تحرک سرمایه بین المللی: یک آزمون جایگزین بر اساس مدل های حساب جاری موقتی
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|27795||2010||16 صفحه PDF||سفارش دهید||12110 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : International Review of Economics & Finance, Volume 19, Issue 3, June 2010, Pages 467–482
This paper examines international capital mobility by estimating intertemporal current account models for nine major industrialized countries. To account for the large fluctuations of oil prices (the terms-of-trade) and their effects on the current account, an intertemporal current account model incorporating such effects is devised. The model estimation reveals significant terms-of-trade effects on the current account and, moreover, does not exhibit any “excess capital mobility” found in the previous literature. These results indicate that to achieve a more accurate measure of international capital mobility, a proper account of the terms-of-trade effect is essential.
During the past two decades or so, the issue of whether there exists adequate capital mobility between world economies has drawn a great deal of attention in the literature. Two strands of empirical literature have emerged so far. The first strand of literature, as represented by the seminar work of Feldstein and Horioka (1980), used saving-investment correlation to measure the degree of international capital mobility. These studies include Obstfeld, 1986, Obstfeld, 1989, Dooley et al., 1987, Bayoumi, 1990, Feldstein and Bacchetta, 1991, Tesar, 1991, Kollias et al., 2008 and Georgopoulos and Hejazi, 2009, among many others. The empirical approach was based on the argument that the degree of international capital mobility is negatively related to the correlation between domestic saving and domestic investment. According to the argument, when capital is perfectly mobile across economies, investment change should be independent of saving change and, as a result, their correlation should be low. On the other hand, when capital is immobile across economies, investment change has to be accommodated by an equal sized saving change. As a result, investment and saving are perfectly correlated. Many empirical works in this strand of literature have found high and positive saving-investment correlations in many advanced economies, e.g., Feldstein & Horioka (1980) and Feldstein & Bacchetta (1991), and accordingly conclude that the degree of international capital mobility has been generally low. The other strand of literature, as exemplified by the works of Ghosh, 1995 and Shibata and Shintani, 1998, employed intertemporal current account models as a benchmark to investigate the degree of international capital mobility. The literature argues that economic theories do not necessarily imply any close relation between saving-investment correlation and international capital mobility. For example, Obstfeld, 1986 and Razin, 1995 have shown that under a typical intertemporal current account model a variety of shocks tend to induce a significant saving-investment correlation even under perfect capital mobility. In view of the shortcoming of saving-investment tests, it has been suggested that tests based on economic theories, especially those utilizing intertemporal optimizing framework, would produce more informative results as to the degree of international capital mobility. The empirical works in this strand of literature have generally found a higher degree of international capital mobility than those obtained in saving-investment tests. One particular finding in earlier research is that the actual current account is often far more volatile than the predicted current account, e.g., Ghosh, 1995, Otto, 1992 and Sheffrin and Woo, 1990. The finding has been interpreted as evidence of “too much” capital mobility, e.g., Ghosh (1995). In this paper, we follow Ghosh, 1995 and Shibata and Shintani, 1998 by employing intertemporal current account model to study the issue of international capital mobility. However, the paper differs from earlier research in one important aspect. To measure international capital mobility, we employ an intertemporal current account model specifically taking into account the effect of the terms-of-trade on the current account.1 With large fluctuations in world oil prices (hence the terms-of-trade) for many economies since the 1970s, the effect of the terms-of-trade on the current account has been becoming more important. As a result, the use of simple intertemporal current account models that neglect the terms-of-trade effect may produce misleading results regarding international capital mobility. Specifically, since a simple model cannot capture the terms-of-trade induced current account fluctuations, the model would erroneously attribute such fluctuations to other factors of current account determination — the mobility of international capital in particular. In this paper, we argue that earlier finding of “excessive mobility” of international capital in the literature might be largely due to the failure of the models to capture the terms-of-trade effects on current account fluctuations. The research strategy of this paper is as the following. To evaluate the international capital mobility, we construct a benchmark intertemporal current account model with special emphasis on the effects of the terms-of-trade on the current account. The benchmark model applies a permanent income consumption-smoothing framework to the current account setup. According to the model, the current account acts as a buffer to smooth domestic consumption in the face of shocks to aggregate output, investment, government consumption and the terms-of-trade. Based on this model, we can obtain a measure of international capital mobility by adding a liquidity constraint to the benchmark model. In one extreme case where the international capital is not mobile, the liquidity constraint prevails and the current account does not act as a buffer to smooth domestic consumption. In the other extreme where the international capital is perfectly mobile, the liquidity constraint is not binding and the current account behaves according to the prediction of the benchmark model. In an intermediate case where international capital is partially mobile, a measure of international capital mobility can be obtained through the partial correlation between the changes in the current account and the net output (i.e., aggregate output net of investment and government consumption), after controlling for the effect of the terms-of-trade and the real world interest rate. Through the estimation of such model, a measure of the degree of international capital mobility can be obtained. We use the model to obtain estimates of the degree of international capital mobility for nine developed economies: Australia, Canada, France, Germany, Italy, Japan, the Netherlands, the U.K., and the U.S. Our results generally point toward a lower degree of international capital mobility than those found in the previous studies. In particular, our results do not indicate any “excess mobility” of international capital as those found in the previous literature. The rest of the paper is organized as follows. In Section 2, we derive a general intertemporal current account model which incorporates the effects of changes in the net output, the terms-of-trade, the real interest rate and the international capital mobility on the current account. Estimation results and related discussion are presented in Section 3. In Section 4 we evaluate the performance of the simple intertemporal current account models versus that of the model incorporating the terms-of-trade effect by generating “theoretical” current account series using the method of Campbell (1987). Concluding remarks are made in Section 5.
نتیجه گیری انگلیسی
This paper examines international capital mobility among nine major industrialized countries. In contrast to Feldstein and Horioka's approach of using saving- investment correlation to measure international capital mobility (or rather, immobility), this paper uses the estimation of an intertemporal current account model to derive a measure of international capital mobility. To account for the large fluctuations of oil prices (the terms-of-trade) and their effects on the current account for the post-1970 period, we employ an intertemporal current account model that specifically takes into account the effect of terms-of-trade changes on the current account. Our estimation results generally points toward, for most countries studied, a lower degree of international capital mobility than those found in Ghosh, 1995 and Shibata and Shintani, 1998. In particular, our results do not indicate any “excess mobility” of capital as those found in Ghosh (1995). Moreover, we find that while the “theoretical” current account series generated from our model generally tracks the actual current account series very well, the “theoretical” current account series generated from the simple model does not. In particular, the “theoretical” current account generated from the simple model is usually much less volatile than its actual counterpart, implying the “excess mobility” in capital as those found in Ghosh (1995). These findings, when coupled with the fact that the terms-of-trade changes generally have significant explanatory power over the movements of the current account, indicate that in order to achieve more accurate measures of international capital mobility, a proper account of the terms-of-trade effect on the current account is essential. To get an even more precise measure of international capital mobility, one should seek to control for all factors deemed important in the current account determination. These factors may include the real exchange rate of traded and non-traded goods (Bergin & Sheffrin, 2000) and durable and nondurable consumptions (Iscan, 2002), to name a few. To construct a general current account model incorporating these effects is challenging but will definitely shed more light on the issue.