Habit Formation and the Present-Value Model of the Current Account: Yet Another Suspect
Habit Formation and the Present-Value Model of the Current Account: Yet Another Suspect
复制标题
习惯的形成和经常账户的现值模型：另一个嫌疑点
DOI：
10.2139/ssrn.1004236
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发表时间：
2007
影响因子：
1.2
通讯作者：
T. Kano
中科院分区：
文献类型：
--
作者：
T. Kano
在最近的一篇论文中，Gruber（Gruber，J.W.，2004.习惯和经常账户的现值检验。Journal of Monetary Economics 51，1495-1507）声称，消费习惯的形成在某些发达国家的经常账户波动中起着重要作用，扩展了具有消费习惯的经常账户现值模型（PVM）。然而，在本文中，我表明，习惯形成PVM是观察等价的PVM与持久的瞬态消费，这是由世界真实的利率冲击引起的增强。基于一个具有消费习惯的小型开放经济体真实的商业周期（SOE-RBC）模型，在世界真实的利率冲击持续存在的情况下，利用贝叶斯方法解决习惯形成型PVM的内在识别问题，探讨习惯形成对加拿大和英国这两个典型小型开放经济体经常账户波动的影响。结果显示，没有明确的证据表明习惯形成在经常账户波动中起着至关重要的作用。
In a recent paper, Gruber (Gruber, J.W., 2004. A present value test of habits and the current account. Journal of Monetary Economics 51, 1495-1507) claims that habit formation in consumption plays an important role in current account fluctuations in selected developed countries, extending the present-value model of the current account (PVM) with consumption habits. In this paper, however, I show that the habit-forming PVM is observationally equivalent to the PVM augmented with persistent transitory consumption, which is induced by world real interest rate shocks. Based on a small open-economy real business cycle (SOE-RBC) model endowed with consumption habits as well as persistent world real interest rate shocks, this paper resolves the inherent identification problem of the habit-forming PVM by Bayesian methods to seek effects of habit formation on current account fluctuations in typical small open economies, Canada and the United Kingdom. Results reveal no clear evidence that habit formation plays a crucial role in current account fluctuations.