Are stationarity and cointegration restrictions really necessary for the intertemporal budget constraint?

• 成果类型: Article
• 署名作者: Bohn, Henning
• 署名单位: University of California System; University of California Santa Barbara
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2006.12.012
• 发表日期: 2007
• 页码: 1837-1847
• 关键词: intertemporal budget constraint; Unit roots; cointegration; FISCAL DEFICITS; external deficits

摘要

Time series related to fiscal and external deficits are commonly subjected to stationarity and cointegration tests to assess if the deficits are sustainable. Such tests are incapable of rejecting sustainability. The intertemporal budget constraint proves to be satisfied if either the debt series or the revenue and with-interest spending series are integrated of arbitrarily high order, i.e., stationary after differencing arbitrarily often. Revenues and spending do not have to be cointegrated. Rejections of low-order difference-stationarity and of cointegration are thus consistent with the intertemporal budget constraint. Error-correction-type policy reaction functions are suggested as more promising for understanding deficit problems. (c) 2007 Elsevier B.V. All rights reserved.