Catálogo de publicaciones - libros

The paper presents empirical work on short-run and long-run comovement between the German, French and Italian GDP as well as the aggregates of private consumption, business investment, exports, imports, and changes in inventories. In country-specific data sets, cointegration analyses are carried out both to identify long-run economic relationships and to remove the trend components from the nonstationary series. Analytically, this is done by reparametrizing the vector error correction model in its common trends representation. The resulting (Beveridge-Nelson) trend and cycle components as well as the series of changes in inventories are analyzed with a focus on synchronicity. To measure cross-country comovement at different frequencies, “cohesion”, a summary statistic developed by Croux et al. (2001), is applied. Sampling variability and parameter uncertainty are captured by bootstrapped confidence intervals.

This paper uses the macro-econometric models of the European System of Central Banks to simulate a measure of the extent to which the sources of business cycle of France, Germany and Italy can be traced down to common and/or idiosyncratic factors and to investigate the propagation mechanism of these factors through the various components of aggregate demand. The paper computes responses of GDP and components to hypothetical cyclical shocks that may perturb some of the exogenous factors driving the three economies. Moreover, it shows with couterfactual simulations that over the 1998Q4–2003Q4 period: a) the cycle of world demand could account for up to 35% of the French GDP cycle, 23% of the German and 17% of the Italian; b) the cycle in the Euro exchange rate could account for a large fraction of the German GDP cycle, but only a small fraction of the French and the Italian; and c) taking French government consumption as a benchmark -because the most countercyclical- the deviation of government consumption growth with respect to the benchmark could only account for up to 8% of the Italian GDP cycle and only up to 7% of the German.

The trade performances of France, Germany and Italy in the 1990s and 2000s have followed heterogeneous national patterns. Contrary to the Italian situation, French and German divergences cannot be explained by relative cost and price developments; geographical specialisation has a limited role in the differences between the three countries. Sectoral specialisation sheds some light to these divergences, emphasising the exposure of Italy to emerging country competition and the limited specialisation of France, while all three countries share a lack of specialisation in ICT products. Non-price competitiveness indicators, such as R&D or education levels, could also contribute to explain the German strength and Italian weakness.

This paper presents equations for intra and extra euro area trade for France. Volumes and prices of imports and exports of goods are modelled. Dynamic simulations, residual tests and rolling forecasts indicate that the equations have satisfactory forecasting properties. However, trends and dummy variables are often added and competitiveness effects are not always well captured, probably due to inadequate data. Among other results, we find a stronger long run elasticity to price competitiveness for intra than for extra euro area exports, and positive contributions of price competitiveness to non energy import growth since 1999, probably due to evolutions in costs rather than in exchange rates.

The question as to whether changes in the external environment may have caused the importance of key determinants of German exports to shift since the 1990s is addressed by estimating Germany’s exports to EMU partner countries (intra exports) and to countries outside the euro area (extra exports). Analytically, this is done first by estimating error correction models across different samples. Second, it is tested whether the long-run export behaviour of intra and extra exports has changed since the 1990s. As an initial and tentative result, the impact of price competitiveness on both intra and extra exports appears to have decreased. Finally, simulations are conducted to reconstruct the adjustment process of both intra and extra exports following demand and price shocks.