| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4977 |
| DP4977 Leading Indicators: What Have We Learned? | |
| Massimiliano Marcellino | |
| 发表日期 | 2005-03-23 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | This paper provides empirical evidence on the adjustment dynamics of the US net foreign liabilities, net output and consumption. We use empirical techniques that allow us to quantify the relative importance of permanent and transitory innovations. We find that transitory shocks contribute considerably to the variation in all three variables for a horizon up to a year, and their contribution remains significant for a horizon up to five years. A permanent shock ? that we interpret as a technological shock ? dominates the variation of all variables at longer horizons. In response to this shock, net foreign liabilities, net output and consumption all increase ? consistent with the effect of productivity gains raising domestic return to capital and thus generating an inflow of foreign capital. Conversely, shocks that cause net output and consumption to increase temporarily are accompanied by short-run accumulation of net foreign assets ? in contrast with traditional model predicting procyclical current account deficits in response to temporary output fluctuations. Instead, our results are qualitatively consistent with predictions of the intertemporal approach to the current account. |
| 主题 | International Macroeconomics |
| 关键词 | Current account Net foreign wealth Consumption smoothing Intertemporal approach to the current account International adjustment mechanism Permanent-transitory decomposition |
| URL | https://cepr.org/publications/dp4977 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533875 |
| 推荐引用方式 GB/T 7714 | Massimiliano Marcellino. DP4977 Leading Indicators: What Have We Learned?. 2005. |
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