External imbalances from a GVAR perspective

We study the drivers governing external disequilibria through a Global VAR (GVAR) analysis applied to group of 24 countries during period 1972–2017. The GVAR methodology is particularly well suited for our research question. First, it permits measure effects both domestic and foreign country-specific shocks. Second, allows us analyse long-run relationships dynamics generalised impulse response functions. Third, enables test many hypotheses from macroeconomic perspective existence spillovers. Our results show evidence international financial integration in terms fulfilling real interest rate parity. Concerning twin deficits hypothesis, we find no conclusive results. In addition, how German fiscal policy has relevant spillover on other European (such as France, Spain Netherlands) United States India. Finally, global shocks have long-lasting most analysed, primarily oil prices. These provide clues about implement more symmetrical adjustment, especially inside euro area.