Please use this identifier to cite or link to this item:
http://dspace.mediu.edu.my:8181/xmlui/handle/10419/17814| Title: | Consumer preferences and the reliability of Euler equation tests of capital mobility : some simulation-based evidence |
| Keywords: | F36 F41 F47 E32 G15 ddc:330 international capital mobility Euler equation tests consumption smoothing new open economy macro models Internationale Kapitalmobilität Euler-Gleichung Zeitpräferenz Zeitreihenanalyse Neue Makroökonomik offener Volkswirtschaften Simulation Schaetzung Theorie Welt |
| Issue Date: | 16-Oct-2013 |
| Publisher: | Kiel Institute for the World Economy (IfW) Kiel |
| Description: | The globalization of international financial markets has renewed interest in the measurement of capital mobility. Consumption-based tests such as the Euler equation test are commonly used. These tests, however, are derived under restrictive assumptions on consumer behavior. In this paper, we ask how the Euler equation test of capital mobility performs if these restrictive assumptions are relaxed. We simulate a dynamic general equilibrium two-country model under alternative assumptions regarding consumer preferences and use the simulated time series to test for the degree of capital mobility. We find that the Euler equation test discriminates fairly well between high and low capital mobility regimes even if the restrictive assumptions on consumer behavior used to derive the test are not satisfied. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/17814 |
| Other Identifiers: | http://hdl.handle.net/10419/17814 ppn:356926850 |
| Appears in Collections: | EconStor |
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.