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Stochastic Trends and Balance of Payments Crises

Author

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  • Abdallah, M.B.
  • Rajhi, T.

Abstract

In this paper we investigate the importance of domestic nominal and real shocks on the fluctuations of the exchange rate and the current account balance in four countries : South Korea, Indonesia, Thailand and Mexico. We also analyse the effect of the budgetary deficit and the monetary policy on their exchange rate and their current account balance. We use the recently developed multivariate cointegration analysis followed by the model of common trends, the vector error correlation modelling, the impulse response functions and the variance decompositions.

Suggested Citation

  • Abdallah, M.B. & Rajhi, T., 2000. "Stochastic Trends and Balance of Payments Crises," Papiers d'Economie Mathématique et Applications 2000.68, Université Panthéon-Sorbonne (Paris 1).
    • Handle: RePEc:fth:pariem:2000.68
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    Keywords

    COINTEGRATION ; FLUCTUATIONS ; EXCHANGE RATE;
    All these keywords.

    JEL classification:

    • 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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