Dynamics of the current account and interest differentials

• 成果类型: Article
• 署名作者: Boileau, Martin; Normandin, Michel
• 署名单位: University of Colorado System; University of Colorado Boulder; University of Colorado System; University of Colorado Boulder; Universite de Montreal; HEC Montreal; Universite de Montreal; HEC Montreal
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2007.05.005
• 发表日期: 2008
• 页码: 35-52
• 关键词: international real business cycle

摘要

In contrast to earlier work, we study the relation between the current account and the interest rate differential. To do so, we document the relation for international data. We then interpret this relation from a two-country, dynamic, general equilibrium model, where a financial intermediary faces operating costs that are increasing and convex in the volume of internationally intermediated funds. We finally confront the relation predicted by the model to the relation observed in the data. We find that the model correctly predicts that the current account is negatively correlated with current and future interest differentials, but positively correlated with past interest differentials; that the current account is countercyclical; and that the interest differential is procyclical. (C) 2007 Elsevier B.V. All rights reserved.