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Net Foreign Asset Positions, Capital Flows and GDP Spillovers

Author

Listed:
  • Joscha Beckmann

    (University of Greifswald
    Kiel Institute for the World Economy)

  • Robert L. Czudaj

    (Chemnitz University of Technology
    University of Applied Sciences)

Abstract

This paper sheds light on global GDP spillovers in the context of external imbalances. We adopt a Bayesian time-varying panel vector autoregression framework to analyze the global implications of changes in assets and liabilities of the US and the Euro Area in a global framework which includes 25 industrial and emerging economies. We find significant evidence for assets and liabilities spillovers from positions in the Euro Area and the US which often result in negative effects on GDP growth.

Suggested Citation

  • Joscha Beckmann & Robert L. Czudaj, 2020. "Net Foreign Asset Positions, Capital Flows and GDP Spillovers," Open Economies Review, Springer, vol. 31(2), pages 295-308, April.
    • Handle: RePEc:kap:openec:v:31:y:2020:i:2:d:10.1007_s11079-019-09563-5
    DOI: 10.1007/s11079-019-09563-5
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    1. Andrieş, Alin Marius & Chiper, Alexandra Maria & Ongena, Steven & Sprincean, Nicu, 2024. "External wealth of nations and systemic risk," Journal of Financial Stability, Elsevier, vol. 70(C).

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    More about this item

    Keywords

    Capital flows; Global imbalances; GDP growth; Spillovers; Panel VAR;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements

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