美日跨期經常帳動態之非線性分析

VSTR Analysis of the Intertemporal Current Account Dynamics between the U.S. and Japan

翁銘章 ； 高昆照

《亞太經濟管理評論》 9卷2期 (2006/03) Pp. 43-60

https://doi.org/10.30087/APEMR.200603.0003

摘要

本文主要目的在於應用經常帳現值估計模型，並採用非線性實證模型加以驗證，藉以探討美國與日本自1970至2003年以來，其經濟成長和經常帳之反向關係。經常帳現值估計模型推論目前的經常帳盈餘（赤字）為預期未來各期國家現金流量變動量減少（增加）的折現值加總之結果，並以此來估計經常帳預測值，同時將其與經常帳之實際值相比較，藉以檢視經常帳偏離平衡路徑之程度。然而，過往實證研究皆是在線性架構下進行檢定，倘若時間序列資料之變動呈現非線性的調整特性，則傳統的線性模型將難以捕捉其動態調整行為，是以本研究將採用Camacho(2004)所發展之VSTR(Vector Smooth Transition Regression)模型，對資料進行檢定，以決定探取線性或非線性模型來進行分析和預測。實證結果發現，相較於過往採用之傳統線性模型，美國與日本之經常帳餘額皆適用於非線性模型來配適。

關鍵字

經常帳 ； 非線性 ； VSTAR模型

並列摘要

The main purpose of this study is to apply the present-value model of current account and examine the theoretical relationships by adopting the nonlinear empirical regression to discuss the opposite relationship between economic growth and current account in the U.S. and Japan from 1970 to 2003. The present-value model of current account concludes that the balance of current account is equal to the negative sum of the discounted value of future expected changes in national cash flow. According to the specification of theoretical model, we then estimate the theoretical prediction of the true current accounts and test if the US or Japan stays in the optimization path. However, while most of the existing studies went through hypotheses testing under the linear framework, it is difficult to capture the character of dynamic adjustment behavior if the data generating process was characterized with nonlinear adjustment. Therefore, our study employ the VSTR (Vector Smooth Transition Regression) model developed by Camacho (2004), to proceed the hypotheses testing and then choose the suitable model of linear or nonlinear regressions. According to our empirical findings, it suggests that VSTR nonlinear estimation is better than traditional linear VAR (Vector Autoregression) estimation that appeared in most of existing literatures for investigating the dynamic behaviors of current accounts in the US and Japan.

並列關鍵字

Current Account ； Nonlinear ； VSTAR Model

參考文獻

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