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Table of Contents
Preface; Acknowledgments; Contents; 1 Introduction; 1.1 Motivation and aim of the study; 1.2 Preliminaries: defining the main concepts; 1.2.1 External imbalances; 1.2.2 Sustainability concepts; 1.3 Outline of the study; 2 Digression on balance of payments accounting identities; 2.1 Accounting identity based on trade balance and income balances; 2.2 Accounting identity based on income and absorption; 2.3 Accounting identity based on saving and investment; 2.4 Combining accounting identities; 3 Intertemporal budget constraint as a sustainability criterion.
3.1 Long-run budget constraint in the intertemporal approach to the current account3.1.1 Description of the model economy; 3.1.2 Single-period budget constraint; 3.1.3 Intertemporal budget constraint in the deterministic setting; 3.1.4 Specific intertemporal budget constraint in the stochastic setting; 3.2 Intertemporal budget constraint in a general-equilibrium model; 3.2.1 Characteristics of the model economy and the representative agent's maximization problem; 3.2.2 General intertemporal budget constraint.
3.2.3 Comparison of the general intertemporal budget constraint to the specific intertemporal budget constraint3.3 Discussion of the theoretical framework; 3.4 Conclusion; Appendix to Chapter 3; 3.A Appendix to subsection 3.1.3; 3.A.1 Recursive substitution method; 3.A.2 Telescoping Argument; 3.B Appendix to subsection 3.2.2; 4 Empirical implications of the intertemporal budget constraint; 4.1 Sufficient conditions for the strong notion of sustainability; 4.1.1 Stationarity of the NIIP and the trade balance; 4.1.2 First-difference-stationarity of the NIIP.
4.1.3 Cointegration between current account components4.1.4 Conclusion; 4.2 Sufficient conditions for the strong and weak notions of sustainability; 4.2.1 Difference-stationarity of the NIIP of any order; 4.2.2 Responsiveness of the trade account to the NIIP; 4.3 Conclusion; Appendix to Chapter 4; 4.A Appendix to subsubsection 4.2.2.1; 4.B Appendix to subsubsection 4.2.2.2; 5 Empirical studies on the validity of the intertemporal budget constraint; 5.1 Testing for stationarity of the NIIP and the current account; 5.1.1 Overview; 5.1.2 Linear univariate unit root tests.
5.1.3 Linear panel-based unit root tests5.1.4 Nonlinear unit root tests; 5.2 Testing for cointegration between the components of the current account; 5.2.1 Overview; 5.2.2 Two-step Engle-Granger methodology; 5.2.3 Error-correction model tests; 5.2.4 Autoregressive distributed lag bounds test; 5.2.5 Gregory-Hansen test with structural breaks; 5.2.6 Johansen methodology; 5.2.7 Panel cointegration tests; 5.3 Testing for the responsiveness of the trade account to the NIIP; 5.3.1 Wickens and Uctum's (1993) approach; 5.3.2 Multicointegration approach; 5.3.3 Bohn's (2007) approach; 5.4 Conclusion.
3.1 Long-run budget constraint in the intertemporal approach to the current account3.1.1 Description of the model economy; 3.1.2 Single-period budget constraint; 3.1.3 Intertemporal budget constraint in the deterministic setting; 3.1.4 Specific intertemporal budget constraint in the stochastic setting; 3.2 Intertemporal budget constraint in a general-equilibrium model; 3.2.1 Characteristics of the model economy and the representative agent's maximization problem; 3.2.2 General intertemporal budget constraint.
3.2.3 Comparison of the general intertemporal budget constraint to the specific intertemporal budget constraint3.3 Discussion of the theoretical framework; 3.4 Conclusion; Appendix to Chapter 3; 3.A Appendix to subsection 3.1.3; 3.A.1 Recursive substitution method; 3.A.2 Telescoping Argument; 3.B Appendix to subsection 3.2.2; 4 Empirical implications of the intertemporal budget constraint; 4.1 Sufficient conditions for the strong notion of sustainability; 4.1.1 Stationarity of the NIIP and the trade balance; 4.1.2 First-difference-stationarity of the NIIP.
4.1.3 Cointegration between current account components4.1.4 Conclusion; 4.2 Sufficient conditions for the strong and weak notions of sustainability; 4.2.1 Difference-stationarity of the NIIP of any order; 4.2.2 Responsiveness of the trade account to the NIIP; 4.3 Conclusion; Appendix to Chapter 4; 4.A Appendix to subsubsection 4.2.2.1; 4.B Appendix to subsubsection 4.2.2.2; 5 Empirical studies on the validity of the intertemporal budget constraint; 5.1 Testing for stationarity of the NIIP and the current account; 5.1.1 Overview; 5.1.2 Linear univariate unit root tests.
5.1.3 Linear panel-based unit root tests5.1.4 Nonlinear unit root tests; 5.2 Testing for cointegration between the components of the current account; 5.2.1 Overview; 5.2.2 Two-step Engle-Granger methodology; 5.2.3 Error-correction model tests; 5.2.4 Autoregressive distributed lag bounds test; 5.2.5 Gregory-Hansen test with structural breaks; 5.2.6 Johansen methodology; 5.2.7 Panel cointegration tests; 5.3 Testing for the responsiveness of the trade account to the NIIP; 5.3.1 Wickens and Uctum's (1993) approach; 5.3.2 Multicointegration approach; 5.3.3 Bohn's (2007) approach; 5.4 Conclusion.