Are There Thresholds of Current Account Adjustment in the G7?
Richard Clarida,
Manuela Goretti and
Mark Taylor
No 12193, NBER Working Papers from National Bureau of Economic Research, Inc
Abstract:
We find evidence of threshold behavior in current account adjustment for the G7 countries, such that the dynamics of adjustment towards equilibrium depend upon whether the current-account/ net-output ratio breaches estimated, country specific current account surplus or deficit thresholds. Both the speeds of adjustment and the size of the thresholds are found to differ significantly across countries. In addition, we also find evidence of shifts in means and variances of exchange rate changes, stock returns, and interest differentials that coincide with the current account adjustment regimes identified by the model.
JEL-codes: F3 F4 (search for similar items in EconPapers)
Date: 2006-05
New Economics Papers: this item is included in nep-bec, nep-cba, nep-fmk and nep-ifn
Note: IFM ITI
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Citations: View citations in EconPapers (29)
Published as Clarida, Richard H. (ed.) G7 Current Account Imbalances: Sustainability and Adjustment (National Bureau of Economic Research Conference Report). Chicago: University of Chicago Press, 2007.
Published as Are There Thresholds of Current Account Adjustment in the G7? , Richard H. Clarida, Manuela Goretti, Mark P. Taylor. in G7 Current Account Imbalances: Sustainability and Adjustment , Clarida. 2007
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