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The relative dynamics of the current account and investment in the G7-Economies

The relative dynamics of the current account and investment in the G7-Economies
The relative dynamics of the current account and investment in the G7-Economies
This paper contributes to the empirics of the intertemporal approach to the current account. We use a cointegrated VAR framework to identify permanent and transitory components of country-specific and global shocks. Our approach allows us to investigate empirically the sensitivity to persistence implied by many forward-looking models and our results shed new light on the excess volatility of investment encountered by Glick and Rogoff (1995). In G7 data, we find the relative current-account and investment response to be in line with the intertemporal approach.
0013-0133
148-163
Hoffmann, Mathias
b40fe4f6-c63c-472c-ab67-52702d1f9b00
Hoffmann, Mathias
b40fe4f6-c63c-472c-ab67-52702d1f9b00

Hoffmann, Mathias (2001) The relative dynamics of the current account and investment in the G7-Economies. Economic Journal, 111 (471), 148-163. (doi:10.1111/1468-0297.00625).

Record type: Article

Abstract

This paper contributes to the empirics of the intertemporal approach to the current account. We use a cointegrated VAR framework to identify permanent and transitory components of country-specific and global shocks. Our approach allows us to investigate empirically the sensitivity to persistence implied by many forward-looking models and our results shed new light on the excess volatility of investment encountered by Glick and Rogoff (1995). In G7 data, we find the relative current-account and investment response to be in line with the intertemporal approach.

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Published date: 2001
Organisations: Economics

Identifiers

Local EPrints ID: 32957
URI: http://eprints.soton.ac.uk/id/eprint/32957
DOI: doi:10.1111/1468-0297.00625
ISSN: 0013-0133
PURE UUID: f9627892-f782-4059-8161-a1ebc0c09a07

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Date deposited: 19 May 2006
Last modified: 15 Mar 2024 07:40

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Author: Mathias Hoffmann

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