Autore
Hoffmann, Mathias

Titolo
Current accounts and the persistence and country-specific shoks: is investment really too volatile?
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1999 - Fascicolo: 25 - Pagina iniziale: 1 - Pagina finale: 43

Using a small VAR of thè current account and investment. we identify two categories of shocks: permanent vs. transitory and country-specific vs. global. Our approach involves only thè most minimal identifying assumptions. Using data from thè G7 countries. we find that thè predic-tions of thè intertemporal approach to thè current account are confirmod by thè data. We are also able to solve thè puzzle encountered by Click and Rogoff (1995) that thè investment responso to country-specific shocks is excessive vis-a-vis thè current account response: thè estimatori responso is an amalgam of responses to permanent and transitory shocks. In our specification thè current account reacts as predictcd to thè permanent component of country-specific shocks and we find investment not to be excessively volatile.



Testo completo: http://www.iue.it/ECO/WP-Texts/ECO99-25.pdf

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