Suchergebnisse

Résumé Dans ce travail, nous estimons un modèle var structurel pour le Maroc, les Philippines et l'Uruguay et procédons aux exercices usuels d'analyse des fonctions de réponse et de décomposition de la variance de l'erreur de prévision. Nos investigations suggèrent que les chocs domestiques dominent les fluctuations du taux de change réel et que la contribution des chocs externes, bien que significative, est plus modérée. Par ailleurs, la faible contribution du choc nominal remet en cause les politiques monétaires visant à promouvoir la compétitivité à travers une dévaluation de la monnaie. En outre, nos estimations confirment que le taux de change réel est également sensible aux chocs sur le taux d'intérêt étranger qui peuvent l'écarter de son niveau d'équilibre.

International audience ; We assess the sustainability of public finances in the EU-15 over the period 1970-2006 using stationarity and cointegration analysis. Specifically, we use panel unit root tests of the first and second generation allowing in some cases for structural breaks. We also apply modern panel cointegration techniques developed by Pedroni (Oxf Bull Econ Stat 61(1):653-670, 1999; Econom Theory 20(3):597-625, 2004), generalized by Banerjee and Carrion-i-Silvestre (Cointegration in panel data with breaks and cross-section dependence, European Central Bank, Working Paper 591, 2006) and Westerlund and Edgerton (Econ Lett 97(3):185-190, 2007), to a structural long-run equation between general government expenditures and revenues. While estimations point to fiscal sustainability being an issue in some countries, fiscal policy was sustainable both for the EU-15 panel set, and within sub-periods (1970-1991 and 1992-2006).

Using bootstrap panel analysis, allowing for cross-country correlation, without the need of pre-testing for unit roots, we study the causality between government revenue and spending for the EU in the period 1960-2006. Spend-and-tax causality is found for Italy, France, Spain, Greece, and Portugal, while tax-and-spend evidence is present for Germany, Belgium, Austria, Finland and the UK, and for several EU New Member States.

We investigate the existence of Granger-causality between current account and government budget balances over the period 1970-2007, for different EU and OECD country groupings. We use the panel-data approach of Kónya (2006), which is based on SUR systems and Wald tests with country specific bootstrap critical values. Our results show a causal relation from budget deficits to current account deficits for several EU countries: Bulgaria, Czech Republic, Estonia, Finland, France, Italy, Hungary, Lithuania, Poland, and Slovakia, along the lines of the so-called twin-deficit relationship. Considering the effective real exchange rate in the SUR system does not substantially alter the results.

International audience ; We assess the sustainability of public finances in the EU-15 over the period 1970-2006 using stationarity and cointegration analysis. Specifically, we use panel unit root tests of the first and second generation allowing in some cases for structural breaks. We also apply modern panel cointegration techniques developed by Pedroni (Oxf Bull Econ Stat 61(1):653-670, 1999; Econom Theory 20(3):597-625, 2004), generalized by Banerjee and Carrion-i-Silvestre (Cointegration in panel data with breaks and cross-section dependence, European Central Bank, Working Paper 591, 2006) and Westerlund and Edgerton (Econ Lett 97(3):185-190, 2007), to a structural long-run equation between general government expenditures and revenues. While estimations point to fiscal sustainability being an issue in some countries, fiscal policy was sustainable both for the EU-15 panel set, and within sub-periods (1970-1991 and 1992-2006).