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The relative dynamics of investment and the current account in the G-7 economies

The relative dynamics of investment and the current account in the G-7 economies
The relative dynamics of investment and the current account in the G-7 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 empirically investigate 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 (JME 1995). In G7 data, we find the relative current-account and investment response to be in line with the intertemporal approach.
intertemporal approach to the current account, cointegration, excess sensitivity, investment
5
University of Southampton
Hoffmann, Mathias
b40fe4f6-c63c-472c-ab67-52702d1f9b00
Hoffmann, Mathias
b40fe4f6-c63c-472c-ab67-52702d1f9b00

Hoffmann, Mathias (2000) The relative dynamics of investment and the current account in the G-7 economies (Discussion Papers in Economics and Econometrics, 5) Southampton, UK. University of Southampton 21pp.

Record type: Monograph (Discussion Paper)

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 empirically investigate 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 (JME 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: 2000
Additional Information: JEL classification: F41, F43
Related URLs:
Keywords: intertemporal approach to the current account, cointegration, excess sensitivity, investment

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Local EPrints ID: 33110
URI: http://eprints.soton.ac.uk/id/eprint/33110
PURE UUID: 529571a7-5ac9-4162-80c2-978bb7215d3c

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Date deposited: 19 Jul 2006
Last modified: 15 Mar 2024 07:42

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Contributors

Author: Mathias Hoffmann

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