Common and country-specific fluctuations in productivity, investment, and the current account

被引:66
作者
Gregory, AW [1 ]
Head, AC [1 ]
机构
[1] Queens Univ, Dept Econ, Kingston, ON K7L 3N6, Canada
关键词
current account; Kalman filter; investment; solow residual;
D O I
10.1016/S0304-3932(99)00035-5
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Dynamic factor analysis and Kalman filtering are used to construct a measure of common economic activity for the G7 countries. We find that the common fluctuations are strongly associated with movements in US investment. Common fluctuations have substantial impact on fluctuations in both productivity and investment in these countries, but very little impact on the current account. Country-specific investment fluctuations have a significant negative impact on the current account, while country-specific productivity movements have little independent effect. These findings are shown to be generally consistent with the predictions of a multi-country dynamic model calibrated to the empirical decomposition of productivity shocks. (C) 1999 Elsevier Science B.V. All rights reserved.
引用
收藏
页码:423 / 451
页数:29
相关论文
共 28 条
[1]  
Backus DavidK., 1995, FRONTIERS BUSINESS C, P331
[2]  
BACKUS DK, 1992, AM ECON REV, V82, P864
[3]   INTERNATIONAL REAL BUSINESS CYCLES [J].
BACKUS, DK ;
KEHOE, PJ ;
KYDLAND, FE .
JOURNAL OF POLITICAL ECONOMY, 1992, 100 (04) :745-775
[4]  
BAXTER M, 1993, AM ECON REV, V83, P416
[5]  
Baxter Marianne., 1995, Handbook of International Economics, V3, P1801
[6]  
CHRISTIANO LJ, 1992, AM ECON REV, V82, P430
[7]   A CROSS-COUNTRY, CROSS-INDUSTRY COMPARISON OF PRODUCTIVITY GROWTH [J].
COSTELLO, DM .
JOURNAL OF POLITICAL ECONOMY, 1993, 101 (02) :207-222
[8]   Aggregate fluctuations with increasing returns to specialization and scale [J].
Devereux, MB ;
Head, AC ;
Lapham, BJ .
JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 1996, 20 (04) :627-656
[9]   International business cycles and the dynamics of the current account [J].
Elliott, G ;
Fatas, A .
EUROPEAN ECONOMIC REVIEW, 1996, 40 (02) :361-387
[10]  
ENGLE RF, 1993, J BUS ECON STAT, V11, P369, DOI 10.2307/1391623