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Please use this identifier to cite or link to this item: http://hdl.handle.net/10400.5/2533

Title: Bootstrap Panel Granger-Causality Between Government Budget and External Deficits for the EU
Authors: Afonso, António
Rault, Christophe
Keywords: panel causality tests
budget deficit
external imbalance
real exchange rates
EU
OECD
Issue Date: 2009
Publisher: ISEG – Departamento de Economia
Citation: Afonso, António, Christophe Rault. 2009. "Bootstrap Panel Granger-Causality Between Government Budget and External Deficits for the EU". Instituto Superior de Economia e Gestão - DE Working papers nº 2-2009/DE/UECE
Series/Report no.: DE Working papers;nº 2-2009/DE/UECE
Abstract: 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 a panel-data approach 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.
URI: http://hdl.handle.net/10400.5/2533
ISSN: 0874-4548
Appears in Collections:UECE - Documentos de Trabalho / UECE - Working Papers
DE - Documentos de trabalho / Working Papers

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