期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2009
卷号：1
出版社：European Central Bank
摘要：The paper analyses the e¤ect of equity price shocks on current account po- sitions for the G7 industrialized countries in 1974-2007. It uses a Bayesian VAR with sign restrictions for the identi cation of asset price shocks and to test empirically for their e¤ect on current accounts. Such shocks are found to exert a sizeable e¤ect, with a 10 percent equity price increase for instance in the United States relative to the rest of the world worsening the US trade bal- ance by 0.9 percentage points after 16 quarters. However, the response of the trade balance to equity price shocks varies substantially across countries. The evidence suggests that the channels accounting for this heterogeneity function both through wealth e¤ects on private consumption and to some extent through the real exchange rate of countries.
