Abstract
This paper sheds light on global GDP spillovers in the context of external imbalances. We adopt a Bayesian time-varying panel vector autoregression framework to analyze the global implications of changes in assets and liabilities of the US and the Euro Area in a global framework which includes 25 industrial and emerging economies. We find significant evidence for assets and liabilities spillovers from positions in the Euro Area and the US which often result in negative effects on GDP growth.
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Notes
For some economies these have been replaced by money market rates due to data availability.
This also confirms the findings provided by Wegener et al. (2019).
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Thanks for valuable comments are due to two anonymous reviewers and the participants of the conference on “Finance and Economic Growth in the Aftermath of the Crisis” in Milan/Italy and the 17th annual conference of the European Economics and Finance Society in London/UK.
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Beckmann, J., Czudaj, R.L. Net Foreign Asset Positions, Capital Flows and GDP Spillovers. Open Econ Rev 31, 295–308 (2020). https://doi.org/10.1007/s11079-019-09563-5
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DOI: https://doi.org/10.1007/s11079-019-09563-5