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：2007
卷号：1
出版社：European Central Bank
摘要：This paper analyses the role of asset prices in comparison to other factors, in particular exchange rates, as a driver of the US trade balance. It employs a Bayesian structural VAR model that requires imposing only a minimum of economically meaningful sign restrictions. We nd that equity market shocks and housing price shocks have been major determinants of the US current account in the past, accounting for up to 32% of the movements of the US trade balance at a horizon of 20 quarters. By contrast, shocks to the real exchange rate have been much less relevant, explaining less than 7% and exerting a more temporary e¤ect on the US trade balance. Our ndings suggest that sizeable exchange rate movements may not necessarily be a key element of an adjustment of todays large current account imbalances, and that in particular relative global asset price changes could be a more potent source of adjustment.
关键词：current account; global imbalances; exchange rates; Bayesian VAR; sign restric-;tions.
