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dc.contributor.authorMercereau, Benoîten
dc.contributor.authorMiniane, Jacques Alainen
dc.date.accessioned2009-08-12T07:17:04Z-
dc.date.available2009-08-12T07:17:04Z-
dc.date.issued2008-
dc.identifier.citation|aEconomics: The Open-Access, Open-Assessment E-Journal|c1864-6042|v2|h2008-34|nKiel Institute for the World Economy (IfW)|lKiel|y2008|p1-36en
dc.identifier.pidoi:10.5018/economics-ejournal.ja.2008-34en
dc.identifier.urihttp://hdl.handle.net/10419/27518-
dc.description.abstractThe present value model of the current account has been very popular, as it provides an optimal benchmark to which actual current account series have often been compared. We show why persistence in observed current account data makes the estimated optimal series very sensitive to small-sample estimation error, making it almost impossible to determine whether the consumption-smoothing current account tracks the actual current account closely, or not closely at all. Moreover, the standard Wald test of the model will falsely accept or reject the model with substantial probability. Monte Carlo simulations and estimations using annual and quarterly data from five OECD countries strongly support our predictions. In particular, we conclude that two important consensus results in the literature - that the optimal series is highly correlated with the actual series, but substantially less volatile - are not statistically robust.en
dc.language.isoengen
dc.publisher|aKiel Institute for the World Economy (IfW) |cKielen
dc.subject.jelC11en
dc.subject.jelC52en
dc.subject.jelF32en
dc.subject.jelF41en
dc.subject.ddc330en
dc.subject.keywordCurrrent accounten
dc.subject.keywordpresent value modelen
dc.subject.keywordmodel evaluationen
dc.subject.stwLeistungsbilanzen
dc.subject.stwZeitreihenanalyseen
dc.subject.stwZeitpräferenzen
dc.subject.stwDynamische Investitionsrechnungen
dc.subject.stwTheorieen
dc.subject.stwOECD-Staatenen
dc.titleShould We Trust the Empirical Evidence from Present Value Models of the Current Account?-
dc.typeArticleen
dc.identifier.ppn584608845en
dc.rights.licensehttp://creativecommons.org/licenses/by-nc/2.0/de/deed.enen
dc.identifier.repecRePEc:zbw:ifweej:7401en
econstor.citation.journaltitleEconomics: The Open-Access, Open-Assessment E-Journalen
econstor.citation.issn1864-6042en
econstor.citation.volume2en
econstor.citation.issue2008-34en
econstor.citation.publisherKiel Institute for the World Economy (IfW)en
econstor.citation.publisherplaceKielen
econstor.citation.year2008en
econstor.citation.startpage1en
econstor.citation.endpage36en

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