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Net Foreign Assets in the Euro Area: A Cointegration Analysis

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  • Alessandro Girardi
  • Paolo Paesani

Abstract

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.

Suggested Citation

  • Alessandro Girardi & Paolo Paesani, 2005. "Net Foreign Assets in the Euro Area: A Cointegration Analysis," Working Papers in Public Economics 76, University of Rome La Sapienza, Department of Economics and Law.
    • Handle: RePEc:sap:wpaper:wp76
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    More about this item

    Keywords

    cointegration; euro area; net foreign assets.;
    All these keywords.

    JEL classification:

    • 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
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements

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