An asset-pricing view of external adjustment

• 成果类型: Article; Proceedings Paper
• 署名作者: Pavlova, Anna; Rigobon, Roberto
• 署名单位: Centre for Economic Policy Research - UK; University of London; London Business School; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2009.09.003
• 发表日期: 2010
• 页码: 144-156
• 关键词: current account; portfolio choice; incomplete markets; International finance; asset pricing; Valuation effects

摘要

Recent literature has argued that conventional measures of external sustainability - the trade balance and current account - are misleading because they omit capital gains on net foreign asset positions. We adjust the definition of the current account to include the capital gains and discuss how this may affect our thinking about external adjustment and sustainability. We do so in the context of a two-country macro-finance model of Pavlova and Rigobon (2008a) that allows exploration of the interconnections between equilibrium portfolios and external accounts' dynamics. We calibrate the model and find that it generates several testable implications, some of which have already been validated empirically. Firsts we establish dynamic properties of the capital-gains adjusted current account and show that they are fundamentally different from those of the conventional current account. Second, we find that capital gains have a stabilizing effect on the trade balance and the current account. Finally, we demonstrate that in response to a shock, the conventional and the capital-gains adjusted current accounts may move in opposite directions. (C) 2009 Elsevier B.V. All rights reserved.