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A framework for assessing global imbalances

Bracke, Thierry; Bussière, Matthieu; Fidora, Michael; … - European Central Bank - 2008

In this paper, we take a systematic look at global imbalances. First, we provide a definition of the phenomenon, and relate global imbalances to widening external positions of systemically important economies that reflect distortions or entail risks for the global economy. Second, we provide an...

Persistent link: https://www.econbiz.de/10005344803

Current account benchmarks for central and eastern Europe: a desperate search?

Ca' Zorzi, Michele; Chudik, Alexander; Dieppe, Alistair - European Central Bank - 2009

This paper examines two competing approaches for calculating current account benchmarks, i.e. the external sustainability approach á la Lane and Milesi-Ferretti (LM) versus the structural current accounts literature (SCA) based on panel econometric techniques. The aim is to gauge the medium...

Persistent link: https://www.econbiz.de/10005344844

Asset prices, exchange rates and the current account

Fratzscher, Marcel; Juvenal, Luciana; Sarno, Lucio - European Central Bank - 2007

This paper analyses the role of asset prices in comparison to other factors, in particular exchange rates, as a driver of the US trade balance. It employs a Bayesian structural VAR model that requires imposing only a minimum of economically meaningful sign restrictions. We find that equity...

Persistent link: https://www.econbiz.de/10005344873

Global liquidity glut or global savings glut? A structural VAR approach

Bracke, Thierry; Fidora, Michael - European Central Bank - 2008

) preference shocks (“savings glut” hypothesis), and (iii) investment shocks (“investment drought” hypothesis). In order to … imbalances and financial market prices. We find that savings shocks and investment shocks explain less of the variation. Hence, a … “savings glut”. JEL Classification: E2, F32, F41, G15 …

Persistent link: https://www.econbiz.de/10005344952

Global crises and equity market contagion

Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - European Central Bank - 2011

Using the 2007-2009 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use an asset pricing framework with global and local factors to predict crisis returns, defining unexplained increases in factor loadings as...

Persistent link: https://www.econbiz.de/10009293721

External and macroeconomic adjustment in the larger euro area countries

Angelini, Elena; Ca' Zorzi, Michele; Forster, Katrin - European Central Bank - 2014

A balanced current account in the euro area has disguised sizeable net lending imbalances at the country level, exposing the common currency area to severe pressures during the financial crisis. The key contribution of this paper is to evaluate the adjustment process through the lenses of the...

Persistent link: https://www.econbiz.de/10010753759

On the empirical evidence of the intertemporal current account model for the euro area countries

Ca' Zorzi, Michele; Rubaszek, Michał - European Central Bank - 2008

In this paper we present a novel approach to the empirical validation of the intertemporal approach to the current account. We develop a calibrated model highlighting the role of consumption smoothing and capital accumulation in the economic convergence process. After solving the model, we...

Persistent link: https://www.econbiz.de/10005816331

Methodological advances in the assessment of equilibrium exchange rates

Bussière, Matthieu; Ca' Zorzi, Michele; Chudik, Alexander - European Central Bank - 2010

This paper reviews three different concepts of equilibrium exchange rates that are widely used in policy analysis and constitute the backbone of the IMF CGER assessment: the Macroeconomic Balance, the External Sustainability and the reduced form approaches. We raise a number of econometric...

Persistent link: https://www.econbiz.de/10008480913

The external and domestic side of macroeconomic adjustment in China

Straub, Roland; Thimann, Christian - European Central Bank - 2009

This paper sheds new light on the external and domestic dimension of China’s exchange rate policy. It presents an open economy model to analyse both dimensions of macroeconomic adjustment in China under both flexible and fixed exchange rate regimes. The model-based results indicate that...

Persistent link: https://www.econbiz.de/10005002758

Asset prices and current account fluctuations in G7 economies

Fratzscher, Marcel; Straub, Roland - European Central Bank - 2009

The paper analyses the effect of equity price shocks on current account positions for the G7 industrialized countries in 1974-2007. It uses a Bayesian VAR with sign restrictions for the identification of asset price shocks and to test empirically for their effect on current accounts. Such shocks...

Persistent link: https://www.econbiz.de/10005002779