The Present Value Model of the Current Account Has Been Rejected: Round Up the Usual Subjects
James M. Nason and John H. Rogers
Authors registered in the RePEc Author Service: John H. Rogers () and
James M. Nason ()
No 102, Computing in Economics and Finance 2001 from Society for Computational Economics
Testable implications of the basic intertemporal model of current account determination are almost always rejected by the data. We confirm these rejections for a sample of post-war Canadian data, then account for them by calibrating and simulating a small open economy, real business cycle model. Bayesian Monte Carlo experiments reveal that several of the "usual suspects", in particular the costs of risk premia and shocks to fiscal policy and the world real interest rate, are important sources of the rejections observed in the data, while other suspects are unimportant.
Keywords: Current Account; Risk Premia; Capital Mobility; Fiscal Shock; World Real Interest Rate Shock. (search for similar items in EconPapers)
JEL-codes: F41 E32 (search for similar items in EconPapers)
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Journal Article: The present-value model of the current account has been rejected: Round up the usual suspects (2006)
Working Paper: The present-value model of the current account has been rejected: Round up the usual suspects (2003)
Working Paper: The present-value model of the current account has been rejected: round up the usual suspects (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf1:102
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