: Introductionmentioning

confidence: 99%

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Real exchange rate misalignment and business cycle fluctuations in the Asia‐Pacific

Ambaw

Pundit²,

Ramayandi³

et al. 2023

Asian Economic Journal

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Real exchange rate (RER) misalignment, which is the deviation between the actual real exchange rate from its equilibrium, occurs frequently among developing countries. Studies have shown that RER misalignment may have negative economic implications, such as a decline in economic growth, exports, and export diversification and an increased risk of currency crises and political instability. Using quarterly data for 22 sample countries from 1990 to 2018, this paper investigates the impact of RER misalignment on business cycles in the Asia‐Pacific by employing a panel vector autoregression involving consumer price index (CPI) inflation, output gap, short‐term interest rates, and RER misalignment. We find that RER overvaluation may reduce CPI inflation and short‐term interest rates. We also find that the Asia‐Pacific region is highly heterogeneous in that the output gaps of some countries, particularly from the Southeast Asian region, are more susceptible to RER misalignment shocks.

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“…This setup also enables us to investigate the Impulse Response Functions (IRFs) of various shocks and how they influence other imbalances. In this study, the model in the PVAR approach is limited to only endogeneous variables and control variables are excluded in line with prior studies (Shank and Vianna 2016 ; Comunale 2017 ; Jouida 2018 ; Traoré 2018 ; Apostolakis and Papadopoulos 2019 ; Trofimov 2021 ).…”

Section: Research and Sampling Designmentioning

confidence: 99%

Corporate governance, capital structure, and firm performance: a panel VAR approach

Ronoowah

Seetanah

2022

SN Bus Econ

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This study aims to examine the interrelationships and interdependencies between corporate governance (CG), capital structure (CS), and firm performance (FP) of companies listed on the Stock Exchange of Mauritius from 2009 to 2019 along with a comparison between financial and non-financial firms. A panel vector autoregression (PVAR) approach is used in this study to determine the relationship dynamics between CG, CS and FP. The findings reveal a positive and significant bidirectional association between CS and FP, supporting the trade-off theory. The results also show that CG and FP jointly help to increase CS while CG and CS jointly boost the profitability of firms. A strong bidirectional relationship with varied signs between CG and CS is found only for financial firms. The results of the forecast error variance decomposition analysis support the selection of FP as the most endogenous variable. Robustness tests also support the findings. This study is the first to examine the dynamic and interdependent relationships using a PVAR model between CG, CS and FP that presents new contributions to the existing CG and CS literature with insights from an emerging economy.

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A Panel VAR Analysis of Macro-Financial Imbalances in the EU

Cited by 13 publications

References 19 publications

Analysis of global economic policy uncertainty and export flows for emerging markets with panel VAR modeling

Analysis of global economic policy uncertainty and export flows for emerging markets with panel VAR modeling

Real exchange rate misalignment and business cycle fluctuations in the Asia‐Pacific

Corporate governance, capital structure, and firm performance: a panel VAR approach

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