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European Trade & Growth Imbalances: An Analysis using a Sign-Restriction Bayesian-GVAR with Stochastic Volatility

Author

Listed:
  • Peter McAdam

    (Federal Reserve Bank of Kansas City, USA)

  • Kostas Mouratidis

    (University of Sheffield, UK)

  • Theodore Panagiotidis

    (University of Macedonia, Greece)

  • Georgios Papapanagiotou

    (University of Macedonia, Greece)

Abstract

The persistent trade and economic imbalances between the south and north euro area countries generated severe strains for the euro following the global financial crisis. We assess alternative scenarios to restore the trade imbalances within the euro area. We use a Bayesian VECM SVAR with stochastic volatility in a Global-VAR, in which theory-consistent, long- and short-run restrictions are imposed.

Suggested Citation

  • Peter McAdam & Kostas Mouratidis & Theodore Panagiotidis & Georgios Papapanagiotou, 2023. "European Trade & Growth Imbalances: An Analysis using a Sign-Restriction Bayesian-GVAR with Stochastic Volatility," Working Paper series 23-12, Rimini Centre for Economic Analysis.
    • Handle: RePEc:rim:rimwps:23-12
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    References listed on IDEAS

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    More about this item

    Keywords

    European North-South Divide; Global VAR; Structural Impulse Response Analysis;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • F14 - International Economics - - Trade - - - Empirical Studies of Trade

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