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Gas price shocks, the current account, and the real exchange rate: An empirical analysis for the EU

Author

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  • Cuestas, Juan Carlos
  • Monfort, Mercedes
  • Ordóñez, Javier

Abstract

The aim of this paper is to analyse how gas price shocks affect the real exchange rate (RER) and the current account (CA) for a panel of countries from the EU28. We estimate VAR models and account for the possibility of asymmetric effects in gas price shocks. Our results show that the effects on the RER and CA are short-lived and that there are asymmetries in some cases.

Suggested Citation

  • Cuestas, Juan Carlos & Monfort, Mercedes & Ordóñez, Javier, 2024. "Gas price shocks, the current account, and the real exchange rate: An empirical analysis for the EU," Finance Research Letters, Elsevier, vol. 60(C).
    • Handle: RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012126
    DOI: 10.1016/j.frl.2023.104840
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    More about this item

    Keywords

    Real exchange rates; Current account; Gas prices; Asymmetries;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F15 - International Economics - - Trade - - - Economic Integration

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