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Chocs spécifiques à l'investissement et balances extérieures dans une petite économie ouverte.
Author(s) -
Letendre MarcAndré,
Luo Daqing
Publication year - 2007
Publication title -
canadian journal of economics/revue canadienne d'économique
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.773
H-Index - 69
eISSN - 1540-5982
pISSN - 0008-4085
DOI - 10.1111/j.1365-2966.2007.00425.x
Subject(s) - economics , small open economy , balance of trade , investment (military) , business cycle , productivity , econometrics , total factor productivity , variance (accounting) , government spending , autocorrelation , monetary economics , open economy , sample (material) , balance (ability) , macroeconomics , monetary policy , statistics , exchange rate , market economy , medicine , chemistry , mathematics , accounting , physical medicine and rehabilitation , chromatography , politics , political science , law , welfare
. We set up a standard small open economy business cycle model driven by government spending shocks, neutral productivity (TFP) shocks, and investment‐specific shocks. The model is calibrated to quarterly Canadian data and its predicted moments and sample paths are compared with their Canadian counterparts. We find that the model captures the dynamics in investment and in the trade balance better than special cases of the model where either one of the productivity shocks is omitted. More specifically, the model matches the variance of the trade balance‐output ratio, its correlation with output and its autocorrelation. It also matches the output‐investment correlation.