We study the drivers governing external disequilibria through a Global VAR (GVAR) analysis applied to a group of 24 countries during the period 1972–2017. The GVAR methodology is particularly well suited for our research question. First, it permits to measure the effects of both domestic and foreign country-specific shocks. Second, it allows us to analyse the long-run relationships and dynamics through generalised impulse response functions. Third, it enables us to test many hypotheses from a macroeconomic perspective and the existence of spillovers. Our results show evidence of international financial integration in terms of fulfilling the real interest rate parity. Concerning the twin deficits hypothesis, we find no conclusive results. In addition, we show how German fiscal policy has relevant spillover effects on other European countries (such as France, Spain and the Netherlands) and the United States and India. Finally, global shocks have long-lasting effects in most countries analysed, primarily through real oil prices. These results provide clues about how to implement a more symmetrical external adjustment, especially inside the euro area.

中文翻译：

---

从 GVAR 角度看外部失衡

我们通过适用于 1972 年至 2017 年期间 24 个国家的全球 VAR (GVAR) 分析来研究控制外部失衡的驱动因素。GVAR 方法特别适合我们的研究问题。首先，它允许衡量国内和国外特定冲击的影响。其次，它允许我们通过广义脉冲响应函数分析长期关系和动态。第三，它使我们能够从宏观经济的角度和溢出效应的存在来检验许多假设。我们的结果显示了国际金融一体化在实现实际利率平价方面的证据。关于双赤字假设，我们没有发现结论性的结果。此外，我们展示了德国财政政策如何对其他欧洲国家（如法国、西班牙和荷兰）以及美国和印度产生相关的溢出效应。最后，全球冲击对大多数分析的国家具有长期影响，主要是通过实际石油价格。这些结果为如何实施更加对称的外部调整提供了线索，尤其是在欧元区内部。