期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2011
出版社：European Central Bank
摘要：This paper provides evidence on whether the creation of the euro has changed the way global turbulences a¤ect euro area and other economies. Speci cally, it considers the impact of global shocks on the competitiveness of individual euro area countries and assesses whether their responses to such shocks have converged, as well as to what pattern. Technically, the paper applies a newly developed methodology based on in nite VAR theory featuring a dominant unit to a large set of over 60 countriesreal e¤ective exchange rates, including those of the individual euro area economies, and compares impulse response functions to the estimated systems before and after EMU with respect to three types of shocks: a global US dollar shock, generalised impulse response function shocks and a global shock to risk aversion. Our results show that the way euro area countriesreal e¤ective exchange rates adjust to these shocks has converged indeed, albeit to a pattern that depends crucially on the nature of the shock. This result is noteworthy given the apparent divergence in competitiveness indicators of these countries in the rst ten years of EMU, which suggests that this diverging pattern is unlikely to be due to global external shocks with asymmetric e¤ects but rather to other factors, such as country- speci c domestic shocks
关键词：Euro; Real E¤ective Exchange Rates; Weak and Strong Cross Sectional Depen-;dence; High-Dimensional VAR; Identi cation of Shocks.
