Stochastic trends and balance of payments crises

Mohamed Ben Abdallah*, TEAM
Taoufik Rahji, LEO, Orleans University

Résumé. Ce papier adopte la méthodologie des modèles à tendances communes pour analyser l'importance de chocs domestiques (réel et nominal) et de choc externe dans les fluctuations de taux de change nominal et le solde de la balance courante dans quatre pays : Thaïlande, Corée, Indonésie et le Mexique. Les résultats empiriques montrent l'importance de choc externe dans les fluctuations de taux de change nominal et le compte courant surtout pour le cas de la Thaïlande. Par conséquent ça ouvre une nouvelle piste d'explication des causes de la dernière crise asiatique.
Mots clés : Cointégration, tendances communes, fluctuations taux de change nominal, crise asiatique et décomposition de la variance.

Abstract. In this paper we investigate the importance of domestic nominal and real shocks on the fluctuations of the exchange rate and the current account balance in four countries : South Korea, Indonesia, Thailand and Mexico. We also analyse the effect of the budgetary deficit and the monetary policy on their exchange rate and their current account balance. We use the recently developed multivariate cointegration analysis followed by the model of common trends, the vector error correlation modelling, the impulse response functions and the variance decompositions. The results presented in this paper suggest that Asian countries have exposed their economy to external shock that have rendered their economy vulnerable to them. Consequently, we suggest that we must search the causes of Asian crises in the external shocks that have hit the Asian economy.
Keywords : Cointegration, common trends, fluctuations, nominal exchange rate, current account Asian crises and variances decompositions.

JEL Classification : F32, F41.