آزمون ارزش فعلی در حساب جاری با مصرف بادوام
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|22424||2002||28 صفحه PDF||سفارش دهید||محاسبه نشده|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of International Money and Finance, Volume 21, Issue 3, June 2002, Pages 385–412
The present value tests of the intertemporal model of the current account usually assume that all goods are traded and that aggregate consumption decisions can be closely approximated by a random walk process. This paper extends these models by explicitly introducing durables and nontraded goods into an intertemporal model of the current account, and tests the model using Canadian data. Since aggregate consumption expenditures on durables do not exhibit random walk behavior even when the aggregate consumer has a quadratic utility function, the model that includes durables makes predictions that differ from those of the basic approach. When nontraded goods are also incorporated into the model, the most appropriate income variable becomes output net of nontraded production. These implications are examined using present value tests. The results suggest that, in the annual data, introduction of both durables and nontraded goods improves upon the model with (traded) nondurables only. This seems to be due to the combination of durables and nontraded goods, as durables alone do not sufficiently refine the basic model.
From an intertemporal viewpoint, the current account is simply a manifestation of the saving–consumption decisions at a national scale. It is therefore possible to think of a number of analogies between the current account behavior of individual countries and the consumption–saving behavior of individuals. For instance, according to a version of the permanent income hypothesis, saving is merely a response to the expected changes in the labor income earnings: an individual who anticipates a declining labor income adjusts current and future consumption by increasing current savings (Campbell, 1987). This understanding of saving for the “rainy day” is also instructive once the current account is interpreted as the saving of a country vis-à-vis the rest of the world. By analogy, therefore, movements in the current account should reflect the expected changes in domestic income, net of investment and government spending. This view of the current account also makes the prediction that there would be no change in current income when shocks to net output are expected to be permanent. In contrast, when shocks are temporary, the current account would respond by the amount equal to the expected change in net output appropriately discounted; i.e. only transitory disturbances would have an impact on the current account. All these implications of the basic intertemporal approach seem to concur well with the conventional understanding of adjustment to disturbances in open economies, and they have formed the basis of many studies on the current account; see, for example, Sheffrin and Woo (1990), Otto (1992), Ghosh (1995), and Agénor et al. (1999). However, the empirical success of this intertemporal approach has been somewhat mixed. While there are a number of industrialized countries for which the intertemporal model appears to be doing a “reasonable” job at fitting the data, for many countries the results are discouraging. Fig. 1 compares the actual Canadian current account series with those obtained from a model inspired by Campbell (1987), developed in a different context. From this standpoint, the basic intertemporal model of the Canadian current account either fails to closely track the actual series (annual data) or is biased (upward or downward in quarterly data depending on the real interest rate)—a conclusion also reached by Sheffrin and Woo (1990), Otto (1992), and Ghosh (1995) (see also Johnson, 1986).1 Since most economists would view Canada as a quintessential small open economy, and since the current account tests of this variety are best suited for those small open economies which are relatively free of capital controls and have access to international capital markets, such evidence may call into question the relevance of an intertemporal approach to the current account. However, one important aspect of the present value tests of this intertemporal current account model is their reliance on a rather special description of optimal consumption decisions. More specifically, existing present value tests of the current account adopt the view that the instantaneous utility function can be closely approximated by a quadratic function over traded nondurables, so that aggregate consumption follows a random walk process. For this reason, these tests are interpreted as joint tests of the degree of approximation for aggregate consumption behavior and the rational expectations hypothesis. Such an approximation may, however, be questionable, given that durables and semidurables make up about 20 percent of total consumption expenditures in industrial countries. In addition, expenditures on durables do not exhibit a random walk type behavior even when the aggregate consumer has a quadratic instantaneous utility function ( Mankiw, 1982). This aspect of aggregate consumption is generally overlooked in empirical studies on the current account. 2 As a result, failure to find a “close” match between actual data and data implied by the basic model does not constitute an outright rejection of the intertemporal approach to the current account, and the extent to which deviations from the baseline permanent income hypothesis influence the empirical performance of the intertemporal model remains an open issue. Furthermore, aggregate consumption consists of nontraded as well as traded goods. Since, by definition, total expenditure on nontraded goods equals their domestic production, the current account's response to permanent changes in income would primarily reflect the adjustment in the traded goods sector. In particular, the present value tests are based on the idea that the current account conveys information about the expected changes in domestic disposable income, and thereby reflects adjustments in aggregate foreign saving. When all output is tradable, it is appropriate to view total output minus investment and government expenditures as the relevant measure of domestic income. However, when some goods are nontraded, their consumption and production are always identical, and thus, in the absence of strong substitution effects and complete asset markets, domestic income from nontraded production cannot be readily transformed into foreign saving. As a result, the use of domestic nontraded income for cross-country consumption smoothing purposes may be considerably limited. This suggests that a more pertinent measure of income in an open economy model can be constructed by making an allowance for nontraded goods in net output, and modeling the effect of traded goods consumption on the current account. Of course, whether or not durables and nontraded goods matter for the current account tests is ultimately an empirical question.3 This paper therefore examines the impact of these two extensions on the present value tests of the current account using Canadian data from 1926 to 1997. 2, 2.3 and 2.4 provides a tractable (linear) framework which allows the incorporation of durables and nontraded goods into the baseline intertemporal open economy model. Section 3 contains the main empirical findings of the paper. It first shows that the data exhibit certain stationarity properties which are required for the econometric estimation of the model. The formal present value tests of the intertemporal model are also extended and presented in this section. The results suggest that augmenting the intertemporal model by incorporating durables or nontraded goods alone may not be enough to improve upon the baseline version. However, extending the model by both durables and nontraded goods appears to improve its empirical performance in Canadian data. Therefore, a combination of durables and nontraded goods consumption may account for the mixed results obtained using the baseline model. Finally, this section also discusses the robustness of the results to alternative durables measures, the stability of the results in subsamples, and considers their validity when an allowance is made for a precautionary saving motive. Section 4 concludes the paper.
نتیجه گیری انگلیسی
This paper has incorporated durables and nontraded goods consumption into a simple model of the current account, and examined whether these novel properties help to improve the empirical performance of the model. Our starting point was based on the empirical finding, among others, that the Canadian current account fails the econometric tests of the simple baseline model. The paper has asked whether this failure can partly be attributed to the omission of durables and nontraded from the analysis. In the annual data with a relatively high interest rate, the answer to this question appears to be affirmative. The quarterly data, however, reject the basic restrictions implied by both the baseline and the extended models. The results also suggest that the introduction of both durables and nontraded goods into the intertemporal model leads to a significant improvement over the baseline model with (traded) nondurables only—as judged by the models' ability to match certain properties of the annual data. Also, this improvement appears to arise from a combination of durables and nontraded goods, as durables or nontraded goods alone do not sufficiently refine the baseline model. Of course, it is possible to interpret the findings of the quarterly data as a vindication of the failure of the intertemporal model, despite taking account of the durables and nontraded goods. One potential weakness of the basic framework presented in Section 2 is that it ignores the desire to insure against low consumption streams, known as the precautionary motive. Households in this model behave according to the certainty equivalence principle whereby consumption smoothing constitutes their only saving motive. It is, however, possible to extend the current framework, in the spirit of Ghosh and Ostry (1997), to incorporate the precautionary motive, and account for the precautionary component of the current account. In order to assess the potential significance of this saving motive for the current account, I followed the methodology developed by Ghosh and Ostry (1997, pp. 129–130), and estimated the current account surplus that could be attributed to the precautionary motive. However, consistent with their estimates for Canada, I found no evidence for significant precautionary motive in the data.23 In testing the implications of a range of optimizing models of the current account, this paper used several present value tests in the spirit of Campbell (1987). One aspect of these tests is that they do not require the specification of a particular data generating process for net output. Given that the net output process is compatible with a variety of general equilibrium models, there is no need to be more specific about the production, investment and government expenditure processes, and it suffices to model consumption alone. As such, this framework may not be appropriate in other contexts. For instance, in order to study the current account response to different productivity shocks in the G-7, Glick and Rogoff (1995) and İşcan (2000) explicitly model both the demand and supply sides of the economy. Johnson, 1986 and Johnson, 1994 uses a similar model with a more elaborate government sector to assess the Ricardian equivalence for Canada. Put differently, the present value tests only focus on the broad implications of the intertemporal model. As a result, these tests do not provide any guidance concerning the potential weaknesses of the framework, such as nonseparabilities in utility between traded nondurables and other components of consumption, as well as leisure (Lewis, 1996) or time-varying real interest rate. However, the analysis of the Canadian current account has suggested that controlling for different aspects of consumption demand may improve the performance of any intertemporal model of the current account.