Structural Change in Current Account and Real Exchange Rate Dynamics: Evidence from the G7 Countries
Structural Change in Current Account and Real Exchange Rate Dynamics: Evidence from the G7 Countries
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经常账户的结构性变化和实际汇率动态：来自七国集团国家的证据
DOI：
10.1111/1468-0106.12001
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发表时间：
2012
影响因子：
1.5
通讯作者：
Masahiko Shibamoto, Shigeto Kitano
中科院分区：
文献类型：
--
作者：
Winchester;Niven;Marie-Luise Rau;Christian Goetz;Bruno Larue;Tsunehiro Otsuki;et al.;中川功一;齊藤誠;Toshio Honda;Masahiko Shibamoto, Shigeto Kitano
以往的研究将经常账户和实际汇率分解为暂时性冲击和永久性冲击，并认为暂时性冲击会造成经常账户盈余（赤字）和实际汇率贬值（升值）的组合。本文通过研究经常账户和实际汇率动态中可能出现的结构性突破来扩展他们的框架。使用 1980-2007 年 G7 国家数据，我们发现 1990 年代所有 G7 国家双变量动态的结构性变化。自20世纪90年代以来，暂时性冲击并不是经常账户波动的主要来源。我们的实证结果表明，传统机制在解释这两个变量的动态方面发挥的作用有限。
Previous studies decompose the current account and the real exchange rate into temporary and permanent shocks and argue that a temporary shock creates the combination of a current account surplus (deficit) and real exchange rate depreciation (appreciation). The present paper extends their framework by examining a possible structural break in current account and real exchange rate dynamics. Using G7 country data for 1980–2007, we find structural changes in two‐variable dynamics for all G7 countries during the 1990s. Temporary shocks have not been the main source of fluctuation in the current account since the 1990s. Our empirical results imply that the conventional mechanism has played a limited role in explaining the dynamics of the two variables.