Bootstrap panel granger-causality between government budget and external deficits for the EU

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 bootstra...

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Bibliographische Detailangaben
1. Verfasser: Afonso, António (VerfasserIn)
Weitere Verfasser: Rault, Christophe (VerfasserIn)
Format: UnknownFormat
Sprache:eng
Veröffentlicht: Munich Univ., Center for Economic Studies u.a. 2009
Schriftenreihe:CESifo working papers Fiscal policy, macroeconomics and growth 2581
Schlagworte:
Europäische Union > Realer Wechselkurs > Haushaltsdefizit
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Zusammenfassung: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.
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