Decomposing and analysing the determinants of current accounts’ cyclicality : evidence from the Euro Area

Detalhes bibliográficos
Autor(a) principal: Afonso, António
Data de Publicação: 2018
Outros Autores: Jalles, João
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/16023
Resumo: In this paper, we decompose the current account (CA) balance in 19 Euro area countries into cyclical and non-cyclical components. For the period 1999:Q1 to 2015:Q4, we compute income elasticities of imports and of exports via an alternative novel and improved approach by running time-varying coefficient models country-by-country. Then, in a panel set-up (and controlling for country-invariant characteristics), we uncover that terms of trade have a positive effect on both the cyclical and noncyclical components of the CA, while the Global Financial Crisis, compensation of employees and the employment level have a negative effect on the cyclical component. Moreover, the crisis had a greater impact on the cyclical component of the CA due to movements in the real effective exchange rate. In addition, we find a negative effect of the crisis on the cyclical component of the CA for countries that received financial assistance from the European Union, notably Ireland, Portugal, Spain and Latvia.
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spelling Decomposing and analysing the determinants of current accounts’ cyclicality : evidence from the Euro Areacurrent account cyclicalityfinancial marketstime-varying coefficientsIn this paper, we decompose the current account (CA) balance in 19 Euro area countries into cyclical and non-cyclical components. For the period 1999:Q1 to 2015:Q4, we compute income elasticities of imports and of exports via an alternative novel and improved approach by running time-varying coefficient models country-by-country. Then, in a panel set-up (and controlling for country-invariant characteristics), we uncover that terms of trade have a positive effect on both the cyclical and noncyclical components of the CA, while the Global Financial Crisis, compensation of employees and the employment level have a negative effect on the cyclical component. Moreover, the crisis had a greater impact on the cyclical component of the CA due to movements in the real effective exchange rate. In addition, we find a negative effect of the crisis on the cyclical component of the CA for countries that received financial assistance from the European Union, notably Ireland, Portugal, Spain and Latvia.ISEG - REM - Research in Economics and MathematicsRepositório da Universidade de LisboaAfonso, AntónioJalles, João2018-10-01T12:15:53Z2018-062018-06-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/16023engAfonso, António e João Jalles (2018). "Decomposing and analysing the determinants of current accounts’ cyclicality : evidence from the Euro Area". Instituto Superior de Economia e Gestão – REM Working paper nº 042 - 20182184-108Xinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:45:54Zoai:www.repository.utl.pt:10400.5/16023Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:01:31.945844Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Decomposing and analysing the determinants of current accounts’ cyclicality : evidence from the Euro Area
title Decomposing and analysing the determinants of current accounts’ cyclicality : evidence from the Euro Area
spellingShingle Decomposing and analysing the determinants of current accounts’ cyclicality : evidence from the Euro Area
Afonso, António
current account cyclicality
financial markets
time-varying coefficients
title_short Decomposing and analysing the determinants of current accounts’ cyclicality : evidence from the Euro Area
title_full Decomposing and analysing the determinants of current accounts’ cyclicality : evidence from the Euro Area
title_fullStr Decomposing and analysing the determinants of current accounts’ cyclicality : evidence from the Euro Area
title_full_unstemmed Decomposing and analysing the determinants of current accounts’ cyclicality : evidence from the Euro Area
title_sort Decomposing and analysing the determinants of current accounts’ cyclicality : evidence from the Euro Area
author Afonso, António
author_facet Afonso, António
Jalles, João
author_role author
author2 Jalles, João
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Afonso, António
Jalles, João
dc.subject.por.fl_str_mv current account cyclicality
financial markets
time-varying coefficients
topic current account cyclicality
financial markets
time-varying coefficients
description In this paper, we decompose the current account (CA) balance in 19 Euro area countries into cyclical and non-cyclical components. For the period 1999:Q1 to 2015:Q4, we compute income elasticities of imports and of exports via an alternative novel and improved approach by running time-varying coefficient models country-by-country. Then, in a panel set-up (and controlling for country-invariant characteristics), we uncover that terms of trade have a positive effect on both the cyclical and noncyclical components of the CA, while the Global Financial Crisis, compensation of employees and the employment level have a negative effect on the cyclical component. Moreover, the crisis had a greater impact on the cyclical component of the CA due to movements in the real effective exchange rate. In addition, we find a negative effect of the crisis on the cyclical component of the CA for countries that received financial assistance from the European Union, notably Ireland, Portugal, Spain and Latvia.
publishDate 2018
dc.date.none.fl_str_mv 2018-10-01T12:15:53Z
2018-06
2018-06-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/16023
url http://hdl.handle.net/10400.5/16023
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Afonso, António e João Jalles (2018). "Decomposing and analysing the determinants of current accounts’ cyclicality : evidence from the Euro Area". Instituto Superior de Economia e Gestão – REM Working paper nº 042 - 2018
2184-108X
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv ISEG - REM - Research in Economics and Mathematics
publisher.none.fl_str_mv ISEG - REM - Research in Economics and Mathematics
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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