A panel VAR analysis of macro-financial imbalances in the EU

Abstract

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Real Exchange Rate Misalignment and Business Cycle Fluctuations in Asia and the Pacific

“…current account imbalances. 5 Similarly, using a Bayesian panel VAR approach on 27 economies over the 1994-2012 period, Comunale (2021) studied the interaction among RER misalignment, current account misalignment, and financial gaps in the EU. Comunale observed that RER misalignment shocks had a negative impact on financial and output gaps, where RER misalignment could, in turn, be affected by current account misalignment shocks.…”

PVAR model with collapsed instruments in the real exchange rates misalignment's analysis

“…Various authors have been studied interactions among current account balance and real exchange rate [8,9]. In particular [9] has applied a panel VAR analysis to 27 EU members over the period 1994-2012 and has found that the increase in a current account imbalance causes an expansion of real exchange rate misalignment and thus lowering competitiveness.…”

“…Various authors have been studied interactions among current account balance and real exchange rate [8,9]. In particular [9] has applied a panel VAR analysis to 27 EU members over the period 1994-2012 and has found that the increase in a current account imbalance causes an expansion of real exchange rate misalignment and thus lowering competitiveness. However, author [9] does not report the number of instruments, which in case of T = 19 can not be less than N = 27 when applying standard GMM-style estimator to the homogeneous PVAR model [1].…”

“…Recent studies have confirmed real exchange rates misalignment's issue regarding a different productivity and growth among EU members, resulting in economic divergence instead of the preferred convergence [8,9,10]. It is generally accepted attitude that imbalance of the real exchange rate and it's volatility affect economic variables such as imports, exports, the balance of payments, inflation and production [12,13,14], which directly affect the economic performance of a particular country.…”

Institutional design of macro-financial security for the national economy stabilization

“…The term «macrofinancial» is used not only in the context of security, but also in other contexts, namely: «macrofinancial disproportions» [1], «macrofinancial stability» [2], «macrofinancial analysis» [3], etc. The activity of using these terms increased after the global financial crisis of 2008-2010.…”