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"Dees, Stephane"
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Environmental Policy and the CO2 Emissions Embodied in International Trade
As polices to curb carbon emissions are not implemented similarly across countries, a so-called “carbon leakage” may offset domestic carbon reductions at the global level by redirecting CO2-intensive production to places with less stringent environmental regulation. This article uses a standard gravity model with panel data to assess whether a tightening in environmental policy plays as an incentive to offshore highly polluting activities. Our results show no evidence of carbon leakage through international trade, as stringent environment policy leads generally to a reduction in CO2 emissions embodied in traded goods and services, both at aggregate and sectoral levels. However, we do find evidence of carbon leakage when considering imports from countries with the most stringent environmental policy, suggesting the need for economies committed to carbon neutrality targets to tackle the issue of global cooperation on climate policy.
Journal Article
Exploring the international linkages of the euro area: a global VAR analysis
This paper presents a quarterly global model combining individual country vector error-correcting models in which the domestic variables are related to the country-specific foreign variables. The global VAR (GVAR) model is estimated for 26 countries, the euro area being treated as a single economy, over the period 1979-2003. It advances research in this area in a number of directions. In particular, it provides a theoretical framework where the GVAR is derived as an approximation to a global unobserved common factor model. Using average pari-wise cross-section error correlations, the GVAR approach is shown to be quite effective in dealing with the common factor interdependencies and international co-movements of business cycles. It develops a sieve bootstrap procedure for simulation of the GVAR as a whole, which is then used in testing the structural stability of the parameters, and for establishing bootstrap confidence bounds for the impulse responses. Finally, in addition to generalized impulse responses, the current paper considers the use of the GVAR for 'structural' impulse response analysis with focus on external shocks for hte euro area economy, particularly in response to shocks to the US.
Journal Article
Assessing the Role of Institutions in Limiting the Environmental Externalities of Economic Growth
Emissions of pollutants tend to be procyclical as they generally increase with economic growth. However, as government policy has a role to play in the mitigation of the environmental consequences of economic activity, the quality of institutions may influence the procyclicality of pollution and reduce the environmental cost of economic growth. Based on the assumption that changes in emissions are stronger at earlier stages of development, we develop a non-linear framework and confirm first the presence of income-related threshold effects in the relationship between pollution (CO2 and greenhouse gas emissions) and growth, for a panel of 142 countries over a period spanning from 1960 to 2017. We also find that institutional quality influences this relationship, as the quality of institutions lowers the value of the threshold and the degree of procyclicality of emissions. These results bring therefore evidence that higher institutional quality can attenuate the environmental externalities of economic growth.
Journal Article
Business Cycle Synchronisation: Disentangling Trade and Financial Linkages
Drawing on a large cross-section of countries, this paper explores whether closer economic ties between countries foster business cycle synchronisation and disentangles the role of the various channels, including trade and financial linkages as well as the similarity in sectoral specialisation. Our results confirm that output comovement is higher for country pairs with closer trade linkages and similar patterns of sectoral specialisation. By contrast, it remains difficult to find a direct relationship between bilateral financial linkages and output correlation. However, our results suggest that financial integration spurs business cycle synchronisation indirectly by raising the similarity in sectoral specialisation. Notably, the main findings hold regardless of whether financial linkages are captured in terms of FDI or portfolio holdings.
Journal Article
The role of the United States in the global economy and its evolution over time
This article aims at assessing the role of the United States in the global economy and its evolution over time. Based on a Global VAR modeling approach, this article shows first that countries with a large trade exposure with the U.S. economy have a relatively larger sensitivity to U.S. developments. However, even for countries that do not trade so much with the U.S., they are largely influenced by its dominance through other partners’ trade. Moreover, while no clear trend seems to emerge, it seems that the role of the U.S. in the global economy has changed over time. Overall, for most countries—the latest recession excluded—a change in U.S. GDP had weaker impacts—though more persistent—for most recent periods. The latest recession, however, led to some renewed increase in the sensitivity of the economies to U.S. developments.
Journal Article
Import price dynamics in major advanced economies and heterogeneity in exchange rate pass-through
This article aims at showing heterogeneity in the degree of exchange rate pass-through to import prices in major advanced economies at three different levels: (1) across destination markets; (2) across types of exporters [distinguishing developed economy (DE) from emerging economy (EE) exporters] and (3) over time. Based on monthly data over the period 1991–2007, the results show first that large destination markets exhibit the lowest degree of pass-through. The degree of pass-through for goods imported from EEs is also significantly lower than for those from DEs. Regarding the evolution over time, no clear change in pricing behaviours can be identified and the well-identified decline in the exchange rate pass-through between the 1980s and 1990s appears to have stopped during the period considered.
Journal Article
Identification of New Keynesian Phillips Curves from a Global Perspective
This paper is concerned with the estimation of New Keynesian Phillips Curves (NKPC) and focuses on two issues: the weak instrument problem and the characterization of the steady states. It proposes some solutions from a global perspective. Using a global vector autoregressive (GVAR) model steady states are estimated as long-horizon expectations and valid instruments are constructed from the global variables as weighted averages. The proposed estimation strategy is illustrated using estimates of the NKPC for eight developed industrial countries. The GVAR generates global factors that are valid instruments and help alleviate the weak instrument problem. The steady states also reflect global influences and any long-run theoretical relationships that might prevail within and across countries in the global economy. The GVAR measure of the steady state performed better than the HP measure, and the use of foreign instruments substantially increased the precision of the estimates of the output coefficient.
Journal Article
Does OPEC Matter? An Econometric Analysis of Oil Prices
We assess claims that OPEC's ability to influence real oil prices has diminished and that the relationship between real oil prices and OPEC production can be used to test competing hypotheses about OPEC behavior An econometric analysis indicates that there is a statistically significant relationship among real oil prices, OPEC capacity utilization, OPEC quotas, the degree to which OPEC exceeds these production quotas, and OECD stocks of crude oil. These variables \"Granger cause\" real oil prices but real oil prices do not \"Granger cause\" these variables. These results imply that OPEC influences oil prices and that previous models cannot be used to test competing models for OPEC production behavior. The effect of OECD oil stocks on real oil prices indicates that there may be an important externality in private decisions regarding optimal crude oil stocks.
Journal Article
Forecasting World Trade: Direct Versus “Bottom-Up” Approaches
In a globalised world economy, global factors have become increasingly important to explain trade flows at the expense of country-specific determinants. This paper shows empirically the superiority of direct forecasting methods, in which world trade is directly forecasted at the aggregate levels, relative to “bottom-up” approaches, where world trade results from an aggregation of country-specific forecasts. Factor models in particular prove rather accurate, where the factors summarise large-scale datasets relevant in the determination of trade flows.
Journal Article