nep-mon New Economics Papers
on Monetary Economics
Issue of 2010‒11‒27
25 papers chosen by
Bernd Hayo
Philipps-University Marburg

  1. Inflation persistence, backward-looking firms, and monetary policy in an input-output economy By Brad E. Strum
  2. Channel systems: why is there a positive spread? By Aleksander Berentsen; Alessandro Marchesiani; Christopher J. Waller
  3. Inflation risk premia in the US and the euro area By Peter Hördahl; Oreste Tristani
  4. Monetary Policy and Heterogeneous Expectations By George W. Evans; William A.Branch
  5. Monetary policy implementation and uncovered interest parity: empirical evidence from Oceania By Alfred Guender; Bevan Cook
  6. Persistence of Inflationary Shocks On: Implications for West African Monetary Union Membership By Paul Alagidede; Simeon Coleman; Juan Carlos Cuestas
  7. How Do Central Banks React to Wealth Composition and Asset Prices? By Vitor Castro; Ricardo M. Sousa
  8. Persistence of Inflationary shocks: Implications for West African Monetary Union Membership By Paul Alagidede; Simeon Coleman; Juan Carlos Cuestas
  9. Operating Procedures and the Expectations Theory of the Term Structure of Interest Rates: A Note on the New Zealand Experience from 1989 to 2008 By Alfred Guender; Allan G.J. Wu
  10. Expectations, Deflation Traps and Macroeconomic Policy By George W. Evans; Seppo Honkapohja
  11. Oil shocks and the zero bound on nominal interest rates By Martin Bodenstein; Luca Guerrieri; Christopher Gust
  12. The effectiveness of unconventional monetary policy: the term auction facility By Daniel L. Thornton
  13. Sources of Disagreement in Inflation Forecasts: A Cross-Country Empirical Investigation By Pierre L. Siklos
  14. Macroeconomic factors and micro-level bank risk By Buch, Claudia M.; Eickmeier, Sandra; Prieto, Esteban
  15. A Forecasting Metric for Evaluating DSGE Models for Policy Analysis By Gupta, Abhishek
  16. The Stagnation Regime of the New Keynesian Model and Current US Policy By George W. Evans
  17. Three variations on fair wages and the long-run Phillips curve By Andrea Vaona
  18. Forecasting Short-Run Inflation Volatility using Futures Prices: An Empirical Analysis from a Value at Risk Perspective By Guillermo Benavides
  19. Entry dynamics and the decline in exchange-rate pass-through By Christopher Gust; Sylvain Leduc; Robert Vigfusson
  20. Currency wars & international trade By Punabantu, Siize
  21. The Spanish term structure of interest rates revisited: cointegration with multiple structural breaks, 1974-2010 By Vicente Esteve; Manuel Navarro-Ibáñez; María A. Prats
  22. Do FOMC Members Herd? By Jan-Christoph Rülke; Peter Tillmann
  23. Does asymmetric information play a role in explaining the Asian currency crisis? Application to Indonesian and Malaysian cases using a two-state Markov Switching model By Trabelsi, Emna
  24. The Term Structure of Interest Rates, the Expectations Hypothesis and International Financial Integration: Evidence from Asian Economies By Mark J. Holmes; Jesús Otero; Theodore Panagiotidis
  25. Are Global Imbalances Sustainable?: Shedding Further Light on the Causes of Current Account Reversals By Luiz de Mello; Pier Carlo Padoan; Linda Rousová

  1. By: Brad E. Strum
    Abstract: This paper studies the implications of inflation persistence (generated by backward-looking price setters) for monetary policy in a New Keynesian "input-output" model--a model with sticky prices in both intermediate and final goods sectors. Optimal policy under commitment depends on the degree of inflation persistence in both sectors. Under discretion, speed-limit targeting--targeting the change in the output gap--outperforms price-level and inflation targeting in the presence of inflation persistence. If inflation persistence is low in the intermediate goods sector, price-level targeting outperforms inflation targeting despite high inflation persistence in the final goods sector.
    Date: 2010
  2. By: Aleksander Berentsen; Alessandro Marchesiani; Christopher J. Waller
    Abstract: An increasing number of central banks implement monetary policy via two standing facilities: a lending facility and a deposit facility. In this paper we show that it is socially optimal to implement a non-zero interest rate spread. We prove this result in a dynamic general equilibrium model where market participants have heterogeneous liquidity needs and where the central bank requires government bonds as collateral. We also calibrate the model and discuss the behavior of the money market rate and the volumes traded at the ECB’s deposit and lending facilities in response to the recent financial crisis.
    Keywords: Monetary policy, open market operations, standing facilities
    JEL: E52 E58 E59
    Date: 2010–11
  3. By: Peter Hördahl; Oreste Tristani
    Abstract: We use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia in the United States and the euro area. To sharpen our estimation, we include in the information set macro data and survey data on inflation and interest rate expectations at various future horizons, as well as term structure data from both nominal and index-linked bonds. Our results show that, in both currency areas, inflation risk premia are relatively small, positive, and increasing in maturity. The cyclical dynamics of long-term inflation risk premia are mostly associated with changes in output gaps, while their high-frequency fluctuations seem to be aligned with variations in inflation. However, the cyclicality of inflation premia differs between the US and the euro area. Long term inflation premia are countercyclical in the euro area, while they are procyclical in the US.
    Keywords: term structure of interest rates, inflation risk premia, central bank credibility
    Date: 2010–11
  4. By: George W. Evans (University of Oregon Economics Department and University of St. Andrews); William A.Branch (University of Califorina, Irvine)
    Abstract: This paper studies the implications for monetary policy of heterogeneous expectations in a New Keynesian model. The assumption of rational expec- tations is replaced with parsimonious forecasting models where agents select between predictors that are underparameterized. In a Misspecification Equilib- rium agents only select the best-performing statistical models. We demonstrate that, even when monetary policy rules satisfy the Taylor principle by adjusting nominal interest rates more than one for one with inflation, there may exist equilibria with Intrinsic Heterogeneity. Under certain conditions, there may exist multiple misspecification equilibria. We show that these findings have im- portant implications for business cycle dynamics and for the design of monetary policy.
    Keywords: Heterogeneous expectations, monetary policy, multiple equilibria, adaptive learning.
    JEL: G12 G14 D82 D83
    Date: 2010–04–30
  5. By: Alfred Guender (University of Canterbury); Bevan Cook
    Abstract: The close integration of Australian and New Zealand financial markets and the similarity of the monetary policy regimes provide the perfect backdrop for testing the empirical relevance of uncovered interest rate parity (UIP) in Oceania. We find that changes in the bilateral exchange rate have become more sensitive to the short-term interest differential over time. Most important, after the introduction of the Official Cash Rate regime in New Zealand, the responsiveness of the exchange rate has accelerated to such an extent that it is incompatible with UIP. Evidence on UIP over longer horizons is mixed with a 10-year horizon providing the strongest support for the theory since 1990.
    JEL: F31 F36 E52
    Date: 2010–06–01
  6. By: Paul Alagidede; Simeon Coleman; Juan Carlos Cuestas
    Abstract: Plans are far advanced to form a second monetary union, the West African Monetary Zone (WAMZ), in Africa. While much attention is being placed on convergence criteria and preparedness of the five aspiring member states, less attention is being placed on how the dynamics of inflation in individual countries are (dis)similar. This paper aims to stimulate debate on the long term sustainability of the union by examining the dynamics of inflation within these countries. Using Fractional Integration (FI) methods, we establish that some significant differences exist among the countries. Shocks to inflation in Sierra Leone are non mean reverting; results for The Gambia, Ghana and Guinea-Bissau suggest some inflation persistence, despite being mean reverting. Some policy implications are discussed and possible outstanding policy questions are also raised.
    Keywords: Inflationary shocks, fractional integration, stationarity, West Africa, Monetary unions.
    JEL: C14 E31 E58
    Date: 2010–11
  7. By: Vitor Castro (Faculdade de Economia, Universidade de Coimbra, Portugal / NIPE); Ricardo M. Sousa (University of Minho, NIPE, London School of Economics and FMG)
    Abstract: We assess the response of monetary policy to developments in asset markets in the Euro Area, the US and the UK. We estimate the reaction of monetary policy to wealth composition and asset prices using: (i) a linear framework based on a fully simultaneous system approach in a Bayesian environment; and (ii) a nonlinear specification that relies on a smooth transition regression model. The linear framework suggests that wealth composition is indeed important in the formulation of monetary policy. However, the attempts of central banks to mitigate undesirable fluctuations in say, financial wealth, may disrupt housing wealth. A similar result can be found when we assess the reaction of monetary authority to asset prices, although concerns about "price" effects are smaller. The nonlinear model confirms these findings. However, the concerns over wealth and its components are stronger once inflation is under control, i.e. below a certain target. Some disruptions between financial and housing wealth effects are still present. They can also be found in the reaction to asset prices, despite being less intense.
    Keywords: monetary policy rules, wealth composition, asset prices.
    JEL: E37 E52
    Date: 2010–09
  8. By: Paul Alagidede; Simeon Coleman; Juan Carlos Cuestas (Department of Economics, The University of Sheffield)
    Abstract: Plans are far advanced to form a second monetary union, the West African Monetary Zone (WAMZ), in Africa. While much attention is being placed on convergence criteria and preparedness of the five aspiring member states, less attention is being placed on the extent to which the dynamics of inflation in individual countries are (dis)similar. This paper aims to stimulate debate on the long term sustainability of the union by examining the dynamics of inflation within these countries. Using Fractional Integration (FI) methods, we establish that some significant differences exist among the countries. Shocks to inflation in Sierra Leone are non mean reverting; results for The Gambia, Ghana and Guinea-Bissau suggest some inflation persistence, despite being mean reverting. Some policy implications are discussed and some warnings are raised.
    Keywords: Inflationary shocks, fractional integration, stationarity, West Africa, Monetary unions
    JEL: C14 E31 E58
    Date: 2010–11
  9. By: Alfred Guender (University of Canterbury); Allan G.J. Wu
    Abstract: The operating procedure of a central bank influences in no small measure whether the behavior of interest rates is consistent with the expectations hypothesis. In New Zealand, the predictive content of the term spread improves markedly in the wake of the switch from a quantity-based to a price-based operating procedure in March 1999. The Official Cash Rate system has made it easier for market participants to understand the day-to-day conduct of monetary policy. As a result, market interest rates have become more predictable, thereby contributing to the success of the expectations hypothesis in explaining the behavior of yields on very short-dated financial instruments.
    JEL: E43 E52
    Date: 2010–11–01
  10. By: George W. Evans (University of Oregon Economics Department and University of St. Andrews); Seppo Honkapohja (Bank of Finland, Helsinki, Finland)
    Abstract: We examine global economic dynamics under infinite-horizon learning in a New Keynesian model in which the interest-rate rule is subject to the zero lower bound. As in Evans, Guse and Honkapohja (2008), we find that under normal monetary and fiscal policy the intended steady state is locally but not globally stable. Unstable deflationary paths can arise after large pessimistic shocks to expectations. For large expectation shocks pushing interest rates to the zero lower bound, temporary increases in government spending can be used to insulate the economy from deflation traps.
    Keywords: Adaptive Learning, Monetary Policy, Fiscal Policy, Zero Interest Rate Lower Bound
    JEL: E63 E52 E58
    Date: 2010–07–06
  11. By: Martin Bodenstein; Luca Guerrieri; Christopher Gust
    Abstract: Beginning in 2009, in many advanced economies, policy rates reached their zero lower bound (ZLB). Almost at the same time, oil prices started rising again. We analyze how the ZLB affects the propagation of oil shocks. As these shocks move inflation and output in opposite directions, their effects on economic activity are cushioned when monetary policy is constrained. The burst of inflation from an oil price increase lowers real interest rates at the ZLB and stimulates the interest-sensitive component of GDP, offsetting the usual contractionary effects. In fact, if the increase in oil prices is gradual, the persistent rise in inflation can cause a GDP expansion.
    Date: 2010
  12. By: Daniel L. Thornton
    Abstract: This paper investigates the effectiveness of one of the Fed’s unconventional monetary policy tools, the term auction facility (TAF). At issue is whether the TAF reduced the spread between LIBOR rates and equivalent-term Treasury rates by reducing the liquidity premium embedded in LIBOR rates. This paper suggests that rather than reducing the liquidity premium in LIBOR rates, the announcement of the TAF increased the risk premium in financial and other bond rates because market participants interpreted the announcement by the Fed and other central banks as a sign that the financial crisis was worse than previously thought. Evidence is presented that supports this hypothesis.>
    Keywords: Liquidity (Economics) ; Monetary policy ; Financial risk management
    Date: 2010
  13. By: Pierre L. Siklos (Professor, Wilfrid Laurier University (E-mail:
    Abstract: This paper documents empirically and analyzes theoretically the responses of disaggregated prices to aggregate technology and monetary policy shocks. Based on the price data of US personal consumption expenditure, we find that disaggregated price responses have features across shocks and across sectors that are difficult to explain using standard multi-sector sticky price models. In terms of shocks, a substantial fraction of disaggregated prices initially rise in response to a contractionary monetary policy shock, while most prices fall immediately in response to an aggregate technological improvement. In terms of sectors, the disaggregated price responses are correlated weakly with the frequency of price changes. To reconcile these observations, we extend the standard model. We find that the cost channel of monetary policy and cross-sectional heterogeneity in real rigidity are possible avenues in accounting for these facts.
    Keywords: Disaggregated Prices, Technology Shocks, Monetary Policy Shocks, Sticky Price Models
    JEL: E31 F52
    Date: 2010–11
  14. By: Buch, Claudia M.; Eickmeier, Sandra; Prieto, Esteban
    Abstract: The interplay between banks and the macroeconomy is of key importance for financial and economic stability. We analyze this link using a factor-augmented vector autoregressive model (FAVAR) which extends a standard VAR for the U.S. macroeconomy. The model includes GDP growth, inflation, the Federal Funds rate, house price inflation, and a set of factors summarizing conditions in the banking sector. We use data of more than 1,500 commercial banks from the U.S. call reports to address the following questions. How are macroeconomic shocks transmitted to bank risk and other banking variables? What are the sources of bank heterogeneity, and what explains differences in individual banks' responses to macroeconomic shocks? Our paper has two main findings: (i) Average bank risk declines, and average bank lending increases following expansionary shocks. (ii) The heterogeneity of banks is characterized by idiosyncratic shocks and the asymmetric transmission of common shocks. Risk of about 1/3 of all banks rises in response to a monetary loosening. The lending response of small, illiquid, and domestic banks is relatively large, and risk of banks with a low degree of capitalization and a high exposure to real estate loans decreases relatively strongly after expansionary monetary policy shocks. Also, lending of larger banks increases less while risk of riskier and domestic banks reacts more in response to house price shocks. --
    Keywords: FAVAR,bank risk,macro-finance linkages,monetary policy,microeconomic adjustment
    JEL: E44 G21
    Date: 2010
  15. By: Gupta, Abhishek
    Abstract: This paper evaluates the strengths and weaknesses of dynamic stochastic general equilibrium (DSGE) models from the standpoint of their usefulness in doing monetary policy analysis. The paper isolates features most relevant for monetary policymaking and uses the diagnostic tools of posterior predictive analysis to evaluate these features. The paper provides a diagnosis of the observed flaws in the model with regards to these features that helps in identifying the structural flaws in the model. The paper finds that model misspecification causes certain pairs of structural shocks in the model to be correlated in order to fit the observed data.
    Keywords: Posterior predictive analysis; DSGE; Monetary Policy; Forecast Errors; Model Evaluation.
    JEL: E58 C52 E1 C11
    Date: 2010–10–30
  16. By: George W. Evans (University of Oregon Economics Department and University of St. Andrews)
    Abstract: In Evans, Guse, and Honkapohja (2008) the intended steady state is locally but not globally stable under adaptive learning, and unstable deflationary paths can arise after large pessimistic shocks to expectations. In the current paper a modified model is presented that includes a locally stable stagnation regime as a possible outcome arising from large expectation shocks. Policy implications are examined. Sufficiently large temporary increases in government spending can dislodge the economy from the stagnation regime and restore the natural stabilizing dynamics. More specific policy proposals are presented and discussed.
    Keywords: Stagnation, fiscal and monetary policy, deflation trap
    JEL: E63 E52 E58
    Date: 2010–10–30
  17. By: Andrea Vaona (Department of Economics (University of Verona))
    Abstract: The present paper explores the connection between money growth and unemployment in the long run in different models with fair wages. Under customary assumptions regarding the sign of the parameters of the effort function, more money growth (equal to inflation) lowers the unemployment rate, though to a declining extent. This is because firms respond to inflation - that spurs effort by decreasing the reference wage - by increasing employment, so to maintain the effort level constant, as implied by the Solow condition. Under wage staggering this effect is stronger because wage dispersion magnifies the impact of inflation on effort. Therefore, we provide a new theoretical foundation for recent empirical contributions finding a negative long-run relationship between unemployment and inflation.
    Keywords: efficiency wages, money growth, long-run Phillips curve, trend inflation, wage staggering
    JEL: E3 E20 E40 E50
    Date: 2010–11
  18. By: Guillermo Benavides
    Abstract: In this research paper ARCH-type models are applied in order to estimate the Value-at-Risk (VaR)of an inflation-index futures portfolio for several time-horizons. The empirical analysis is carried out for Mexican inflation-indexed futures traded at the Mexican Derivatives Exchange (MEXDER). To analyze the VaR with time horizons of more than one trading day bootstrapping simulations were applied. The results show that these models are relatively accurate for time horizons of one trading day. However, the volatility persistence of ARCH-type models is reflected with relatively high VaR estimates for longer time horizons. These results have implications for short-term inflation forecasts. By estimating confidence intervals in the VaR, it is possible to have certain confidence about the future range of inflation (or extreme inflation values) for a specified time horizon.
    Keywords: Bootstrapping, inflation, inflation-indexed futures, Mexico, value at risk, volatility persistence.
    JEL: C15 C22 C53 E31 E37
    Date: 2010–10
  19. By: Christopher Gust; Sylvain Leduc; Robert Vigfusson
    Abstract: The degree of exchange-rate pass-through to import prices is low. An average pass-through estimate for the 1980s would be roughly 50 percent for the United States implying that, following a 10 percent depreciation of the dollar, a foreign exporter selling to the U.S. market would raise its price in the United States by 5 percent. Moreover, substantial evidence indicates that the degree of pass-through has since declined to about 30 percent. ; Gust, Leduc, and Vigfusson (2010) demonstrate that, in the presence of pricing complementarity, trade integration spurred by lower costs for importers can account for a significant portion of the decline in pass-through. In our framework, pass-through declines solely because of markup adjustments along the intensive margin. ; In this paper, we model how the entry and exit decisions of exporting firms affect pass-through. This is particularly important since the decline in pass-through has occurred as a greater concentration of foreign firms are exporting to the United States. ; We find that the effect of entry on pass-through is quantitatively small and is more than offset by the adjustment of markups that arise only along the intensive margin. Even though entry has a relatively small impact on pass-through, it nevertheless plays an important role in accounting for the secular rise in imports relative to GDP. In particular, our model suggests that over 3/4 of the rise in the U.S. import share since the early 1980s is due to trade in new goods. Thus, a key insight of this paper is that adjustment of markups that occur along the intensive margin are quantitatively more important in accounting for secular changes in pass-through than adjustments that occur along the extensive margin.
    Date: 2010
  20. By: Punabantu, Siize
    Abstract: This paper examines the contemporary international trade and currency system to determine whether the system is appropriate for the level of knowledge, development and maturity of countries today. International trade and currencies are a key mechanism by which governments manage the livelihoods, standard of living and well-being of national economies including the relationship between countries and their peoples. Therefore, understanding how the international trade and currency system works and not just taking it at face value is important in determining whether a fair trade and currency system can be established between nations. The paper goes on to discuss what changes or reforms can be made which will enhance how countries perceive trade and one another in the currency process, currencies being the mechanism by which countries measure the value and accessibility of goods and services they exchange. It consequently, introduces the role of an Electronic Clearing House (ECH) in the international trade and currency system through which central banks would be able to enhance the trade and currency relationships between governments in order to make them more equal, more effective and relevant to the level of knowledge and development countries have attained.
    Keywords: International trade; currencies; money; banking; banks; central bank; open markets; open economies; closed economies; salve trade; imports; exports; electronic clearing house; ECH; net importers; net exporters; G20; trade deficit; trade balance; imbalance; IMF; World Bank; WTO; free markets;
    JEL: F1
    Date: 2010–11–15
  21. By: Vicente Esteve (Universidad de Valencia and Universidad de La Laguna, Spain); Manuel Navarro-Ibáñez (Universidad de La Laguna, Spain); María A. Prats (Universidad de Murcia, Spain)
    Abstract: In this paper we consider the possibility that a linear cointegrated regression model with multiples structural changes would provide a better empirical description of the term structure model of interest rates. Our methodology is based on instability tests recently proposed in Kejriwal and Perron (2010) as well as the cointegration test in Arai and Kurozumi (2007) and Kejriwal (2008) developed to allow for multiple breaks under the null hypothesis of cointegration.
    Keywords: Term structure of interest rates; Cointegration; Multiple Structural Breaks.
    JEL: C32 E43
    Date: 2010–11
  22. By: Jan-Christoph Rülke (WHU - Otto Beisheim School of Management,WHU - Otto Beisheim School of Management); Peter Tillmann (Justus-Liebig-University Giessen)
    Abstract: Twice a year FOMC members submit forecasts for growth, unemplyoment and in ation to be published in the Humphrey-Hawkins Report to Congress. In this paper we use individual FOMC forecasts to assess whether these forecasts exhibit herding behavior, a pattern often found in private sector forecasts. While growth and unemployment forecast do not show herding behavior, the in ation forecasts show strong evidence of anti-herding, i.e. FOMC members intentionally scatter their forecasts around the consensus. Interestingly, anti-herding is more important for nonvoting members than for voters.
    Keywords: Central Federal Open Market Committee, monetary policy, forecasting, herding
    JEL: E43 E52 E27
    Date: 2010
  23. By: Trabelsi, Emna
    Abstract: This paper aims at establishing a relationship between disparity of information and the probability of speculative attack in explaining the Asian crisis. We apply the general framework of Markov-Switching models to the differential of interest rates (DIR), subsequently in Indonesia and Malaysia. We allow dependency of the transition probabilities over the asymmetric information indicators. The Maximum Likelihood estimators results (MLE) are twofold: (1) an increase of information dispersion among speculators leads to a higher probability of a currency crisis (2) there is a significant asymmetric impact of information disparity as measured by difference between fund price and Net Asset Value (NAV) on the transition probability in the case of Indonesia, while the hypothesis is rejected for Malaysia’s case.
    Keywords: Speculative attack ; Global Games ; Asymmetric information ; Markov-Switching Models
    JEL: D82 F31
    Date: 2010–11–12
  24. By: Mark J. Holmes (Department of Economics, Waikato University, New Zealand); Jesús Otero (Facultad de Economía, Universidad del Rosario, Colombia); Theodore Panagiotidis (Department of Economics, University of Macedonia, Greece; RCEA, Italy)
    Abstract: The validity of the expectations hypothesis of the term structure is examined for a sample of Asian countries. A panel stationarity testing procedure is employed that addresses both structural breaks and cross-sectional dependence. Asian term structures are found to be stationary and supportive of the expectations hypothesis. Further analysis suggests that international financial integration is associated with interdependencies between domestic and foreign term structures insofar as cross-term structures based on differentials between domestic (foreign) short- and foreign (domestic) long-rates are also stationary.
    Keywords: Correlation, Heterogeneous dynamic panels, term structure, mean reversion, panel stationarity test
    JEL: C33 F31 F33 G15
    Date: 2010–01
  25. By: Luiz de Mello; Pier Carlo Padoan; Linda Rousová
    Abstract: Large shifts in countries’ external current account positions can be disruptive, often reflecting sudden stops in the flows of external finance and leading to exchange rate and banking crises. As a result, an empirical literature has emerged on the sustainability of, and the determinants of large swings in, current account positions. We shed further light on this issue by testing for the presence of unit roots in the current account balance-to-GDP ratios of a large set of mature and emerging-market economies using a methodology that allows for structural breaks in intercepts and trends. We then construct a chronology of current account reversals that is consistent with sustainability of external positions and use it to estimate the factors explaining the likelihood and magnitude of such reversals using a selection model with ordered probit in the first stage. We find that most of the factors that explain the probability of reversals, such as trends in capital flows, in the budget balance and in external positions, also influence their magnitude. But there are a few exceptions. For instance, the stance of monetary policy and the magnitude of external imbalances prior to a reversal seem to be more powerful predictors of the probability of reversals than of their magnitude.<P>Les déséquilibres mondiaux sont-ils viables ? : Mieux comprendre les causes des retournements de balance courante<BR>Les amples variations des soldes des paiements courants des pays peuvent avoir des effets perturbateurs, puisqu'elles tiennent souvent à de brusques interruptions des entrées de capitaux extérieurs et débouchent fréquemment sur des crises de change et bancaires. En conséquence, de nombreux travaux empiriques ont été réalisés sur la viabilité des soldes des paiements courants et les déterminants de leurs amples fluctuations. Nous apportons un nouvel éclairage sur cette question en procédant à un test de racine unitaire sur les ratios solde des paiements courants/PIB d'un vaste ensemble d'économies parvenues à maturité et émergentes, à partir d'une méthodologie tenant compte des ruptures structurelles dans les niveaux et les tendances des séries statistiques considérées. Nous établissons ensuite une chronologie des retournements de balance courante concordant avec la viabilité des positions extérieures, et nous l'utilisons pour estimer les facteurs qui expliquent la probabilité et l'ampleur de ces retournements à l'aide d'un modèle de sélection probit ordonné au premier stade. Nous parvenons à la conclusion que la plupart des facteurs qui expliquent la probabilité des retournements, telles que les tendances dans les flux de capitaux, dans le solde budgétaire et dans les positions extérieures, influent également sur leur ampleur. On relève toutefois quelques exceptions. Ainsi, l'orientation de la politique monétaire et l'ampleur des déséquilibres externes avant un retournement semblent être de meilleures variables explicatives de la probabilité des retournements que de leur ampleur.
    Keywords: capital flows, current account sustainability, current account reversals, flux de capitaux, retournements de balance courante, viabilité de la balance courante
    JEL: C32 C35 F32
    Date: 2010–11–10

This nep-mon issue is ©2010 by Bernd Hayo. It is provided as is without any express or implied warranty. It may be freely redistributed in whole or in part for any purpose. If distributed in part, please include this notice.
General information on the NEP project can be found at For comments please write to the director of NEP, Marco Novarese at <>. Put “NEP” in the subject, otherwise your mail may be rejected.
NEP’s infrastructure is sponsored by the School of Economics and Finance of Massey University in New Zealand.