Common and Country-specific Fluctuations in Productivity, Investment, and the Current Account

Arbeitspapier

Dynamic factor analysis and Kalman filtering are used to construct a measure of common economic activity for the G7 countries. Common movements are important in productivity, but account for a substantially smaller share of movements in investment, and virtually none of the variation in the current accounts. For all seven countries, country-specific investment fluctuations have a significant negative impact on the current account, while country-specific productivity movements have little effect. A multi-country dynamic general equilibrium model is analyzed which is consistent with our qualitative findings. The model overstates, however, the quantitative importance of investment fluctuations for movements in the current account.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Queen's Economics Department Working Paper ; No. 931

Classification and Topics

• Classification: Wirtschaft ; Open Economy Macroeconomics ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Subject: kalman filter ; current account ; Solow residual ; investment

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Gregory, Allan W. ; Head, Allen C.
• Event: Veröffentlichung
• (who): Queen's University, Department of Economics
• (where): Kingston (Ontario)
• (when): 1996

Further information

• Handle: http://hdl.handle.net/10419/189250
• Last update: 10.03.2025, 11:41 AM CET