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National Stochastic Trends and International Macroeconomic Fluctuations: the Role of the Current Account

Author

Listed:
  • Hoffmann, M.

Abstract

We propose a simple intertemporal model of output and current account dynamics that we estimate using a cointegrated VAR approach. We suggest a method for identifying global and country-specific shocks from the VAR and test it, using cross-country evidence.

Suggested Citation

  • Hoffmann, M., 1999. "National Stochastic Trends and International Macroeconomic Fluctuations: the Role of the Current Account," Economics Working Papers eco99/26, European University Institute.
  • Handle: RePEc:eui:euiwps:eco99/26
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    Cited by:

    1. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002. "Separation, Weak Exogeneity, And P-T Decomposition In Cointegrated Var Systems With Common Features," Econometric Reviews, Taylor & Francis Journals, vol. 21(3), pages 273-307.

    More about this item

    Keywords

    TIME SERIES ; INTERNATIONAL ECONOMY ; MACROECONOMICS;

    JEL classification:

    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • F43 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Economic Growth of Open Economies
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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