Sustainability Of Current Account Deficits In Fragile Five: Evidence From Non-Linear Unit Root Tests

Öz

The debate on the sustainability of current account deficit is one of the unresolved matters among economist for a long time. The main purpose of this study is to analyze the issue of sustainability of current account deficits for fragile five countries by using nonlinear alternative unit root tests. The findings obtained from KSS and AESTAR tests revealed that current account deficit is sustainable in countries except for Brazil. This result is important in that the central banks in the fragile five countries, except Brazil, do not face a restriction caused by current account deficit in inflation target regime

Anahtar Kelimeler

• Fragile five, current account deficit, intertemporal current account model, KSS test, AESTAR test

Kırılgan Beşlide Cari Açıkların Sürdürülebilirliği: Doğrusal Olmayan Birim Kök Testleri İle Kanıtlar

Öz

Cari açıkların sürdürülebilirliği tartışmaları, öteden beri iktisatçılar arasında görüş birliğine varılamamış önemli konulardandır. Bu çalışmanın temel amacı, doğrusal olmayan alternatif birim kök testlerini kullanarak, cari açıkların sürdürülebilirliği sorununu kırılgan beşli ülkeleri için analiz etmektir. Çalışmada kullanılan KSS ve AESTAR testlerinden elde edilen bulgular, Brezilya dışındaki diğer ülkelerde cari açıkların sürdürülebilir olduğunu ortaya koymaktadır. Bu sonuç, kırılgan beşli ülkelerinde Brezilya hariç, merkez bankalarının enflasyon hedeflemesi rejiminde cari açık kaynaklı bir kısıtlama ile karşı karşıya olmadıklarını göstermesi bakımından önemlidir

Anahtar Kelimeler

• Kırılgan beşli, cari açık, dönemler arası cari hesap modeli, KSS testi, AESTAR testi

Kaynakça

1. Andreosso B. and Callaghan O. (2007). “Analysis of the Current Account Position of Four Asian Countries Before the 1997 Crisis”, Pasific Economic Review, Vol:12, No:1, p.47-61.
2. Anorou E. and Ramchander S. (1998). “Current Account and Fiscal Deficits: Evidence from Five Developing Economies of Asia”, Journal of Asian Economics, Vol. 9, No:3, p.487-501.
3. Apergis, N., Katrakilidis, K.P. and Tabakis, N.M., (2000). “Current Account Deficit Sustainability: The Case of Greece”, Applied Economics Letters, Vol:7, p.599-603.
4. Bergsten, C.F., (2002). “The Dolar and The US Economy, Testonomy Before The Commiteeon Banking, Housing and Urban Affairs”, Washington, DC: United States Senate.
5. Baharumshah, A. Z., Lau E. and Fountas S., (2003). “On The Sustainability Of Current Account Deficits: Evidence From Four ASEAN Countires”, Journal Of Asian Economics, Vol:14, p.465-487.
6. Bordo, M., Eichhengreen, B. and Martinez-Peria, M. S., (2002). “Is the Crises Problem Growing More Severe?”, Economic Policy, Vol:16, p.53-75.
7. Buiter, W. H., (1981). “Time Preference and Internatiınal Lending and Borrowing in an Overlapping-Generations Model”, Journal of Political Economy, 89 (4).
8. Campa, J.M. and Gavilan, A., (2011). “Current Accounts in the Euro Area: An Intertemporal Approach”, Journal of International Money and Finance, Vol:30, p.228-295.

9. Chen, S., (2011a). “Current Account Deficits and Sustainability: Evidence from The OECD Countries”, Economic Modelling, Vol:28, p.1455-1464.
10. Chen, S., (2011b). “Are Current Account Deficits Really Sustainable in the G-7 Countries?”, Japan and the World Economy, Vol:23, p.190-201.
11. Chen-Yin K., (2016). “Sustainability of Current Accounts: evidence from the quantile unit-root test”, Applied Economics Letters, 23:10, 747-755.
12. Chong, T. T. L., Hinich, M. J., Liew, V. K. S., and Lim, K. P., (2008). “Time Series Test of Nonlinear Convergence and Transitional Dynamics”, Economics Letters, Vol:100, No:3, p.337-339.
13. Christopoulos, D.K. and Leon-Ledesma, M., (2010). “Current Account Sustainability in The US: What Did We Really Know About It?”, Journal of International Money and Finance, Vol:29, p.442-459.
14. Corsetti, G., Pesenti P. and Roubini N., (1999). “Paper Tigers? A model of the Asian Crisis”, European Economic Review, Vol:43, No:7, p.1211-1236.
15. Edwards, S., (2001). “Does the Current Account Matter?”, NBER Working Paper, No:8275, p.1-38.
16. Edwards, S., (2004). “Thirty Years of Current Account Imbalances, Current Account Reversals and Sudden Stops”, NBER Working Paper, No:10276, January, p.1-49.
17. Eğilmez, M., (2013). “Kırılgan Beşli”, http://www. mahfiegilmez.com/2013/11/krlganbesli.html 25.04.2015.
18. Kırılgan Beşlide Cari Açıkların Sürdürülebilirliği: Doğrusal Olmayan Birim Kök Testleri İle Kanıtlar 133
19. Eğilmez, M., (2014). “Türkiye ve Benzer Ekonomiler”,http://www.mahfiegilmez.com/2014/02/ turkiye-ve-benzer-ekonomiler.html 25.04.2015.
20. Erşin F., (2014). “Yükselen Ekonomiler ve Kırılgan Beşli: Türkiye Üzerine Bir Değerlendirme”, Bankacılık ve Finansal Araştırmalar Dergisi (BAFAD), Sayı:1, s.43-51.
21. Fountas, S. and Wu J. L., (1999). “Are the US Current Account Deficits Really Sustainable?”, International Economic Journal, Vol:13, No:3, p.51-58.
22. Freund C. L., (2005). “Current Account Adjustment in Industrialized Countries”, Journal of International Money and Finance, Vol:24, p.1278-1298.
23. Gülcan, Y. ve Önel G., (2008). “The Sustainability of Turkish Currenct Account Deficits with Structural Breaks” , http://fbe.emu.edu.tr/journal/doc/11-12/09. pdf, p.1-13, 10.01.2015.
24. Hakkio, C.S. and Rush, M., (1991). “Cointegration: How Short is the Long Run?”, Journal of International Money and Finance, Vol:10, No:4, p.571-581.
25. Hoffman M., (2003). “International Macroeconomic Fluctuations and the Current Account”, Canadian Journal of Economics, Vol:36, No:2, p.401-420.
26. Holmes M. J., (2006a). “Do Latin American Countries Have an Incentive to Default on Their External Debts?”, Emerging Markets Finance and Trade, Vol:42, No:1, p.33- 49.
27. Holmes M. J., (2006b). “How Sustainable are OECD Current Account Balances in The Long Run?”, The Manchester School, Vol:74, No:5, p.626-643.
28. Husted, S., (1992). “The Emerging U.S. Current Account Deficit in the 1980s: A Cointegration Analysis”, The Review of Economics and Statistics, Vol:74, No:1, p.159- 166.
29. IIF (2014a). Global Economic Monitor, April 2014.
30. IIF(2014b). Capital Flows to Emerging Markets, May 2014.
31. International Monetary Fund (IMF), (1998). “Financial Crises: Characteristics and Indicators of Vulnerability”, Washington, DC.
32. İnsel, A. and Kayıkçi, F., (2012). “Evaluation of Sustainability of Current Account Deficits in Turkey,”Modern Economy, Vol:3, No:1, p.43-50.
33. Kim, B., Min, H., Hwang, Y. and McDonald, J., (2009). “Are Asian Countries Current Accounts Sustainable? Deficit, Even When Associated with High Investment, Are not Costless”, Journal of Policy Modelling, Vol: 31, p.163-179.
34. Kapetanios, G., Shin, S. and Snell, Y., (2003). “Testing for a Unit Root in the Nonlinear Star Framework”, Journal of Econometrics, Vol:112, No:2, p.359-379.
35. Leybourne, S., Newbold, P. and Vougas, D., (1998). “Unit Roots and Smooth Transitions”, Journal of Time Series Analysis. Vol:19, p.83-97.
36. Lord, J., (2013). “EM currencies: the fragile five, FX pulse”, Morgan Stanley Research (August).
37. Luukkonen, R., Saikkonen, P. and Terasvirta, T., (1988). ‘‘Testing Linearity Against Smooth Transition Autoregressive Models’’, Biometrika, Vol: 75, p.491-499.
38. Mann, C. L., (2002). “Perspectives on The U.S. Current Account Deficit and Sustainability”, The Journal of Economic Perspectives, Vol:16, No:3, p.131-152.
39. Milesi-Ferretti, M. and Razin A., (1996a). “Current Account Sustainability”, Princeton Studies In International Finance, No:81, International Fınance Section, Department of Economics, Princenton University, Nw-Jersey.
40. Milesi-Ferretti, M. and Razin A., (1996b). “Sustainability of Persistent Current Account Deficits”, NBER Working Paper, No:5467.
41. Milesi-Ferretti, M. and Razin A., (1996c). “Current Account Sustainability: Selected East Asian and Latin American Experiences”, NBER Working Paper Series, No:5791, p.1-61.
42. Milesi-Ferretti, M. and Razin A., (1998). “Sharp Reductions in Current Account Deficits: An Empirical Analysis,” European Economic Review, Vol:42, p.897-908.
43. Nelson, C. R., ve Plosser, C. R., (1982). “Trends and random walks in macroeconomic time series: Some evidence and implications”, Journal of Monetary Economics, 10(2): 139-162.
44. Obstfeld, M., (1982). “Aggregate Spending and Terms of Trade: Is There a Laursen-Metzler Effect?”, The Quarterly Journal of Economics: 97 (2).
45. Obstfeld, M. and Rogoff K., (1996). Foundations of International Macroeconomics, MIT Press, Boston.
46. Rafiq S., (2010). “The Current Account and The Real Exchange Rate: Some Empirical Estimates from a TimeVarying Framework”, Structural Change and Economic Dynamics, Fiscal Stance, Vol:21, p.276-290.
47. Raybaudi, M., Sola M. and Spagnolo F., (2004). “Red Signals: Current Account Deficits And Sustainability”, Economics Letters, Vol:84, p.217-223.
48. Roubini, N. and Watchel P. (1998). “Current Account Sustainability in Transition Economies” NBER Working Paper Series, Vol:6468, p.1-72.
49. Sachs, J., (1981). “The Current Account and Macroeconomic Adjustment in the 1970s”, Bookings Papers on Economic Activity, Vol:1, p. 201-268.
50. Semler, W. ve Tahri I. (2017). “Current Account Imbalances: A new approach to assess external debt sustainability” Economic Modelling, 62: 161-170. Reşat CEYLAN 134
51. Seyidoğlu, H. (2001). Uluslararası İktisat: Teori ve Uygulama.14. Baskı, İstanbul.
52. Sollis, R., (2004). “Asymetric Adjustment and Smooth Transitions: Acombination of Some Unit Root Tests”, Journal of Time Series Analysis. Vol:25, No:3, p.409-417.
53. Sollis, R., (2009). “A Simple Unit Root Test Against Asymmetric STAR Nonlinearity with an Application to Real Exchange Rates in Nordic Countries”, Economic Modelling, Vol:26, p.118-125.
54. Svensson E. L. and Razin A., (1983). “The Terms of Trade and The Current Account: The Harberger-LaursenMetzler Effect”, The Journal of Political Economy, Vol:91, No:1, p.97-125.
55. Takeuchi, F., (2010). “US External Debt Sustainability Revisited: Bayesian Analysis of Extended Markov Switching Unit Root Test”, Japan and The World Economy, Vol:23, p.96-106.
56. Trehan, B. and Walsh, C., (1991). “Testing Intertemporal Budget Constraints: Theory and Applications to US Federal Budget Deficits and Current Account Deficits”, Journal of Money, Credit and Banking, Vol:26, No:2, p.206-223.
57. Yamak, R. ve Korkmaz A., (2007). “Türk Cari İşlemler Açığı Sürdürülebilir Mi? Ekonometrik Bir Yaklaşım”, Bankacılar Dergisi, Sayı:60, s.17-32.
58. Uygur, E., (2004). “Türkiye’de Cari Açık Tartışmaları”, İktisat, İşletme ve Finans Dergisi, Yıl:19, Eylül, s.5-17.
59. Zanghieri P., (2004). “Current Accounts Dynamics in New EU Members: Sustainabilty and Policy Issues”, CEPII Working Papers, No:7.
60. Wu, L., (2000). “Mean Reversion of the Current Account: Evidence from the Panel Data Unit-Rout Test”, Economics Letters, Vol:66, p.213-222.
61. Wu, L., Chen L. and Lee H., (2001). “Are Current Account Deficits Sustainable? Evidence From Panel Cointegration”, Economic Letters, 72, p.219-224.