Dissecting the dynamics of the US trade balance in an estimated equilibrium model

• 成果类型: Article
• 署名作者: Jacob, Punnoose; Peersman, Gert
• 署名单位: Reserve Bank of New Zealand; Ghent University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2013.01.004
• 发表日期: 2013
• 页码: 302-315
• 关键词: Open economy macroeconomics; US trade balance; Investment shocks; Bayesian estimation of DSGE models

摘要

In an estimated two-country DSGE model, we find that shocks to the marginal efficiency of investment account for more than half of the forecast variance of cyclical fluctuations in the US trade balance. Both domestic and foreign marginal efficiency shocks generate a strong effect on the variability of the imbalance, through shifts in international relative absorption. On the other hand, shocks to uncovered interest parity and foreign export prices, which transmit mainly via the terms of trade and exchange rate, have a strong influence at short forecast-horizons, before the investment disturbances begin their dominance. (C) 2013 Elsevier B.V. All rights reserved.