Macroeconomic volatility and external imbalances

• 成果类型: Article
• 署名作者: Fogli, Alessandra; Perri, Fabrizio
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2014.12.003
• 发表日期: 2015
• 页码: 1-15
• 关键词: business cycles; current account; Global imbalances; precautionary saving; uncertainty

摘要

Does macroeconomic volatility/uncertainty affects accumulation of net foreign assets? In OECD economies over the period 1970-2012, changes in country specific aggregate volatility are, after controlling for a wide array of factors, significantly positively associated with net foreign asset position. A standard open economy model with time varying macroeconomic uncertainty can quantitatively account for this relationship. The key mechanism is precautionary motive: more uncertainty induces residents to save more, and higher savings are in part channeled into foreign assets. Data and theory suggest that volatility is an important determinant of the medium/long run evolution of external imbalances in developed countries. (C) 2015 Elsevier B.V. All rights reserved.