Multicointegration analysis of the sustainability of foreign debt


Journal Article

Using the multicointegration framework suggested by Granger and Lee (1989, 1990) and developed in Engsted, Gonzalo and Haldrup (1997) and Haldrup (1997) this study explores the long-run relationship between components of the U.S. current account during two periods, 1947:i-1973:iu and 1974:i-1994:ii. The paper develops the concept of sustainability of external imbalances in an environment that is non-deterministic and characterized by uncertainty. The sustainability criteria are related to multicointegration. Evidence consistent with sustainable intertemporal external budgeting in the fixed exchange rate era is presented. In the post Bretton Woods period there is no support for sustainable external budgeting. Policy issues and factors that affect sustainability are discussed.

Full Text

Duke Authors

Cited Authors

  • Leachman, LL; Francis, BB

Published Date

  • January 1, 2000

Published In

Volume / Issue

  • 22 / 2

Start / End Page

  • 207 - 227

International Standard Serial Number (ISSN)

  • 0164-0704

Digital Object Identifier (DOI)

  • 10.1016/S0164-0704(00)00129-4

Citation Source

  • Scopus