Persistence of income shocks and the intertemporal model of the current account.

摘要

The standard intertemporal model of the current account posits that the expected persistency of income innovations play a key role in current account dynamics. The intertemporal approach embodies the idea that the current account reflects consumption smoothing behavior of countries as they borrow (lend) from (to) the rest of the world in response to negative (positive) income shocks that they perceive to be transitory. Permanent income shocks, on the other hand, lead to a comparable adjustment in consumption which implies a negligible movement in the current account. This notion that the current account depends on intertemporal optimizing behavior constitutes one of the building blocks of international macroeconomic models. This thesis contributes to the empirical literature investigating the role of the persistence of income shocks for current account dynamics. The first chapter uses a unique approach based on the term structure of commodity futures to identify persistent versus transitory price shocks for crude oil, coffee, cocoa, cotton and copper. The second chapter formulates a test of the intertemporal approach by analyzing how the import consumption of petroleum exporters responds to permanent and transitory oil price shocks during 1983--2006. As the intertemporal approach to the current account predicts, the econometric analysis suggests that petroleum exporters consume significantly more out of permanent shocks than out of transitory shocks. Whether this constitutes a full vindication of the theory is debatable but this framework constitutes a valuable approach to identify exogenous income shocks and distinguish between those that are permanent versus transitory using a transparent, market-based method. The third chapter concentrates on the role of 'sudden stop' episodes in understanding the relationship between income, consumption and the current account in emerging market economies. It deviates from the previous chapters in highlighting the role of imperfect capital markets and the suddenly binding borrowing constraints as the key sources of current account fluctuations in emerging market economies.