What Drives US Current Account Fluctuations?
What Drives US Current Account Fluctuations?
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DOI：
10.2139/ssrn.1291167
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发表时间：
2008-11
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影响因子：
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通讯作者：
A. Barnett;Roland Straub
中科院分区：
文献类型：
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作者：
A. Barnett;Roland Straub
我们使用带有符号限制的结构性VAR来共同识别货币政策、私人吸收、技术和油价冲击对美国经常账户波动的影响。我们从带油的DSGE模型的理论脉冲响应函数中推导出符号限制，确保它们与广泛的参数值范围一致。我们发现，紧缩性油价冲击对经常账户的负面影响持续约3年。我们还发现，货币政策冲击和私人吸收冲击是美国历史上经常账户恶化的主要驱动因素。此外，在一年的预测范围内，货币政策冲击可以解释大约60%的原因，尽管在7年的预测范围内，这一比例降至40%左右，而油价对美国经常账户预测误差方差的解释不到10%。JEL分类：E0， F32, F4
We use a structural VAR with sign restrictions to jointly identify the impact of monetary policy, private absorption, technology and oil price shocks on current account fluctuations in the U.S.. We derive the sign restrictions from theoretical impulse response functions of a DSGE model with oil, ensuring that these are consistent with a broad range of parameter values. We find that a contractionary oil price shock has a negative effect on the current account which lasts for approximately 3 years. We also find that monetary policy shocks and private absorption shocks are the main drivers of historical current account deteriorations in the U.S. Furthermore, monetary policy shocks can explain approximately 60 percent at a one year forecast horizon, although this reduces to around 40 per cent at a 7 year horizon, whilst the oil price explains just under 10 percent of the forecast error variance of the U.S. current account. JEL Classification: E0, F32, F4