The present-value model of the current account has been rejected: Round up the usual suspects

• 成果类型: Article
• 署名作者: Nason, JM; Rogers, JH
• 署名单位: Federal Reserve System - USA; Federal Reserve System - USA; Federal Reserve Bank - Atlanta
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2005.01.004
• 发表日期: 2006
• 页码: 159-187
• 关键词: current account; present value model; World real interest rate; international capital mobility; Bayesian Monte Carlo

摘要

Tests of the present-value model (PVM) of the current account are frequently rejected by data. Standard explanations rely on the usual suspects of non-separable preferences, fiscal policy and world real interest rate shocks, external imperfect international capital mobility, and an internalized risk premium. We confirm these rejections on post-war Canadian data, then investigate their source by calibrating and simulating alternative versions of a small open economy, real business cycle model (RBC). Bayesian Monte Carlo experiments reveal that a canonical RBC model is close to the data, but far from the PVM predictions. Although each suspect matters in some way, none improve the fit to the data. However, the PVM restrictions are reproduced when the internalized risk premium is introduced into the canonical model. By adding the exogenous world real interest rate shock to this version of the model, it matches the data better and is moved closer to the PVM predictions. This suggests that there is an important common world component to current account fluctuations, which points to additional underlying macroeconomic factors that drive the current account. (c) 2005 Elsevier B.V. All rights reserved.