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Déficit gemelos en Colombia: ¿existen? ¿Qué causa qué? ¿Cuál es el grado de impacto?

Author

Listed:
  • Dayra Garrido-Tejada
  • Sergio Restrepo-Ángel
  • Hernán Rincón-Castro

Abstract

Los objetivos de este documento son analizar para Colombia si existe una relación entre el desbalance ahorro-inversión público y el desbalance externo con datos anuales desde 1970 hasta 2019 y, si la hay, evaluar qué causa qué y estimar el impacto de una perturbación del causante sobre el otro antes y después de la crisis financiera internacional entre 2007 y 2009. La metodología empírica utiliza pruebas de causalidad de Granger, un modelo VAR estándar y regresiones de proyecciones locales de Jordà (2005), que permiten estimar un modelo de regresión uniecuacional y funciones de impulso respuesta con choques plenamente identificados. Los resultados obtenidos no rechazan la presencia de los déficits gemelos pero la causalidad estadística se presenta del balance externo al balance público, en contravía de lo que predice la teoría keynesiana de economía abierta, por un lado, y la hipótesis de equivalencia ricardiana, por el otro. Se estima que una perturbación de un punto porcentual del desbalance externo aumenta en promedio el desbalance público en 0,25 puntos porcentuales en el segundo año y 0,32 puntos porcentuales al tercer año. También se encuentra que el impacto sobre el desbalance público de una perturbación del desbalance externo es mayor después de la crisis financiera internacional. **** ABSTRACT: The objectives of this paper are to analyze for Colombia if there is a relationship between the public saving-investment imbalance and the external imbalance with annual data from 1970 to 2019 and, if there is one, evaluate what causes what and estimate the impact of a disturbance of the cause on the other before and after the international financial crisis between 2007 and 2009. The empirical methodology uses tests of causality from Granger, a standard VAR model and regressions of local projections of Jordà (2005), which allow estimating a model of single equation regression and impulse response functions with fully identified shocks. The results obtained do not reject the presence of the twin deficits, but statistical causality occurs from the external balance to the public balance, contrary to what the Keynesian theory of open economy predicts, on the one hand, and the Ricardian equivalence hypothesis, on the other. It is estimated that a shock of one percentage point of the external imbalance increases the public imbalance on average by 0.25 percentage points in the second year and 0.32 percentage points in the third year. The fiscal impact of an external shock is also found to be greater after the crisis.

Suggested Citation

  • Dayra Garrido-Tejada & Sergio Restrepo-Ángel & Hernán Rincón-Castro, 2021. "Déficit gemelos en Colombia: ¿existen? ¿Qué causa qué? ¿Cuál es el grado de impacto?," Borradores de Economia 1186, Banco de la Republica de Colombia.
    • Handle: RePEc:bdr:borrec:1186
    DOI: 10.32468/be.1186
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    References listed on IDEAS

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    1. Vansteenkiste, Isabel & Nickel, Christiane, 2008. "Fiscal policies, the current account and Ricardian equivalence," Working Paper Series 935, European Central Bank.
    2. YUAN, Chunming & CHEN, Ruo, 2015. "Policy transmissions, external imbalances, and their impacts: Cross-country evidence from BRICS," China Economic Review, Elsevier, vol. 33(C), pages 1-24.
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    4. Kim, Soyoung & Roubini, Nouriel, 2008. "Twin deficit or twin divergence? Fiscal policy, current account, and real exchange rate in the U.S," Journal of International Economics, Elsevier, vol. 74(2), pages 362-383, March.
    5. José Antonio Ocampo, 1988. "Una Nota Sobre La Relacion Entre El Financiamiento Externo, Ahorro E Inversion," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 7(13), pages 87-96, June.
    6. Jorge Ramos & Hernán Rincón, 2000. "El Balance Fiscal Y El Balance En La Cuenta Corriente En Colombia: Canales De Transmisión Y Causalidad," Borradores de Economia 2457, Banco de la Republica.
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    More about this item

    Keywords

    Balance público; balance externo; déficit gemelos; VAR; perturbación; regresiones de proyecciones locales estándar; Public balance; external balance; twin deficits; VAR; shock; standard local projections regressions;
    All these keywords.

    JEL classification:

    • H62 - Public Economics - - National Budget, Deficit, and Debt - - - Deficit; Surplus
    • H68 - Public Economics - - National Budget, Deficit, and Debt - - - Forecasts of Budgets, Deficits, and Debt
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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