In this thesis cointegrated vectorautoregressions are used to explore the empirics of the intertemporal approach to the current account recently popularized by Sachs (1981), Obstfeld (1986), Obstfeld and Rogo? (1995a,b), Razin (1995), and Obstfeld and Rogo? (1996). The theoretical framework will be given throughout by quadratic models that allow for simple closed-form solutions. These models are not of particular theoretical interest but rather serve to motivate an important reduced-form implication that should also survive in more complicated model settings: the current account should be an order of magnitude less persistent than its driving forces, savings and investment. This prediction can be formalized as a cointegrating restriction in VAR-approximations of the data dynamics.
Description:
Defence date: 6 September 1999
Examining Board: Prof. Michael Artis, EUI, Supervisor ; Prof. Søren Johansen, EUI, Supervisor ; Prof. Mark Taylor, University of Warwick ; Prof. Axel Weber, University of Frankfurt
