期刊名称：South-Eastern Europe Journal of Economics (SEEJE)
印刷版ISSN：1109-8597
电子版ISSN：1792-3115
出版年度：2017
卷号：15
期号：2
页码：147-174
出版社：Association of Economic Universities of South and Eastern Europe and the Black Sea Region
摘要：AbstractIn this study, using a data set from 12 OECD countries with floating currency andliberal capital regimes, we analyse interactions between real exchange rates,currentaccount balances, bond yield spread, broad money, industrial productiongrowth and inflation in the framework of panel vector autoregression (PVAR)modelling. Our empirical study shows that changes in real exchange rates may wellaffect currentand capital accounts of the countries under investigation. Empiricalfindings also highlight that factors influencing the relative price of imports andexports may lead to considerable amount of changes in foreign trade, which, inturn, may affect domestic production. It has been found that improvements incurrent account balance may deteriorate real economic activity due to a fall inhigh efficiency intermediate and capital goods. PVAR model estimations imply thatshort-term interest rates can be used as an efficient tool to eliminate real exchangerate misalignments and to alleviate the negative impact of external imbalancesby influencing current accounts and capital accounts. Bond yield differences mayhave opposite impacts on real exchange rate and current account balance in OECDcountries compared to short-term interest rates, while short-term interest ratesdo not have the capacity to control long-term interest rates
关键词：External Factors; Internal Factors; Monetary Policy; PVAR Model
Loading...
