Net Foreign Assets in the Euro Area: A Cointegration Analysis
This paper discusses the macroeconomics of NFA at the Euro Area level, making use of the cointegrated VAR methodology. The wish to contribute to the literature on EMU motivates the choice of the topic; the non-stationarity of the data explains the choice of the methodology. The main conclusion of the paper is that, as far as Net Foreign Assets are concerned, the use of synthetic Euro area aggregate data yields a series of results consistent with economic theory. Real growth and exchange rate appreciation are both consistent with NFA accumulation. Portfolio adjustment considerations appear also to be important.
|Date of creation:||Jan 2005|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: +39 6 49766353
Fax: +39 6 4462040
Web page: http://www.dipecodir.it/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Vicente Tuesta & Jorge Selaive, 2004.
"Net Foreing Assets and Imperfect Pass-through: The Consumption-Real Exchange Rate Anomaly,"
2004 Meeting Papers
203, Society for Economic Dynamics.
- Jorge Selaive & Vicente Tuesta, 2003. "Net foreign assets and imperfect pass-through: the consumption real exchange rate anomaly," International Finance Discussion Papers 764, Board of Governors of the Federal Reserve System (U.S.).
- Lane, Philip R. & Milesi-Ferretti, Gian Maria, 2001.
"Long-Term Capital Movements,"
CEPR Discussion Papers
2873, C.E.P.R. Discussion Papers.
- Philip Lane & Gian Maria Milesi-Ferretti, 2001. "Long-Term Capital Movements," Trinity Economics Papers 200112, Trinity College Dublin, Department of Economics.
- Philip Lane & Gian Maria Milesi-Ferretti, 2001. "Long-Term Capital Movements," CEG Working Papers 20018, Trinity College Dublin, Department of Economics.
- Philip R. Lane & Gian-Maria Milesi-Ferretti, 2001. "Long-Term Capital Movements," IMF Working Papers 01/107, International Monetary Fund.
- Philip R. Lane & Gian Milesi-Ferretti, 2001. "Long-Term Capital Movements," NBER Working Papers 8366, National Bureau of Economic Research, Inc.
- Peersman, Gert & Smets, Frank, 2001. "The monetary transmission mechanism in the euro area: more evidence from VAR analysis," Working Paper Series 0091, European Central Bank.
- Fagan, Gabriel & Henry, Jérôme & Mestre, Ricardo, 2001. "An area-wide model (AWM) for the euro area," Working Paper Series 0042, European Central Bank.
- Mojon, Benoît & Peersman, Gert, 2001. "A VAR description of the effects of monetary policy in the individual countries of the euro area," Working Paper Series 0092, European Central Bank.
- Binder, M. & Pesaran, M.H., 1996. "Stochastic Growth," Cambridge Working Papers in Economics 9615, Faculty of Economics, University of Cambridge.
- Kraay, A. & Ventura, J., 1997.
"Current Acounts in Debtor and Creditor Countries,"
97-12, Massachusetts Institute of Technology (MIT), Department of Economics.
- Lewbel, Arthur, 1992. "Aggregation with Log-Linear Models," Review of Economic Studies, Wiley Blackwell, vol. 59(3), pages 635-42, July.
- Jorge Selaive ; Vicente Tuesta, 2004.
"Net Foreign Assets And Imperfect Financial Integration: An Empirical Approach,"
Econometric Society 2004 Latin American Meetings
90, Econometric Society.
- Jorge Selaive & Vicente Tuesta, 2003. "Net Foreign Assets And Imperfect Financial Integration: An Empirical Approach," Working Papers Central Bank of Chile 252, Central Bank of Chile.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
- Binder, Michael & Pesaran, M Hashem, 1999. " Stochastic Growth Models and Their Econometric Implications," Journal of Economic Growth, Springer, vol. 4(2), pages 139-83, June.
- Frank Smets & Raf Wouters, 2002.
"An estimated dynamic stochastic general equilibrium model of the euro area,"
Working Paper Research
35, National Bank of Belgium.
- Frank Smets & Raf Wouters, 2003. "An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area," Journal of the European Economic Association, MIT Press, vol. 1(5), pages 1123-1175, 09.
- Agresti, Anna Maria & Mojon, Benoît, 2001. "Some stylised facts on the euro area business cycle," Working Paper Series 0095, European Central Bank.
- Matthieu Bussiere & Georgios Chortareas & Rebecca L Driver, 2003.
"Current accounts, net foreign assets and the implications of cyclical factors,"
Bank of England working papers
173, Bank of England.
- Matthieu Bussiere & Georgios Chortareas & Rebecca Driver, 2003. "Current Accounts, Net Foreign Assets and the Implications of Cyclical Factors," Eastern Economic Journal, Eastern Economic Association, vol. 29(2), pages 269-286, Spring.
- Joseph E. Gagnon, 1996. "Net foreign assets and equilibrium exchange rates: panel evidence," International Finance Discussion Papers 574, Board of Governors of the Federal Reserve System (U.S.).
When requesting a correction, please mention this item's handle: RePEc:sap:wpaper:wp76. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Luisa Giuriato)
If references are entirely missing, you can add them using this form.