Current Accounts and the Persistence of Global and Country-Specific Shocks: Is Investment really too Volatile?
AbstractUsing a small VAR of the current account and investment, we identify two categories of shocks: permanent vs. transitory and country-specific vs. global. Our approach involves only the most minimal identifying assumption. Using data from the G7n countries, we find that the predictions of the intertemporal approach to the currenct account are confirmed by the data.
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Bibliographic InfoPaper provided by European University Institute in its series Economics Working Papers with number eco99/25.
Length: 43 pages
Date of creation: 1999
Date of revision:
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TIME SERIES ; INVESTMENTS ; INTERNATIONAL ECONOMY;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
- F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications
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- Fernando Perez de Gracia & Juncal Cuñado, 2001.
"Intertemporal Current Account And Productivity Shocks: Evidence For Some European Countries,"
01-05, Asociación Española de Economía y Finanzas Internacionales.
- Fernando Pérez de Gracia & Juncal Cuñado, . "Intertemporal Current Account and Productivity Shocks: Evidence for Some European Countries," Working Papers on International Economics and Finance 01-05, FEDEA.
- Cunado, Juncal & Gracia, Fernando Perez de, 2005. "Current account and productivity: evidence for some European countries," Journal of Policy Modeling, Elsevier, vol. 27(1), pages 75-89, February.
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