Current account and capital mobility hypothesis: Evidence from the G-7

(1)

!

"

#

$ %

& '(

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**

+

,

-. ,

(2)

!

"

#

$ %

& '(

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**

2

3 ,

-

4+

5

6

7 '

4

6

7 8 * .

8

4

6

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4 9: 7

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(3)

' ! * *

" # 5 ! " " ;

' ! " 5 5 <

: = 4>?@#7 ; - 5

4A +8: & 7 A B 4:9. 75

" C ; '

; ' ! &

B " # 5

(4)

$ 5 ;

: 5 D 5 & 5

5 E ;

F 5 5 ! ;

5 G + G! 5 ;

F . 5 H 8 , 5 3( ! 3 ;

2 2 5 + G! ; 2 8 5 &

B ;

" , - 5 & B 5

I ;

3 5 "; . 5 ";

' "; 8 * . 8 5 ! ( J ;

5 * ! !I ;

" G 2 & : 5 ! %

;

" 5 3 I I ;

5 2 2 5 ( "

;

(5)

/;> ' ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; /

/;/ ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; K

/;K ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; #

/;1 ) ' ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ?

1;> $ ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; >L

1;/ 9 . ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; >L

1;K ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; >#

1;1 +8: ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; >@

1;1;> 9 . ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; >@

1;1;/ ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; >?

1;1;K + ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; >?

1;1;1 ) ' ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; //

1;L :9. ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; //

1;M : " . ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; /M

(6)

- " A ! " C 5 5

" 4 7; '

! ! ; '

E 5 < C 4>?@075 !

! 5 A ! N " ; '

" ! " 4 ! 5

! - 5 9- .- 75 " &

5 " A C; 5 "

5 C 3 ! ;

5 ! ! * 5 :

4>?@/7 + " < . O 4>??175

-4 - 7; - 3 5 = O = 5 A

4= ! " =7; ' E 5

5 A ! 3 " " 4 C A P A75

E 3 ! ! = 3 ;

' E " = *

5 " " C ; '

" ! A ! A ;

5 " ! " A E " !

5 ; '

5 * 5 A < :

4>?@#7 " .5 A "

;

< : = ! 3 ! 5 " A

: O ) 4>??07 " 5 2 5

$ C 9 D 5 B " 2 5 "

; + 4>??/7 B " 9: 5

4>??L7 B " 9: 4 3 " 75 5 , 5 9 D 5

; + 5 + 4>??L7 " !

B /6K " 5 A " " ;

(7)

: ! ! 3 " " A C5 B "

B " ! A C < + 4>??#7 ! 5

4/0007 " 5 Q-R 4/00/7 A " 5 D 4/00K7

A 4 8 . ! A7;

9 C 5 B ! " !

5 ! N " ; ' :9.

! N 5 A +8: 5 B "

! +8: " A C5 A ;

5 " A " * " # ! "

" " . 4 A +8: :9. & 75>

! 5 "

" ) " . ! " ! " ;

' " A ; : / ! ! ! A "

& ; : K " ! A; : 1

5 5 : L ;

!

' 4 7 * * "

! : 4>?@/75 " ;

- 3 5 ! P A " 5 3

" " ; ' 5 "

C 5 3

CAt=Bt+1−Bt=Yt+rBt−It−Gt−Ct 4>7

A Bt " 5Yt 4 $ 75r A 5It

! 5Gt ! = 3 Ct ;

' 5 " 5 ! A

5 O A A "

> _A _- _{' 3} _4/00K7;

(8)

" 5 5 3 " ; '

O 5 " 5

; ' 5 4 A 7

!

CA∗

t=Yt+rBt−It−Gt−θCt 4/7

A θ ! ;/ _' _Z

t5

C A P A5 E

Zt≡Yt−It−Gt 4K7

: 3 & 4/75 A !

A " ! 4

+ 5 >??L7

CA∗t =−

∞

j=1

( 1 1 +r)

j_E

t(∆Zt+j |Rt) 417

A Rt = " ; - "

" 5 * " 5 C ; & "

" " 5 A ! O 4 < + 5 >??#7;

& 4175 & ! " 3

; 5 ! A 5

" 5 " " 3 5 ! ! ;

' ! < : 4>?@#75 A

" ! - ; 5 !

N A ; - 5 < : ! A

! " 5 A ! ! ! ;

' " . 4 .75 "

& 417; ' ! " 5

! = " 5 " A C A * !

" ! " .;

/_' ₄_θ₇ _& _A _! _" _" _O _" _A _;

(9)

A ! 5 5 . ; 5 E

! " A ∆Zt ! 4 A 5 " * -407

! 7; ' 4 ! 7 ! 5 A

" ! 4! & 4177; ' " ! A C

; < :

4 7 A .; ' 5 " A .

∆Zi t

CAi t

= a

i₍_L₎ _bi₍_L₎

ci₍_L₎ _di₍_L₎ ×

∆Zi t−1

CAi t−1

+ i∗ 1 i∗ 2 + ε i 1t εi 2t 4L7

A 3i * ai₍_L₎₅_bi₍_L₎₅ _ci₍_L₎ _di₍_L₎

" p; - 5 " 5CAtA θ5

! 5 " A 4 3 " " 7

CAt=Yt+rBt−It−Gt−θCt 4M7

5 " . "θ5 A

A Ct (Yt+rBt−It−Gt); ' .4 7 .4>75

" A A

                 

∆Zi t

;;; ;;;

∆Zi t−p+1

CAi t

;;; ;;;

CAi t−p+1

                  =                  ai

1 aip bi1 bip

1

;;; 0

1 ci

1 cip di1 dip

1 0 ;;; 1                                   

∆Zi t−1 ;;; ;;;

∆Zi t−p

CAi t−1 ;;; ;;;

CAi t−p

                  +                  i∗ 1 0 ;;; 0 i∗ 2 0 ;;; 0                  +                  εi 1t 0 ;;; 0 εi 2t 0 ;;; 0                  4#7 5 "

Xt=AXt−1+ ∗+εt 4@7

A Xt ≡ ∆Z_ti ∆Z_ti₋_p₊₁ CAi_t CAi_t₋_p₊₁

′

5 A 35 ∗

! " 5 εt ! ; ' .4>7

5 & 4@7 A ! ! "

(Xt− ) =A(Xt−1− ) +εt 4?7

(10)

A ∗ _{= (}_I₋_A₎ _{; '} _" _" _j _!

E[(Xt+j− |Ht) =Aj(Xt− ) 4>07

A Ht = " 4 " ! "CA ∆Z)5

= " Rt; $ E h′ ! A 2p 5 3 E

h′ ₌ _{1 0} _{. . .} ₀ _{; '} ₅ _∆_Z

t ! Xt5 " A A

∆Zt=h′Xt∴∆Zt+j =h′Xt+j ∴(∆Zt+j − ∆Z) =h′(Xt+j− ) 4>>7

A ! _∆_Z _CA∗; ' 5 3

! 3 5 " A

E[(∆Zt+j− ∆Z)|Ht] =E[h′(Xt+j− )|Ht] =h′E[(Xt+j − )|Ht] =h′Aj(Xt− ) 4>/7

A & " & 4>07;

-CA∗

t5 C 3 " & 417

E(CA∗t |Ht) =CA∗t =−

∞

j=1

( 1 1 +r)

j_E_(∆_Z

t+j |Ht) 4>K7

' E & " " CA∗

t Ht5 ! A

" 3 4Ht⊆Rt); 3 ! 3

E(CA∗t) =−

∞

j=1

( 1 1 +r)

j_E_(∆_Z

t+j)∴ CA∗ =− ∞

j=1

( 1 1 +r)

j

∆Z 4>17

& 4>K7 A & 4>175 " A

(CA∗t − CA∗) =− ∞

j=1

( 1 1 +r)

j_E_(∆_Z

t+j− ∆Z |Ht) 4>L7

3 4>/7 & !

(CA∗t − CA∗) =− ∞

j=1

( 1 1 +r)

j_h′_Aj₍_X

t− ) =−h′( A

1 +r)(I− A 1 +r)

−1₍_X

t− ) 4>M7

A & ! " E 5 ! ∆Zt CAt

; . A ! & E "

(CA∗t − CA∗) =K(Xt− ) 4>#7

K =−h′( A 1 +r)(I−

A 1 +r)

−1 _4>@7

(11)

A ! K ! " A r 3 A; ' "

5 * (CA∗

t − CA∗) = (CAt− CA); $ E L′ ! A 2p

5 3 (p+ 1)th 5 ! ; ' 5 5

" A

(CA∗

t− CA∗) = (CAt− CA) =L′(Xt− ) 4>?7

& 4>#7 4>?75 " "

N " .

L′(Xt− ) =−h′( A

1 +r)(I− A 1 +r)

−1₍_X

t− )∴L′(I− A

1 +r) =−h ′₍ A

1 +r) 4/07

" 3A & 4/075 " A K _!

ai =ci Si= 1...p

bi =di Si= 2...p

b1 =d1−(1 +r)

4/>7

"

5 A 5CAt " ∆Zt; ' "

E " b(L) N ; ' " 5 " * 51

+ 4>??/75 *

>; " "CAt ∆Zt5 S

/; C "CAt ∆ZtS

K; * A Ct (Yt+rBt−It−Gt)5 θS

1; ! 5 " ) 5 & " !

5 ! 4/>7;

- ! " " ;

' " 5 " " " ! E ;

K_' _! _E ₎ _;

1 ₃ _" _A _;

(12)

' . 5 & & 5 + 8 :& 4+8:7;

A ! 5 : 9 . & 4:9. 7 ; ' :9.

& * 8 :& 4 8:7 " & A 5

A " ! 3 ; A 8:5 :9.

N +8:5 " N 5

! A O ; - "

" & 5 :9. & +8:

& & ;

' B ! C " & . 4"

i= 1, . . . , N7 " A A

∆Zti

CAi t

= a

i₍_L₎ _bi₍_L₎

ci₍_L₎ _di₍_L₎ ×

∆Zti−1

CAi t−1

+ ε i 1t εi 2t 4//7

' 5 E Yi

t =

∆Zi t

CAit ₍₂_×₁₎

5 Xi

t =            

∆Zti−1 ;;;

∆Zi t−p

CAit−1 ;;;

CAi t−p

           

(2p ×1) 5 εi

t=

εi 1t

εi2t ₍₂_×₁₎

β′

i = ai1 . . . aip bi1 . . . bpi ci1 . . . cip di1 . . . dip

(1×4p)

' 5 " & 3

    Y1 t ;;; YN t    

4/T 3 >7

=         

X1′

t 0 . . . 0

0 X1′

t

;;; ;;; 0 ;;;

0 XN′

t 0

0 . . . 0 XN′

t         

4/T 3 1 7

    β₁ ;;; βN    

41 3 >7

+     ε1 t ;;; εN t    

4/T 3 >7

4/K7

(13)

" Yt=Xtβ+εt;

-N

i=1

pi=P5 A pi "

" .5 " i; ' εt ! * 5 A !

3 ! E(εtε′t) = σ2 ; 5 8: " β ! ! 3

!

β = Xt′ −1Xt

−1

Xt′ −1Yt 4/17

E(β−β)(β−β)′=σ2 Xt′ −1Xt

−1

4/L7

- 5 C A 3 ; A ! β

" ij " 5 !

wij= e

′

iej

T , A i, j= 1, . . . , N 4/M7

A ei (T×1)! " i & +8:; - 5

" :9. "β

β∗= Xt′ −1Xt

−1

Xt′ −1Yt 4/#7

E(β∗−β)(β∗−β)′ =σ2 Xt′ −1Xt

−1

4/@7

' +8: 5 5 !

β = Xt′Xt

−1

Xt′Yt 4/?7

E(β−β)(β−β)′=σ2 Xt′Xt

−1

Xt′ Xt Xt′Xt

−1 _4K07

' O A ! ! ! E 35

3

E(β−β)(β−β)′−E(β−β)(β−β)′ =σ2η η′ 4K>7

A η= (X′

tXt)−1Xt′− Xt′ −1Xt

−1

X′

t −15 N " :9.

+8: ;

(14)

"

#

$

!

' " ! K 4 3 4>#7 4>@775 A

3 A A r; A ! 5 N "

3A E 5 t A C; '

& 5 " A ;

' A (CAt ∆Zt)

" 5 " 5 !

E " b(L) N ;L _{! 5 "} _{! 5}

B ! " 5 & 417 " "

A ; - 5 ! 5

; ' 5

" A ! ; 9 " 5 !

;

' " 5 .4>7 ; ' A

CAt ∆Zt5 5 A E " b1 N ;

∆Zt

CAt

= a1 b1 c1 d1

× ∆Zt−1

CAt−1

+ 1

2

+ ε1t ε2t

4K/7

- 5 . " Xt = AXt−1 + +εt 5 "

5 ! K C "

K=−h′( A

1 +r)(I2− A 1 +r)

−1 ₌ _{α β} _4KK7

A

α= −a1(1 +r−d1)−b1c1

(1 + 2r−d1+r2−rd1−a1−a1r+a1d1−b1c1)

4K17

β= −a1b1−b1(1 +r−a1)

(1 + 2r−d1+r2−rd1−a1−a1r+a1d1−b1c1)

4KL7

-" B 4 ; ;5b1 E 75 & 4KL7

β = 05 A 5 CA∗

t " "CAt; - 5

A !

(CA∗t − CA∗) =K(Xt− ) = α 0

∆Zt− ∆Z

CAt− CA

=α(∆Zt− ∆Z) 4KM7

L _& _4L7;

(15)

5 "β = 0 (CA∗

t − ∗CA) = (CAt− CA) A B 5

β & 4 α * 7;

" " ! K " .4/7 35 A ; '

* " " .4 7 " A 5 *

' A; 4>??175 3 " ! .4 75 " " A

! 5 3 A 4 ; ;5b(L) = 07;

' 5 βi N " ! K 4i= 1, . . . , p7 A * 5 "

" ! 5 3;

! (CAt)

(∆Zt)

b(L) !

" " # M

' " 5 " E 5 )

" 5 "

! E 5 * >;

T able1 )

. " )

CAt ∆Zt

(β=0)

B CA∗

t4U7

CAt ∆Zt B

(β=1)

B CA∗t =CAt 4UU7

B

(β=1)

B CA∗

t =CAt 4UUU7

T 4U7 CA∗t ∆Z5 "CAt

4UU7

4UUU7 "

M _" ₃ _;#;

(16)

- 5 ! " 5 A 3

" 5 P ;

: O < ) 4>??07 " " " 2 5 5 $ C5

9D 4>?LL @L75 A A " ; '

" θ = 1; ' B " "

$ C 4 >V ! 75 " 9D 4 LV ! 7; ' B " 2 5

! E " " ; ' "

5 ! E 5 ! b(L)

N E ;

+ 4>??/7 " 9: 4>?L0 @@75 B

4 /V ! 7; ' E ! " "CAt ∆Zt; ' B

4CAt ∆Zt7 " 9: 5 B " ;

C < . O 4>??L7 O ! C #

4>?M> ?07; "∆CAt ∆It E N 4 " 0;>M

0;LL75 ! ! " ; ' E ! "

E C ;# _' _! _!

C 5 A C 5 !

E ; ' ! CAt It

E ;@

4>??L7 * L B * 9: 5 , 5 5 9D5

4>?M0 @@7; ' " CAt ∆Zt 5 B

" ;? _' ₎ _B _" _{5 3} _"

9: 5 A ! E ;

< + 4>??L7 " 1L ! ; ' "

" /6K " 4/? 7; A ! 5 " " !

/L 5 A 5 4 LV ! 7; '

#_- _A _" _C ₅_CA

t It ! " E C ;

@_' _! _A _! _" _" _C ₃ _! _;

?_' _! ₃ _" _A _" _CA

t " @05 ! "

;

(17)

A 5 >@ 4 " /?7 B ;

-5 " N 4:9. 7 N " .

" " 5 " 5

! ;

< + 4>??#7 3 " , 9D 4>?LL ?075 "

9: 4>?>? ?07; ' ∆Zt ! ξt;>0 '

. >> _" _4A _N _α₇₅ _" _& _" ₅

" "σξ ;>/ ' " A

! 5 A α5r5ρ σξ;

CA∗t =−

∞

i=1

( 1 1 +r)

i_E

t(∆Zt+i | t) +

αρσ2 ξ

2 (r+ (1−ρ))

α= 35 ! " / #V " ! ; +

5 "ρ α5 " >V " !

CAt " , L >?V " ;

W 4>???7 " " 4>?#0 ?M75

A 5 * A " ; '

! " 0;K>1 ) A CAt CA∗t 4

C ! & 7; A ! 5 !

" 0;>0 " ; - A 5 >V LV E ! 5

CAt ∆Zt ; ' " 5 " 5 !

" " ! E ;

< 4>???7 ! 4 5 5 - 5 - 5

5 3 5 : " 5 : D * 5 >?LL ?/75 E !

; ' " " ∆Zt B 5

" CAt B " 5 3 - ; ' 3 A

"∆Zt A CAt5 3 3 5 ; +! 5

P A ! B 4

>V ! 7; ! 5 " ! C ! "CAt &

B 4 LV ! 7 ;

> 0₎ _A _* _! _σ

ξ;

> > _{. C} _! _;

> / _{.4>7 A} _ρ_;

(18)

2 < : O 4/0007 3 A " ! A 4rt7

3 5 " " 5 9D 4>?M> ?M7; '

4A ! pt75 $

3 4A a7 .. >K _" _4A _σ₇>1_{; '} _" ₅

5 !

CA∗t =−

∞

i=1

βiEt(∆Zt+i−γrt∗+i| t)

A r∗

t " "rt5γ5a5pt;>L ' & .5

! r∗

t; ' C 4 r∗t7 B

5 3 ! B " 9D>M_{; '} _" ₅ _r∗

t

! " ; A ! 5 3 A rt4 "rt∗7 A !

4pt7 ! E " ;

4/0007 " * " >0 5

A A ; - " A C5 & 5 ! C∗

t ≡(Ct−γCt−1);>#

: & " " 5 A C∗

t 3

;>@ ₎ _{; '} ₅

" ! 5 4A ! 7;

' " " 5 B "

4 3 7; ' " 5 " E "

! ;>?

Q-R 4/00/7 * 4>?/M ?#7 E

; ' ! D4 7

C 4 CG₅ _CS₇₅ _& _" _" _;

' ! " 4PD₇ ₄_r₇ ₅

δ= 0.18; - " A C5 !

CA∗t =−

∞

i=1

( 1 1 +r)

i_E

t(∆Zt+i | t)−PD 1−δ

1 +r ∆Dt

> K _. _{! . C} _! _;

> 1 _N _" _! _{C !} ₄_σ₇ _& _! _" _" ₄_γ_7;

> L_' ₃ _{3 "} _! _" ₄_p

t7;

> M_' _N _A _! ₄ _& ₇ _" _0;1>

4 C 7 0;?K 4 3 7 S " 0;0@ 0;M1 4 7 " 0;0# 0;LL 4 9D7;

> #₎ _γ _" _{; -"}_γ_{= 0} _;

> @_- _A _" _C∗

t 4 Ct7;

> ?_' _γ _E _" ₅ _" _0;@0 _0;?0;

(19)

' " 5 ∆Zt ;

' . ! " A C;/0

-! ; A ! 5 3

4rX>1V7 " />₅ _"

; A ! 5 5 " & " 5

; 5 ! 5 " A < + 4>??#75

E ! " E ! ! ;

T < . 4/00K7 * 4>?M> ?@7 4.2 7 5 A

! C ; - 5 3 .2 4

7 " 5 C E A 5 "

;// _' ₃ _" _! ₅ _!

A C ! .2 ;

D 4/00K7 A A

.5 " A < : ;/K _- _" _{A C5} _! _"

N " " ; A ! 5

" "∆Zt

; ' A " ∆Zt " 5

< : 5 "∆Zt ! A C 5

; - 5

A ;

D 4/00K7 3 " 5 A 5

" 9D 4 A 7; ' K O C ∆Zt 5

E E C 5 A E .5

A A A 4r7 E C5/1

C A O ∆Zt;/L 5 . K !

rt,∆ ln(Zt) CAt/Zt; ' CAt E

C 5 ! E C 5

;/M _{A ! 5} _" _C _! _E _;

/ 0_CA

t5∆Zt α∆Dt,A α= (1−δ)/(1 +r);

/ > _"_CA

t CA∗t A ! " O ;

/ / ₃ _" _B _" _;

/ K_: _! _! ₄ ₇ _! _;

/ 1 _A _r _! _C _" _E _{C ;}

/ L₎ _! _E _C _;

/ M_- _" _{A C} _{C A} _! _O _CA

t5 !

(20)

%

" " - : Y - : 4- 7; ' CAt ∆Zt

" B & 4 75 3

>??L 4 3 ;> " " 7; - 5 !

5 ! $ P ; - A

" " 5

! " " " 3 ! " 5 A

" = = ;

& 9: 5 5 , 5 9 D 5 5 - 5 ;

>?M0Y>??@5 4K? ! 7;

& 9: 5 5 , 5 9 D 5 ;

>?M0Y>??@5 & 4>LM ! 7;

'

' E " " " ! ; '

$ C 4 $ 75 4 75 DA C A C : : 4D ::7

" A ! " A E O "

5 " 5 ;

' " 4 A 3 ;/7 A

5 $ * / 4 3 ;K "

D :: 7; ' " " ∆Zt B >V ! $

4 3 " 75/# ₅ _B ₅ _{LV ! 5}

D :: " 9D 4 75 " 9: 4& 7;

" 5 CA+_t !

5 A CAt " ! A 5

& 4M7;/@ _. _CA+

t5 " ! 4 7

C; ' "CAt

E C " C;

/ #_- ₅ _B _>V _{! 5} _$ _B _" _! _;

/ @_CA

t =Yt+rBt−It−Gt−Ct CAt=Yt+rBt−It−Gt−θCt

(21)

B ! 5 ; ' E 3 ;

+ 5CAt 3 5 3

O θ; A ! 5 " $

B 4 " 7 " - 4 7 " 9 D 4

75 CAt ; 5 D ::

CAt 4 LV ! 7 " 9D 4 75 " 4 75 "

9: 4& 7;

' / $ " Ct (Yt+rBt−It−Gt);/? ' 5 5

3 " ! 5 B " E O

; ' A 5 "Ct (Yt+rBt−It−Gt) " 5 -4>75

5 " 5 &

4>75 ;

T able2 $ 9 . '

9: T , T 9D . -' . 9: & T & , T & 9D & . &

Ct >;>M K;>? /;/# >;>1 /;0K K;K0

(+) >;1# 0;K0 /;K1 /;K? 0;@M /;//

∆Ct K;?L

(∗∗) (1;0K∗∗) (L;M?∗∗) K;L1(∗) (L;/L∗∗) (L;/?∗∗) (L;L1∗∗) (M;/K∗∗) >K;>0(∗∗) >L;>L(∗∗) (L;1>∗∗) >K;1>(∗∗)

GN I∗ _0;L/ _/;?@ _K;K0

(+) 0;?0 >;L@ /;/> /;01 0;1# (+)K;K@ K;0> 0;/@ /;>>

∆GN I∗ _1;K0

(∗∗) (1;@K∗∗) (L;M1∗∗) (K;?@∗∗) (1;@M∗∗) (L;1/∗∗) /;1M (L;>L∗∗) >L;MK(∗∗) >K;1L(∗∗) >#;MK(∗∗) >?;LL(∗∗)

CA+t >;L# /;1> 0;1/ /;L1 /;KM >;@1 0;M? >;?/ /;#1

(+) >;>> /;/# /;#@(+)

CAt /;@1

(+) (+)/;M@ (K;M#∗∗) 0;>@ (+)/;?0 /;KM /;/M K;>?(∗) K;0>(∗) K;11(∗) 0;#M K;/M(∗)

∆Zt 1;LK

(∗∗) (L;/L∗∗) (L;MK∗∗) (1;1#∗∗) (1;M?∗∗) (1;#0∗∗) /;11 >/;L?(∗∗) >1;@1(∗∗) >K;L?(∗∗) >M;#@(∗∗) >@;M>(∗∗)

T 7GNI∗

t ≡Yt+rBt−It−Gt 9: & & 4 /7

7 4UU7 B " >V ! S 4U7 LV ! 4Z7 >0V !

7CA+t =Yt+rBt−It−Gt−Ct CAt=Yt+rBt−It−Gt−θCt

7 : 3 ;K " 5 D :: ;

/ ?₉ _"

t 4[tZ 2t-t t7 ; - 5 B

;

(22)

' " " A Ct (Yt+rBt−It−Gt);

' & 5 , 5 "

: - \ " . " 5 A

; ' 4 7 " A , & 2 B

4 >V ! 7 " 4 75 - 4 75 , 4&

7; ' B >V ! " 4 75

/ 4& 7 " 9: , 4 >V ! 75 " 9 D 4 LV

! 7; C 5 B / " , 4 >V ! 7

" 9 D 4 LV ! 7;

T able3 , ] '

' ! A (Yt+rBt−It−Gt) Ct ! (1,−θ)

X0 ≤>

θ ; λm´ax. ; ; λm´ax. ;

9: 0;?LL

40;0>/7 >M;?>4U7 >1;@>4U7 /;>0 /;>0

T 0;?/#

40;0/M7 >M;M#4U7 >M;M>4U7 0;0M 0;0M

, T >;0#M

40;0>L7 >>;#M >>;LK 0;/K 0;/K

9D 0;@0M

40;0K#7 />;0M4UU7 >#;114U7 K;M/ K;M/

. >;0/?

40;0K>7 @;L> #;K1 >;># >;>#

-' >;0@@

40;01?7 @;M> @;L1 0;0# 0;0#

. >;KK1

40;>/17 @;1@ @;1L 0;0K 0;0K

9: & 0;?1L

40;0>K7 /0;>M4UU7 >#;/?4U7 /;@# /;@#

T & 0;?/K

40;0K07 >1;?# >1;#M4U7 0;// 0;//

, T & >;0#?

40;0>L7 >L;>M >1;@M4U7 0;K0 0;K0

9D & 0;@/M

40;0K?7 >?;?14U7 >L;M@4U7 1;/M4U7 1;/M4U7

. & >;01K

40;0K/7 >>;11 >0;M@ 0;#M 0;#M

T 7 " 9: & & 4 /7;

7 4U7 B " LV ! 4UU7 >V ! ;

7 - θ ! ;

(23)

" θ O " 5 5 A

& " " (β = 1/(1 +r))

; ) 5 "

" 5 5 "

^ ^; ) (θ > 1)5 ! C "

" ; ' θ < 1 " 9: 5 9D5 θ > 1 "

5 A 4>??L7;K0

' " ! 4 7 4 & 7

B 4 3 " 9 D 5 & 75K> _A _!

A (Yt+rBt−It−Gt) Ct ! (1,−θ);

-B " " , 5 5 - 4 75 "

4& 7;

( &

' )"

" " θ5 . CAt ∆Zt; '

\ : - " " . ;

-& 4M75

; -" 5 " 5

" ;

' . A 5 ! ;K/

- " 5 E " & " .5 C !

5 A * . A ; 5 &

4>175 5 " A _CA =−(1/r) _∆Z; ! ! "

3 5 5 + 4>??/75 A A

3 4 K/V & 7; 5

B E " . A ;

K 0_: _{>@ 4} ₃ _{;M7 "} _" _;

K >_' _" _{9D 4&} ₇ _CA

t ;

K /_' _" _{5 A} ₅ _B _"

5 O " A " ! " ;

(24)

' N " . >M ># 4 3 ;17; '

B " > 4 7 " 4

>V ! 7 , 4 LV ! 75 >V ! / 4 3 " 9: 7;

5 B 4 LV ! 7 " 4 7 "

9 D 4& 7; . C 5 B 4 >V ! 7

& " , 5 9D;

#

+ " " " 5 + 4>??/75 CAt "

∆Zt; 5 >@5KK ! "

4CAt ∆Zt7 B " 9: 4 >V ! >5 LV !

/7 " , 4 @V ! >5 >V ! /7;

' A ; + 4>??/7 B " 9: 4 >V ! 75

B " ; 4>??L7 B " 9: 4 >V ! 7 B

" 5 , K1₅ _9D _; _W _4>???7 _! _{" 0;>0 "} ₅

B " ! " E ;

' 5 A 3 " 9: , 5 "

" # 5 ! "

∆Zt5 " A ; ' >@

" A :9. 5 ! ;KL

( "

' 4CA∗

t − ∗CA7 & 4>#7 4>@75

N " . 4 3A7 A 4 /V 7KM_{; -} _.4/75

!

(CA∗t − CA∗) =K(Xt− ) = α1 α2 β1 β2

     

∆Zt− ∆Z

∆Zt−1− ∆Z

CAt− CA

CAt−1− CA

    

 4K#7

K K_: _: _{4 :7} _{5 "} _+8: _;

K 1 _" _;

K L ₃ _{9D 4} _>75 _B ₄ _LV _{! 7} ₄_CA

t ∆Zt7 A :9. ;

K M₊ _! _" _r₅ _" _>V _{MV5 A} _" _" _;

(25)

A K =−h′₍ A 1+r)(I−

A

1+r)−1; ' ! K " A ;K#

T able4 D

4 > 7

T 9D . -' 9: . , T

α 0;>0 0;M# 0;K# 0;>0 α1 0;>M 0;?> 0;>1

β 0;0# #;@? >;// 0;// α2 0;KL 0;?# 0;0M

β1 /;>0 0;>? 0;>0

β₂ 0;?/ 0;K0 0;1?

T .4>7 " T5 9D5 .5 -'

.4/7 " 9: 5 . , T;

T able5 D

4 / & 7

9: T 9D . , T

α 0;0# 0;>K 0;/? 0;K> α1 0;K>

β 0;M1 0;/@ 0;1K 0;/K α2 0;>L

α3 0;0?

β₁ 0;LM

β2 0;KM

β₃ 0;KK

T .4>7 " 9: 5

T5 9D5 .5 .4K7 " , T;

" A 4CA∗

t − ∗CA7 4CAt− CA75 E " A

5 ! N " .5 ) 5 A

" A χ2 4A " " & " 7;

' " ) " 4

! 7 ; " ! 5

5 M 4 3 ;L7;

T able6

9: T , T 9D . -' . 9: & T & , T & 9D & . &

4;7 0;@1 0;#? 0;MK 05?? 0;?L 0;?# 0;M? 0;?? 0;?# 0;KM 0;?# 0;@>

. 0;LL 1/;K1 1;// 0;0/ 0;L/ /K;/K >1;@0 /;1> >>;1K >0;K1 L;@> >L;1L

T 7 4;7 4CAtSCA∗t7

7 . ! "σ24CAt76σ24CA∗t7

K #₎ _α

i N A ∆Z 5 βiA CA ;

(26)

- " A !

5 A 5 A ; '

5 A ! ! 5

" P A ! ! ; - 5

N A * 5 A

A ! 5 " C 5 ;

- " ! E 5

5 A ; - A C5

! E " , 9: 4 >@7; ' 5 " 5

B ; A ! 5 " A 5

" 5 ;

' 4 >7 * 3 " ; ' .4>7

" !

. N " #

∆Zt

CAt

= a1 = 0.17 4>;0K7 b1= 0.26 4>;KK7

c1 = 0.11 4>;0?7 d1 = 0.73 4M;>>7

× ∆Zt−1

CAt−1

+ 366 4K;K#7

−9 4 0;>17 +

ε1t

ε2t

T

A d1 E 5 " b1; #5 !

K 3 ! ! b1 O CA∗t 4 A

>7; b1 = 0.264 " * 5 b1 E 75

β=−1.2214 C ! "β= 07;

T able7 K = [α;β]

4 7

b1= 0.26 b1= 0

α −0.366 −0.205 β −1.221 0.000

F iLure1 CA∗

t 4 7

- 1 0 0 0 - 5 0 0 0 5 0 0 1 0 0 0 1 5 0 0 2 0 0 0

1 9 6 0 1 9 6 5 1 9 7 0 1 9 7 5 1 9 8 0 1 9 8 5 1 9 9 0 1 9 9 5

C A _ O T ( b 1 = 0 . 2 6 ) C A _ O T ( b 1 = 0 )

T ' ! A

" O K! ;

(27)

$ !

' ) " ! ! " A 4r7; ' 5 A ! 5

" ! "r " >V MV5 " A

T able8 ) ' 4 * > 7

A 4r7 χ2

(2) !

>V K;1L 0;>#@

/V K;M/ 0;>M1

1V K;?# 0;>K#

MV 1;KL 0;>>1

T (CA∗t − ∗CA) = (CAt− CA)

! 5 (CA∗

t − ∗CA) = (CAt− CA) B

! " E 5 ! " ; 5 5

+8: & 5

" C ;

A ! 5 A N &

; + 4>??L75 B " "

" ! N " .; ! "

& A ! 5 ! "

O ; ' " ) 5 " A 5 " A

5 A A A & 4+8: :9. 7 ;

&'

B " :9. & " " .

?; A " CAt ∆Zt # 5

! E 5 ! 5 B ; ' 5

3 " 5 B " .5 :9.

& 5 C " " 5 N ;

(28)

T able9 4 > 7 !

9: _ 9D_$H 0;00K

, T_ 9: _$H 0;01?

9D_ T_ 0;0K1

. _$H ._ 0;00L

T ' " A B LV !

! 5 3 B K@ _B _" _:9.

& 5 # ;

T able10 . 3 4 > 7

USA_DZ USA_CA CAN_DZ CAN_CA JPN_DZ JPN_CA UK_DZ UK_CA GER_DZ GER_CA ITA_DZ ITA_CA FRA_DZ FRA_CA

USA_DZ 1.00 -0.06

USA_CA -0.06 1.00

CAN_DZ 0.46 -0.21 1.00 0.60

CAN_CA 0.04 0.08 0.60 1.00

JPN_DZ 0.16 0.02 -0.24 -0.34 1.00 0.27

JPN_CA 0.14 -0.52 -0.17 -0.38 0.27 1.00

UK_DZ 0.31 -0.03 0.08 -0.18 0.48 0.10 1.00 0.64

UK_CA 0.14 -0.02 -0.18 -0.18 0.32 0.30 0.64 1.00

GER_DZ -0.10 0.02 -0.56 -0.19 0.24 0.33 0.01 0.27 1.00 0.03

GER_CA 0.16 -0.38 0.36 0.02 0.00 0.24 -0.05 -0.37 0.03 1.00

ITA_DZ 0.34 -0.06 -0.12 -0.50 0.37 0.19 0.43 0.22 -0.07 -0.02 1.00 0.46

ITA_CA 0.24 -0.08 0.09 0.03 0.25 0.15 0.51 0.25 -0.18 0.14 0.46 1.00

FRA_DZ 0.32 -0.12 -0.01 -0.16 0.35 0.37 0.19 0.12 0.09 0.33 0.13 0.37 1.00 0.38

FRA_CA 0.46 -0.06 0.08 -0.15 0.11 0.37 0.35 0.38 -0.18 0.07 0.44 0.60 0.38 1.00

5 8 C . 48.7 ! " :9.

5 " +8: & ; 9 5 ! 3( )

4 7K? ₃₅ _+8: _{; +} ₅ _! _E

4 17 4 7 35 :9. ; ' A 5

" ! 35 " 4 7

* ; - 5 4>??175 A C " .

!

2 (L∗1−L∗0) =T ln 0 −ln 1 4K@7

A L∗

0 3 ! " C 4 L∗1 ! 75

T " O ! ! 5 0 " ! 3

K @ _* _A _{3 4} _< _{5 >???5}

`8 . 8 ' " T $ `5 5 ! ; M#7;

K ?_' _! ₃ ₅ _+8: ₅ _" _" _.5

A & 4CAt ∆Zt7;

(29)

+8:5 1 " 3 :9. ; 9 5

O A L∗1 L∗0 * 5 8. " A χ2

5 A " " & " ;

T able11 . " 8.

: > : / &

T KM >L/

0

OLS K;// Z@M K;LM Z1L

1

SU RE L;ML Z@K /;L0 Z1L

ζLR //@;L0 LK;#L

ζ∗LR >?M;#M

>0V ! χ2

(40)XL>;@>

LV ! χ2₍₈₀₎X>0>;@@ Sχ2₍₉₀₎X>>K;>L χ2₍₄₀₎XLL;#M

>V ! χ2

(80)X>>/;KKSχ2(90)X>/1;>/

T 7T " O ! ! 5 ζLR=T ln 0 −ln 1 8. ;

7ζ∗LR E 8. C 5 T (T −k)5

A k " & ;

7 - >5 " " 4 "7X @15 /5 "X10;

5 B 510 _8.

! ; ' " 5 ! 4 75 :9.

+8: ;

" 5 ! ! 5 C

< . O 4>??L7 " E C ; C5

5 ! O CAt5 !

C5 4 7 35 +8: ;

A ! 5 ! A 5 A O 5

C A :9. ; ' " 5 5

+8: C 5 A :9. &

E ;

1 0 _>V _! _" _E _>5 _>0V _! _/;

(30)

' :9. 5 5 ! N A +8: ;

' 5 ! 3 " :9. B " !

+8: " A C; " " ) 5 A

" 4+8: :9. 75 >/ * >K;

T able12 ) '

! 4+8:7 ! 4:9. 7

9: 0;0K/# 4U7 0;0/?L 4U7

T 0;>MK# 0;000> 4UU7

, T 0;>?>L 0;>>?>

9D 0;>L#L 0;0000 4UU7

. 0;0K## 4U7 0;00K# 4UU7

-' 0;0L@? 0;0000 4UU7

. 0;>>/K 0;0000 4UU7

9: & 0;/LLK 0;0@M>

T & 0;K0ML 0;>?LM

, T & 0;0001 4UU7 0;0000 4UU7

9D & 0;0#L# 0;000? 4UU7

. & 0;000@ 4UU7 0;000> 4UU7

T 7 (CA∗

t − ∗CA) = (CAt− CA)

7 4U7 B LV ! 4UU7 >V !

7 9: & & 4 /7

T able13 " . 4+8: :9. 7

T "

B LV ! 4+8:7

T "

B LV ! 4:9. 7

: > 4# 7 / M

: / 4L & 7 / K

T (CA∗

t − ∗CA) = (CAt− CA)

(31)

+

&

,

' " " * >15

" ! E 5 " ; 5

4>??L75 " A C ! B 5 &

" 5 ; ' " 5 B "

" ! ;

T able14 : " 1 "

4> 7 9 . 4> 7 9 . 4/7CAt 4K7 41 7 ) 4+8:7 41 7 ) 4:9. 7

" CAt " ∆Zt ∆Zt 4 X07 CA∗t =CAt CA∗t =CAt

9: 4Z7 4UU7 4UU7 4U7 4U7 4U7

T 4Z7 4UU7 4U7 4UU7

, T 4UU7 4UU7 4Z7

9D 4UU7 4 7 4U7 4UU7

. 4Z7 4UU7 4U7 4UU7

-' 4UU7 4UU7

. 4UU7

9: & 4U7 4UU7 4U7 4U7

T & 4U7 4UU7 4U7

, T & 4U7 4UU7 4UU7 4U7 4UU7 4UU7

9D & 4UU7 4U7 4UU7

. & 4U7 4UU7 4UU7 4UU7

T 7 5 4UU7 B >V ! 5 4U7 LV ! 5 4Z7 >0V ! ;

7 4 7 B LV ! 4 A :9. 7 9: & & 4 /7;

7 ' " " 4 7 * ;

7 ' ) ! E A CA∗

t CAt ;

7 ' " " " 1

! E ) B B ;

(32)

" ! B ;

A ! 5 ! " 5 "

B " 9: , ; " A ! "

>L + 4>??/7 B " 9: 5 4>??L7

B " 5 , 5 9D 5 B " 9: 5 W

4>???7 B " 4 >@5 3 ;M5 " " 7;

T able15 A 8

Wald Test (p-value)

Country Current Study Otto (92) Ghosh (95) Agénor (99) (SURE)

USA 0.0295 (*) 0.0041 (**) 1.19

-CAN 0.0001 (**) 0.0020 (**) 95 (**)

-JPN 0.1191 - 75 (*)

-UK 0.0000 (**) - 464 (**)

-GER 0.0037 (**) - 90 (**)

-ITA 0.0000 (**) - -

-FRA 0.0000 (**) - - 0.314

USA q 0.0861

CAN q 0.1956

JPN q 0.0000 (**) UK q 0.0009 (**) GER q 0.0001 (**)

T 7 4>??L7 & & ! ;

7 9: & & 4 /7;

7 4UU7 B >V ! 5 4U7 LV ! ;

(33)

' * " * #

; - " A C5 " A !

; ' " 5 ! < : 4>?@#75 "

. ! " " " A C ;

' ! 3 ! "

" .; ' :9. B " " M 51> _A _+8:

& 5 A A 5 " N 5 B

" " / ; ' )

1/ ₌ _& ₌ _" _! _" ₅

" A ! E ;

5 " " "

! 5 * " A C5 ; '

* 3 ! "

" # ; A ! 5 ! " 5 "

B " 9: , ;

3 5 8

. ! A5 N & 5 :9. 5 " ! "

;

1 >_: _> _;

1 /_CA

t ∆Zt;

(34)

,

a>b cT+.5 ;.; 5 >???5 ` ! " 5

>?#0 >??M`5$ % & ' 5 >@5 > >/;

a/b 2 . -T5 ; .; < : .-T5 :; ;5 /0005 `- 5 3 !

" `5 ( $ 5 >>05 LKL LL@;

aKb 2 885 ,;[;5 >?@#5 d$ ! e ! "

^5( 5 LL5 >/1? >/#K;

a1b 2 885 ,;[; < $ '+T5 ;:;5 >?@?5 d) e^5 (

) 5 LM5 KL# K#1;

aLb 2 885 ,;[; < : -88 .5 .;5 >?@#5 d " ! ^5$

* ( 5 ?L5 >0M/ >0@@;

aMb 8$:' -T5 ; < +.-+D 5 ;5 >?@05 d$ ! P A ^5(

$ 5 ?05 K>1 K/?;

a#b +: 5 ; .;5 >??L5 d- B

^5 ( $ 5 >0L5 >0# >/@;

a@b +: 5 ;.; < +:'.[5 ,;$;5 >??L5 d' ! ! "

^5 + , ( 5 ?5 K0L KKK;

a?b +: 5 ;.; < +:'.[5 ,;$;5 >??#5 d 5 ! 5

^5$ & ( 5 105 >/> >K?;

a>0b 8- D5 .; < .+ + 5 D;5 >??L5 ` ! E ! C

`5$ & ( 5 KL5 >L? >?/;

a>>b .92 .5 ,; );5 /0005 ` ! " `5 $

- , .

a>/b -8'+T5 ,;$;5 >??15 `' `5* . * 5 /?M /?@5 K0/ K0L;

a>Kb . [5 ;5 >??K5 d' " ^5&% *

a>1b 9:: -T5 D; ; < 88+5 8; .;5 >???5 `- !

! ;`5$ % & ' 5 >@5 KM# K@>;

(35)

a>Lb Q-R: T5 '; 2;5 /00/5 ` ! " A `5$

% & ' 5 />5 K@L 1>/;

a>Mb -::8 .5 ,; ; < : TT 5 ; ;5 /0005 d ! 2

>?1# >??#^5( ( / 5 K05 9: ;

a>#b -::8 .5 ,; ; < ' -f -. 5 ; ; ;5 /00K5 d

" ! ^5 0 5 ;

a>@b D T+5 ';5 /00K5 ^ . " ^5

+ , 1 , * 5 1/;

a>?b D : 5 D;5 /00K5 ^' ! " ^5$

% & ' 5 //5 LL# LM?;

a/0b T :+T5 ,; ; < .+ .:5 ,; ;5 /00K5 ^' ! "

B ^5+ ' ) %

' 2 * 5 #M0;

a/>b +2:' 8$5 ; < .+ + 5 D;5 >??15 ^' ^53

+ ( , * 1@?K;

a//b +''+5 ;5 >??/5 d' ! " ! " 9;:;

^5$ % & ' 5 >>5 1>1 1K0;

a/Kb : :5 ,;5 >?@/5 d' B ;^5 )

$ ( 5 @15 >1# >L?;

a/1b : .-T5 :; ; < )++5 ); ';5 >??05 ` ! " "

`5$ % ( 5 /?5 /K# /LK;

a/Lb :- +T5 ; ; < 289 5 8;5 >??15 ` " `5 3 <1 % 5

>@0 >@/;

(36)

"

-"

%

' CAt ∆Zt " A A 5 B P " $ 5

5 3 >??L ;

CA+t = (GNIt−It−Gt−Ct)∗100/(GDP_Deflt×P gpulatign)

CAt= (GNIt−It−Gt−θCt)∗100/(GDP_Deflt×P gpulatign)

Zt= (GDPt−It−Gt)∗100/(GDP_Deflt×P gpulatign)

A

GDPt=Ct+It+Gt+NXt

GNIt=Yt+rBt=GDPt+NIAt

$ $ 4 ?? " - :7

T- T - 4?? 7

3 4?M"7

- - ! X 3 4?K 7 Z - ! 4?K 7

! 3 4?>"7

Tf 3 4?0 7 - 4?@ 7

T- T - 4?@ 7

$ _$ P 4?? 7 $ P " $ 4>??LX>007

4??*75 & "

(37)

"

!

&

& 4 7

USA -800 -600 -400 -200 0 200 400

1960 1965 1970 1975 1980 1985 1990 1995

CA -200 0 200 400 600 800

1960 1965 1970 1975 1980 1985 1990 1995

DZ 0 5000 10000 15000 20000 25000 30000 35000

1960196519701975 1980198519901995

GDP GNI CONS INVEST GOV 6000 8000 10000 12000 14000 16000 18000 20000 22000

1960 1965 1970 1975 1980 1985 1990 1995

GNI-INVEST-GOV CONS CAN -1200 -1000 -800 -600 -400 -200 0 200

1960 1965 1970 1975 1980 1985 1990 1995

CA -1200 -800 -400 0 400 800

1960 1965 1970 1975 1980 1985 1990 1995

DZ 0 5000 10000 15000 20000 25000 30000

1960196519701975 1980198519901995

GDP GNI CONS INVEST GOV 6000 8000 10000 12000 14000 16000 18000

1960 1965 1970 1975 1980 1985 1990 1995

GNI-INVEST-GOV CONS JP N -40000 0 40000 80000 120000 160000

1960 1965 1970 1975 1980 1985 1990 1995

CA -80000 -40000 0 40000 80000 120000

1960 1965 1970 1975 1980 1985 1990 1995

DZ 0 1000000 2000000 3000000 4000000 5000000

1960 1965 1970 1975 1980 1985 1990 1995

GDP GNI CONS INVEST GOV 500000 1000000 1500000 2000000 2500000

1960 1965 1970 1975 1980 1985 1990 1995

GNI-INVEST-GOV CONS

(38)

UK -600 -500 -400 -300 -200 -100 0 100 200

1960 1965 1970 1975 1980 1985 1990 1995

CA -300 -200 -100 0 100 200 300 400

1960 1965 1970 1975 1980 1985 1990 1995

DZ 0 2000 4000 6000 8000 10000 12000 14000

1960196519701975 1980198519901995

1960 1965 1970 1975 1980 1985 1990 1995

GNI-INVEST-GOV CONS GER -800 -400 0 400 800 1200 1600

1960 1965 1970 1975 1980 1985 1990 1995

CA -400 0 400 800 1200 1600 2000 2400 2800 3200

1960 1965 1970 1975 1980 1985 1990 1995

DZ 0 10000 20000 30000 40000 50000

1960196519701975 1980198519901995

GDP GNI CONS INVEST GOV 8000 12000 16000 20000 24000 28000

1960 1965 1970 1975 1980 1985 1990 1995

GNI-INVEST-GOV CONS IT A -1200000 -800000 -400000 0 400000 800000 1200000

1960 1965 1970 1975 1980 1985 1990 1995

CA -600000 -400000 -200000 0 200000 400000 600000 800000 1000000

1960 1965 1970 1975 1980 1985 1990 1995

DZ 0.0E+00 5.0E+06 1.0E+07 1.5E+07 2.0E+07 2.5E+07 3.0E+07 3.5E+07

1960 1965 1970 1975 1980 1985 1990 1995

GDP GNI CONS INVEST GOV 6.0E+06 8.0E+06 1.0E+07 1.2E+07 1.4E+07 1.6E+07 1.8E+07 2.0E+07 2.2E+07

1960 1965 1970 1975 1980 1985 1990 1995

GNI-INVEST-GOV CONS F RA -4000 -2000 0 2000 4000 6000

1960 1965 1970 1975 1980 1985 1990 1995

CA -1000 0 1000 2000 3000

1960 1965 1970 1975 1980 1985 1990 1995

DZ 0 20000 40000 60000 80000 100000 120000 140000 160000

1960 19651970 1975 1980 1985 1990 1995

1960 1965 1970 1975 1980 1985 1990 1995

GNI-INVEST-GOV CONS

(39)

& 4& 7 USA -1000 -800 -600 -400 -200 0 200 400

1960 1965 1970 1975 1980 1985 1990 1995

CA -300 -200 -100 0 100 200 300 400 500

1960 1965 1970 1975 1980 1985 1990 1995

DZ 0 4000 8000 12000 16000 20000 24000 28000 32000

1960 1965 1970 1975 1980 1985 1990 1995

GDP GNI CONS INV GOV 6000 8000 10000 12000 14000 16000 18000 20000 22000

1960 1965 1970 1975 1980 1985 1990 1995

GNI-INV-GOV CONS CAN -1600 -1200 -800 -400 0 400

1960 1965 1970 1975 1980 1985 1990 1995

CA -600 -400 -200 0 200 400 600

1960 1965 1970 1975 1980 1985 1990 1995

DZ 0 5000 10000 15000 20000 25000 30000 35000

1960 1965 1970 1975 1980 1985 1990 1995

GDP GNI CONS INV GOV 6000 8000 10000 12000 14000 16000 18000

1960 1965 1970 1975 1980 1985 1990 1995

GNI-INV-GOV CONS JP N -80000 -40000 0 40000 80000 120000 160000

1960 1965 1970 1975 1980 1985 1990 1995

CA -100000 -80000 -60000 -40000 -20000 0 20000 40000 60000

1960 1965 1970 1975 1980 1985 1990 1995

DZ 0 1000000 2000000 3000000 4000000 5000000

1960 1965 1970 1975 1980 1985 1990 1995

GDP GNI CONS INV GOV 400000 800000 1200000 1600000 2000000 2400000 2800000

1960 1965 1970 1975 1980 1985 1990 1995

GNI-INV-GOV CONS UK -200 -160 -120 -80 -40 0 40 80

1960 1965 1970 1975 1980 1985 1990 1995

CA -80 -40 0 40 80 120

1960 1965 1970 1975 1980 1985 1990 1995

DZ 0 500 1000 1500 2000 2500 3000 3500

1960 196519701975 1980 19851990 1995

GDP GNI CONS INV GOV 800 1000 1200 1400 1600 1800 2000 2200 2400

1960 1965 1970 1975 1980 1985 1990 1995

GNI-INV-GOV CONS

(40)

GER -100 0 100 200 300 400 500 600 700 800

1960 1965 1970 1975 1980 1985 1990 1995

CA -200 -100 0 100 200 300

1960 1965 1970 1975 1980 1985 1990 1995

DZ 0 2000 4000 6000 8000 10000 12000

1960 1965 1970 1975 1980 1985 1990 1995

GDP GNI CONS INV GOV 2000 3000 4000 5000 6000 7000

1960 1965 1970 1975 1980 1985 1990 1995

GNI-INV-GOV CONS

"

'

' " $ 5 4 7 D :: " A ; '

g = " $ 5 : A * - " 4:- 7; - $

5 ! ; - D :: 5 8

4A " A LV ! 7;

' " Ct (Y_t+rBt−It−Gt) ; - 5

B ; - D :: O "

5 ; 5

" A CA+t =Yt+rBt−It−Gt−Ct CAt=Yt+rBt−It−Gt−θCt;

& 4 7

9: T

Variable lags ADF PP KPSS

-1.157195 -0.963902 0.199923 (0.9047) (0.9373) 0.146

-3.945069 -3.669281 0.352971

(0.0043) (0.0088) 0.463

-0.521898 -0.824123 0.191192

(0.9780) (0.9542) 0.146

-4.302770 -4.254064 0.515044

(0.0016) (0.0019) 0.463

-1.573543 -0.921909 0.593808

(0.4858) (0.7703) 0.463

-2.840038 -2.100991 0.221408

(0.0625) (0.2454) 0.463

-4.532315 -4.532315 0.432923

(0.0009) (0.0009) 0.463

Ct 1

∆Ct 0

(Yt+rBt–It–Gt) 0

∆(Yt+rBt–It–Gt) 0

∆Zt 0

CAt

+ 1

CAt 1

-3.192046 -2.554813 0.067965

(0.1016) (0.3019) 0.146

-4.025179 -4.039189 0.126816

(0.0035) (0.0033) 0.463

-2.985415 -2.610936 0.048019

(0.1497) (0.2779) 0.146

-4.826465 -4.690303 0.083414

(0.0004) (0.0005) 0.463

-2.409067 -2.478414 0.261955

(0.1461) (0.1285) 0.463

-2.679784 -2.750387 0.132264

(0.0868) (0.0751) 0.463

-5.245342 -5.168390 0.059161

(0.0001) (0.0001) 0.463

Ct 1

∆Ct 0

∆Zt 0

CAt

+ 0

CAt 0

(41)

, T 9D

-2.266674 -2.387441 0.067472

(0.4410) (0.3799) 0.146

-5.693834 -5.693834 0.06517

(0.0000) (0.0000) 0.463

-3.298768 -2.870817 0.068201

(0.0822) (0.1828) 0.146

-5.639680 -6.929501 0.167163

(0.0000) (0.0000) 0.463

-0.415276 -0.845669 0.636305

(0.8954) (0.7943) 0.463

-3.666683 -2.664380 0.095422

(0.0089) (0.0896) 0.463

-5.627289 -5.996121 0.142124

(0.0000) (0.0000) 0.463

Ct 0

∆Ct 0

∆Zt 0

CAt

+ ₄

CAt 1

-1.137342 -0.723393 0.183367

(0.9086) (0.9639) 0.146

-3.536980 -3.382338 0.467566

(0.0124) (0.0181) 0.463

0.903876 2.171536 0.194052

(0.9997) (1.0000) 0.146

-3.981742 -3.954622 0.591701

(0.0039) (0.0042) 0.463

-2.537704 -2.199868 0.281427

(0.1151) (0.2096) 0.463

-0.178655 -0.364623 0.669806

(0.9327) (0.9052) 0.463

-4.467796 -4.467796 0.561099

(0.0010) (0.0010) 0.463

Ct 1

∆Ct 0

∆Zt 0

CAt

+ ₁

CAt 0

. -'

-2.027416 -2.179185 0.130342

(0.5681) (0.4870) 0.146

-5.245994 -5.186801 0.113339

(0.0001) (0.0001) 0.463

-1.579443 -1.633699 0.161035

(0.7824) (0.7604) 0.146

-4.859054 -4.724019 0.25115

(0.0003) (0.0005) 0.463

-2.361575 -1.920103 0.288818

(0.1592) (0.3199) 0.463

-2.896646 -2.370089 0.083758

(0.0554) (0.1567) 0.463

-4.693462 -4.536736 0.237372

(0.0005) (0.0008) 0.463

Ct 0

∆Ct 0

∆Zt 0

CAt

+ ₁

CAt 1

-3.301770 -2.579694 0.138605

(0.0817) (0.2911) 0.146

-5.289426 -5.316586 0.149426

(0.0001) (0.0001) 0.463

-2.206942 -2.347726 0.086242

(0.4723) (0.3996) 0.146

-5.420334 -5.420334 0.077799

(0.0001) (0.0001) 0.463

-1.841187 -1.841187 0.260649

(0.3556) (0.3556) 0.463

-2.357381 -2.423078 0.277123

(0.1603) (0.1424) 0.463

-4.701019 -6.050856 0.069826

(0.0006) (0.0000) 0.463

Ct 1

∆Ct 0

∆Zt 4

CAt

+ ₀

CAt 0

.

-1.467058 -1.404951 0.19581

(0.8234) (0.8434) 0.146

-5.545581 -5.591024 0.524792

(0.0000) (0.0000) 0.463

-2.035030 -1.844454 0.11634

(0.5630) (0.6631) 0.146

-2.456154 -7.390173 0.15884

(0.1344) (0.0000) 0.463

-0.686168 -0.686168 0.185811

(0.8382) (0.8382) 0.463

-2.260467 -2.356604 0.648143

(0.1895) (0.1605) 0.463

-2.435291 -7.762947 0.15011

(0.1396) (0.0000) 0.463

Ct 0

∆Ct 0

∆Zt 1

CAt

+ 0

CAt 0

(42)

& 4& 7

9: T

-0.295220 -0.990336 0.302198

(0.9902) (0.9414) 0.146

-6.233189 -10.56560 0.412463

(0.0000) (0.0000) 0.463

-0.473954 -0.540192 0.308329

(0.9838) (0.9807) 0.146

-5.151329 -13.44103 0.431295

(0.0000) (0.0000) 0.463

-1.921537 -1.962137 1.270898

(0.3217) (0.3034) 0.463

-3.197535 -3.387662 0.568082

(0.0220) (0.0129) 0.463

-12.58527 -12.74298 0.518509

(0.0000) (0.0000) 0.463

Ct 0

∆Ct 1

∆Zt 0

CAt

+ ₀

CAt 0

-2.339153 -2.656870 0.095883

(0.4101) (0.2562) 0.146

-13.10451 -13.11749 0.092766

(0.0000) (0.0000) 0.463

-3.381035 -3.187706 0.066399

(0.0577) (0.0907) 0.146

-15.62751 -15.83949 0.085856

(0.0000) (0.0000) 0.463

-2.743747 -2.775200 0.428733

(0.0691) (0.0642) 0.463

-3.007405 -3.028077 0.145866

(0.0364) (0.0345) 0.463

-14.84436 -14.94291 0.030964

(0.0000) (0.0000) 0.463

Ct 0

∆Ct 0

∆Zt 0

CAt

+ ₀

CAt 0

, T 9D

-2.390898 -2.314982 0.153853

(0.3828) (0.4230) 0.146

-15.14648 -15.15494 0.069081

(0.0000) (0.0000) 0.463

-3.012862 -3.058727 0.108213

(0.1321) (0.1201) 0.146

-13.45073 -13.54160 0.037083

(0.0000) (0.0000) 0.463

-1.111693 -1.524293 1.12758

(0.7106) (0.5188) 0.463

-3.438944 -2.986649 0.160007

(0.0111) (0.0384) 0.463

-13.59015 -13.60027 0.053106

(0.0000) (0.0000) 0.463

Ct 0

∆Ct 0

∆Zt 0

CAt

+ ₀

CAt 2

-0.855194 -0.916368 0.319188

(0.9573) (0.9506) 0.146

-5.413380 -13.80443 0.484394

(0.0000) (0.0000) 0.463

0.280990 -0.241521 0.340128

(0.9984) (0.9916) 0.146

-17.62711 -17.26982 0.421844

(0.0000) (0.0000) 0.463

-2.273837 -2.729779 0.387352

(0.1818) (0.0713) 0.463

-0.757300 -1.656364 0.898279

(0.8277) (0.4514) 0.463

-16.77832 -16.64067 0.535831

(0.0000) (0.0000) 0.463

Ct 0

∆Ct 2

∆Zt 0

CAt

+ ₁

CAt 1

.

-2.220133 -2.268694 0.181267

(0.4747) (0.4481) 0.146

-13.41021 -13.39538 0.098447

(0.0000) (0.0000) 0.463

-2.108709 -2.873701 0.250588

(0.5365) (0.1740) 0.146

-19.54841 -20.17804 0.186134

(0.0000) (0.0000) 0.463

-2.782748 -2.482801 0.6885

(0.0631) (0.1216) 0.463

-3.260318 -3.082903 0.233715

(0.0185) (0.0299) 0.463

-18.60645 -18.54294 0.174557

(0.0000) (0.0000) 0.463

Ct 0

∆Ct 0

∆Zt 0

CAt

+ ₀

CAt 0

(43)

"

)"

' N " .5 +8:5 A 4 75

A " A ;

T able 16 N " . 4 7

Country

equation Z_(t) CA_(t) Z_(t) CA_(t) Z_(t) CA_(t) Z_(t) CA_(t) Z_(t) CA_(t) Z_(t) CA_(t) Z_(t) CA_(t)

Z_(t-1) -0,08 -0,12 0,09 0,14 -0,09 -0,08 0,13 -0,09 0,17 0,11 -0,07 -0,15 0,00 0,23

(-0,43) (-1,09) (0,43) (1,04) (-0,50) (-0,60) (0,64) (-0,48) (1,03) (1,09) (-0,40) (-0,61) (-0,01) (0,78)

Z_(t-2) -0,17 0,10 - - -0,07 0,06 - - - 0,57 0,49

(-1,00) (1,01) (-0,42) (0,51) (3,67) (1,93)

CA_(t-1) -0,55 1,23 0,03 0,61 0,57 1,06 0,13 1,01 0,26 0,73 0,06 0,76 -0,19 0,73

(-2,20) (7,98) (0,13) (4,28) (2,20) (5,95) (1,22) (10,18) (1,33) (6,11) (0,69) (6,12) (-1,55) (3,69)

CA_(t-2) -0,15 -0,51 - - -0,52 -0,53 - - - 0,17 0,15

(-0,52) (-2,81) (-2,10) (-3,06) (1,59) (0,82)

c 786 156 222 193 59 302 -29 220 -22 22 366 -9 479 985 -255 805 277 -3 555

(4,44) (1,44) (2,02) (2,53) (2,58) (-1,85) (-0,22) (0,23) (3,37) (-0,14) (2,89) (-1,14) (0,36) (-2,81) Adj. R-squared 0,29 0,75 0,01 0,47 0,06 0,54 0,06 0,81 0,04 0,54 0,01 0,55 0,32 0,93

GER ITA FRA

USA CAN JPN UK

T able 17 N " . 4 & 7

Country

equation Z_(t) CA_(t) Z_(t) CA_(t) Z_(t) CA_(t) Z_(t) CA_(t) Z_(t) CA_(t) Z_(t-1) -0,05 -0,20 -0,17 -0,08 -0,22 -0,02 -0,31 -0,16 -0,41 -0,15

(-0,58) (-2,40) (-2,13) (-1,26) (-2,64) (-0,33) (-3,97) (-2,03) (-5,36) (-1,85)

Z_(t-2) - - - - -0,22 -0,15 - - -

-(-2,66) (-2,89)

Z_(t-3) - - - - 0,15 -0,03 - - -

-(1,89) (-0,58)

CA_(t-1) -0,09 0,86 -0,04 0,90 0,53 1,01 0,03 0,96 0,05 0,88

(-2,39) (22,13) (-0,82) (23,59) (4,13) (12,39) (1,07) (32,06) (1,24) (21,66)

CA_(t-2) - - - - -0,27 0,27 - - -

-(-1,51) (2,40)

CA_(t-3) - - - - -0,20 -0,36 - - -

-(-1,54) (-4,39)

c 129 86 98 71 20 463 -3 033 2 11 39 9

(5,62) (3,70) (3,18) (2,84) (4,24) (-0,99) (0,32) (1,53) (7,04) (1,47) Adj. R-squared 0,02 0,77 0,03 0,79 0,13 0,88 0,08 0,87 0,15 0,75

GER

USA CAN JPN UK

(44)

"

(

(.

& 4 7

USA -800 -600 -400 -200 0 200 400 600

1960 1965 1970 1975 1980 1985 1990 1995

CA CA_OT CAN -600 -400 -200 0 200 400 600 800

1960 1965 1970 1975 1980 1985 1990 1995

CA CA_OT JP N -80000 -60000 -40000 -20000 0 20000 40000 60000 80000

1960 1965 1970 1975 1980 1985 1990 1995

CA CA_OT UK -6000 -4000 -2000 0 2000 4000

1960 1965 1970 1975 1980 1985 1990 1995

CA CA_OT GER -1500 -1000 -500 0 500 1000 1500 2000

1960 1965 1970 1975 1980 1985 1990 1995

CA CA_OT IT A -1200000 -800000 -400000 0 400000 800000 1200000

1960 1965 1970 1975 1980 1985 1990 1995

CA CA_OT F RA -8000 -4000 0 4000 8000 12000

1960 1965 1970 1975 1980 1985 1990 1995

CA CA_OT

& 4& 7

USA -800 -600 -400 -200 0 200 400 600

1960 1965 1970 1975 1980 1985 1990 1995

CA CA_OT CAN -800 -400 0 400 800 1200

1960 1965 1970 1975 1980 1985 1990 1995

CA CA_OT JP N -120000 -80000 -40000 0 40000 80000

1960 1965 1970 1975 1980 1985 1990 1995

CA CA_OT UK -150 -100 -50 0 50 100 150 200

1960 1965 1970 1975 1980 1985 1990 1995

CA CA_OT GER -300 -200 -100 0 100 200 300 400 500

1960 1965 1970 1975 1980 1985 1990 1995

CA CA_OT

(45)

" +

,

T able18

θ lags (VAR) Granger causality (p-value) Wald Test Correlation(.)

Author CS G A CS O G A CS CS2 O G A CS2 O G A CS O G

USA 0.955 0.994 - 2 5 1 - 0.002 0.000 0.0001 0.0004 - 0.029 0.0041 1.19 - 0.84 0.932 0.998

CAN 0.928 0.96 - 1 4 1 - 0.899 0.668 0.21 0.40 - 0.0001 0.002 95 - -0.79 0.735 0.98

JPN 1.076 1.04 - 2 - 2 - 0.079 0.057 - 0.62 - 0.119 - 75 - 0.63 - 0.996

UK 0.806 0.98 - 1 - 2 - 0.231 0.034 - 0.68 - 0.000 - 464 - -0.99 - 0.70

GER 1.029 1.08 - 1 - 3 - 0.194 0.209 - 0.76 - 0.004 - 90 - -0.95 - 0.810

ITA 1.088 - - 1 - - - 0.495 0.369 - - - 0.000 - - - -0.97 -

-FRA 1.334 - 0.982 2 - - 1 0.295 0.109 - - 0.10 0.000 - - 0.314 -0.69 -

-USA q 0.945 1 0.018 0.013 0.0861 0.99

CAN q 0.923 1 0.415 0.162 0.1956 0.97

JPN q 1.079 3 0.001 0.000 0.0000 0.36

UK q 0.826 1 0.285 0.167 0.0009 -0.97

GER q 1.043 1 0.216 0.189 0.0001 -0.81

T 7 4;7 " ! 4CAtSCA∗t7;

7 : : 4+8: 75 :/ : 4:9. 75

+ " + 4?/75 4?L75 " W 4>???7;

7 " 4CAt ∆Zt7.

7 ! A ) 5 3 " 4>??L75

& & ! B T5 9D . 4 >V ! 75

, T 4 LV ! 75 B 9: ;

(46)

" / "

#

$

!

.4/7 A .4>7 " A A

     

∆Zt

∆Zt−1

CAt

CAt−1

     =      

a1 a2 b1 b2

1 0 0 0

c1 c2 d1 d2

0 0 1 0

     ×      

∆Zt−1

∆Zt−2

CAt−1

CAt−2

     +      

ε1t

0 ε2t

0      

" Xt=AXt−1+εt; 5 ! K !

K = α1 α2 β1 β2 =−h′(

A

1 +r)(I4− A 1 +r)

−1

∴_K ₌₋ _{1 0 0 0} ₍ 1

1 +r      

a1 a2 b1 b2

1 0 0 0

c1 c2 d1 d2

0 0 1 0

     )(      

1 0 0 0 0 1 0 0 0 0 1 0 0 0 0 1

     − 1 1 +r

     

a1 a2 b1 b2

1 0 0 0

c1 c2 d1 d2

0 0 1 0

     ) −1

' 5 " 5 β₁ N " ! K !

β1 = −

a1(1 +r)(b1 +b1r+b2)

φ −

a2(b1 +b1r+b2)

φ

−b1(1 +r)(1 + 2r+r

2₋_a₁₋_a₁_r₋_a₂₎

φ −

b2(1 + 2r+r2−a1−a1r−a2) φ

A φ = 1 + 2a1d1r+ 4r+a1d1r2−c1b2r−2c1b1r+a2d1r−d1−d2−a2−a1−c2b1r+ 6r2

−3d1r−2a2r−a2r2+a2d1+a2d2−c2b1−c2b2+a1d2r−c1b1r2+ 4r3+r4

−3d1r2−2rd2−3a1r−3a1r2+a1d1+a1d2−d1r3−r2d2−a1r3−c1b1−c1b2

- 5 !

(CA∗t − CA∗) =K(Xt− ) = α1 α2 β1 β2

     

∆Zt− ∆Z

∆Zt−1− ∆Z

CAt− CA

CAt−1− CA

     

) * B α1 = α2 = β2 = 0 β1 = 1; 5

" ! E 4 ; ;5 b1 = b2 = 07 β1 = 0; - 5

" " ! " .4/7 ; '

* " .4 7 " A C " A 5 " A ;

(47)

0 , , ! ' .4 7 A .4>75 " A A                  

∆Zt

;;; ;;;

∆Zt−p+1

CAt

;;; ;;;

CAt−p+1

                  =                 

a1 ap b1 bp

1 0 0 0 0 0 0 0

0 ;;; 0 0 0 0 0 0

0 0 1 0 0 0 0 0

c1 cp d1 dp

0 0 0 0 1 0 0 0

0 0 0 0 0 ;;; 0 0

0 0 0 0 0 0 1 0

                                  

∆Zt−1 ;;; ;;;

∆Zt−p

CAt−1 ;;; ;;;

CAt−p

                  +                 

ε1t

0

;;;

0 ε2t

0 ;;; 0                 

" Xt=AXt−1+εt; : !

5 " A b(L) = 05 3A

A= A11 0

A21 A22

A A11=

      

a1 ap

1 0 0 0

0 ;;; 0 0

0 0 1 0

      

SA21=

     

c1 cp

0 0 0 0

     

SA22=

      

d1 dp

1 0 0 0

0 ;;; 0 0

0 0 1 0

      

- 5 ! K A K =−h′_BC−1_{5 A} _B _C _E

B= (₁₊A_r) C = (I2p− ₁₊A_r); - B C

A C 4T9.27; : < 2 4>??175 5 ! "

3C A T9.2 3 4 8 A7;

4 C " 5 6 C = C11 C12

C21 C22

C11 C22 5 "7

% " C22 D≡C11−C12C22−1C21 C

C−1₌ D−1 −D−1C12C

−1 22

−C₂₂−1C21D−1 C22−1 I+C21D−1C12C22−1

' 5 5C12= 0 −D−1C12C22−1 35 C−1

" A BC−1 _T9.2 _;

5 ! K = α1 . . . αp β1 . . . βp ! 4 ! −h′7

E " 3 4BC−1₇₅ _β

i (i= 1, . . . , p) N * ;