The Role of Stock Markets in Current Account Dynamics: A Time-Series Approach

2004 ◽  
Author(s):  
Benoit Mercereau
Keyword(s):  
Time Series ◽  
Current Account ◽  
Stock Markets ◽  
Current Account Dynamics ◽  
Time Series Approach

scholarly journals The Role of Assumptions in Ohlson Model Performance: Lessons for Improving Equity-Value Modeling

Mathematics ◽  
2021 ◽  
Vol 9 (5) ◽  
pp. 513
Author(s):  
Olga Fullana ◽  
Mariano González ◽  
David Toscano
Keyword(s):  
Time Series ◽  
Model Performance ◽  
Listed Firms ◽  
Valuation Model ◽  
Residual Income Valuation ◽  
Equity Value ◽  
Short Run ◽  
Time Series Approach ◽  
Linear Information

In this paper, we test whether the short-run econometric conditions for the basic assumptions of the Ohlson valuation model hold, and then we relate these results with the fulfillment of the short-run econometric conditions for this model to be effective. Better future modeling motivated us to analyze to what extent the assumptions involved in this seminal model are not good enough approximations to solve the firm valuation problem, causing poor model performance. The model is based on the well-known dividend discount model and the residual income valuation model, and it adds a linear information model, which is a time series model by nature. Therefore, we adopt the time series approach. In the presence of non-stationary variables, we focus our research on US-listed firms for which more than forty years of data with the required cointegration properties to use error correction models are available. The results show that the clean surplus relation assumption has no impact on model performance, while the unbiased accounting property assumption has an important effect on it. The results also emphasize the uselessness of forcing valuation models to match the value displacement property of dividends.

Current Account Dynamics: The Role of Real Shocks

1989 ◽  
Vol 89 (80) ◽  
pp. i
Author(s):  
International Monetary Fund
Keyword(s):  
Current Account ◽  
Current Account Dynamics ◽  
Real Shocks

scholarly journals Analisis Keseimbangan Eksternal Indonesia: Pendekatan Intertemporal Model of Current Account

2013 ◽  
Vol 13 (2) ◽  
pp. 196-213
Author(s):  
Nurmalindah Nurmalindah ◽  
Sugiharso Safuan
Keyword(s):  
Time Series ◽  
Current Account ◽  
External Debt ◽  
Cointegration Test ◽  
Current Account Balance ◽  
External Balance ◽  
Intertemporal Model ◽  
Model Approach

Current account balance has an important role of measuring the direction and the amount of international loan. This study analyzes Indonesian external balance due to its solvency condition of external debt and sustainability of current account balance during 1970{2007 by intertemporal-model approach of current account. The results of cointegration test and bivariate autoregressive (VAR) indicate that solvency condition holds, but not for the sustainability condition of current account balance. It means that Indonesia has capability to payback its external debt.AbstrakDalam hubungannya dengan utang luar negeri, transaksi berjalan mempunyai peranan penting karena mengukur arah dan besarnya pinjaman internasional. Tulisan ini menganalisis mengenai keseimbangan eksternal Indonesia dengan melihat pada solvency condition atas utang luar negeri dan sustainabilitas neraca transaksi berjalan dengan pendekatan intertemporal model of current account. Data yang digunakan adalah time series tahunan periode 1970--2007. Hasil estimasi menunjukkan bahwa solvency condition Indonesia terpenuhi, artinya Indonesia berada dalam kemampuan membayar kembali utangnya, namun kondisi sustainabilitas neraca transaksi berjalan tidak tercapai.

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