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The relative dynamics of investment and the current account in the G7-economies


Hoffmann, Mathias (2001). The relative dynamics of investment and the current account in the G7-economies. Economic Journal, 111(471):148-163.

Abstract

This paper contributes to the empirics of the intertemporal approach to the current account. We use a cointegrated VAR framework to identify permanent and transitory components of country-specific and global shocks. Our approach allows us to investigate empirically the sensitivity to persistence implied by many forward-looking models and our results shed new light on the excess volatility of investment encountered by Glick and Rogoff (1995). In G7 data, we find the relative current-account and investment response to be in line with the intertemporal approach.

This paper contributes to the empirics of the intertemporal approach to the current account. We use a cointegrated VAR framework to identify permanent and transitory components of country-specific and global shocks. Our approach allows us to investigate empirically the sensitivity to persistence implied by many forward-looking models and our results shed new light on the excess volatility of investment encountered by Glick and Rogoff (1995). In G7 data, we find the relative current-account and investment response to be in line with the intertemporal approach.

Citations

4 citations in Web of Science®
9 citations in Scopus®
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Additional indexing

Item Type:Journal Article, refereed
Communities & Collections:03 Faculty of Economics > Department of Economics
Dewey Decimal Classification:330 Economics
Language:English
Date:23 December 2001
Deposited On:11 Feb 2008 12:29
Last Modified:05 Apr 2016 12:22
Publisher:Wiley-Blackwell
ISSN:0013-0133
Publisher DOI:10.1111/1468-0297.00625

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