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Please use this identifier to cite or link to this item: http://hdl.handle.net/10119/10683

Title: US External debt sustainability revisited: Bayesian analysis of extended Markov switching unit root test
Authors: Takeuchi, Fumihide
Keywords: US external debt sustainability
Markov switching unit root test
Issue Date: 2010-01-04
Publisher: Elsevier
Magazine name: Japan and the World Economy
Volume: 22
Number: 2
Start page: 98
End page: 106
DOI: 10.1016/j.japwor.2009.12.001
Abstract: 米国の対外債務の維持可能性について、拡張型のマルコフ・スイッチング(MS)単位根検定という手法を使い検討した。定常、非定常の異なる局面間の遷移確率を従来一般的な固定型から可変型に変え、さらに各時点の状態確率が、対外収支と理論的にも密接な関係を持つ実質為替レートの影響を受けるというモデルになっている。同国の対外債務GDP比は歴史的にみてまだ比較的高い水準にあるが、維持可能性確率が予想外に高い水準にあることがわかった。 : The sustainability of US external debt, which has been an issue of global concern, is analyzed using a Markov switching (MS) unit root test applied to the flow of debt, i.e., the current account. The first to apply the MS unit root test to the issue of US external debt in order to examine local stationarity and global stationarity were Raybaudi et al. (2004). This paper introduces an extended MS unit root test where the transition probability is time-varying rather than fixed, as is usually the case, and the change of probability is explained by the real exchange rate, which theory suggests has a close relationship with the external balance. The extended MS unit root test calculated by the Markov Chain Monte Carlo (MCMC) method provides us with new insights on the issue of US external debt in recent years, suggesting that even though the debt/current account–GDP ratio remains relatively high, the probability of stationarity (sustainability) is unexpectedly high when recent US dollar depreciation is taken into account.
Rights: NOTICE: This is the author's version of a work accepted for publication by Elsevier. Fumihide Takeuchi, Japan and the World Economy, 22(2), 2010, 98-106, http://dx.doi.org/10.1016/j.japwor.2009.12.001
URI: http://hdl.handle.net/10119/10683
Material Type: publisher
Appears in Collections:z5-10-1. 雑誌掲載論文 (Journal Articles)

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