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Year 2014, Volume: 3 Issue: 2, 207 - 232, 01.06.2014

Abstract

References

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  •  Chen, S.W. (2011) Current account deficits and sustainability: Evidence from the OECD countries, Economic Modelling, 28(4), 1455-1464.
  •  Chortareas, G. E., Kapetanios, G. and Uctum, M. (2004) An investigation of current account solvency in Latin America using nonlinear nonstationarity tests, Studies in Nonlinear Dynamics and Econometrics, 8(1), 1-17.
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  •  Diebold, F. and Nason, J. (1990) Nonparametric exchange rate predictions?, Journal of International Economics, 28, 315-328.
  •  Dornbusch, R. (2001) A primer on emerging market crises, National Bureau of Economic Research Working Paper, No. 8326.
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Modelling and Forecasting of Turkey Current Account Imbalance with Threshold Autoregressive Models

Year 2014, Volume: 3 Issue: 2, 207 - 232, 01.06.2014

Abstract

The increase in number of countries with current account deficit in recent years, and the emergence of studies analyzing whether these deficits make the economies more vulnerable to external shocks draws attention to current account imbalances. In addition, the significant effect of current account balance on macroeconomic policies requires building econometric models for the mentioned series and making forecast. However, it is seen that the empirical studies on current account balance for Turkey are based on linearity hypothesis and linear models. Moreover in these studies, the possibility of this series can be created with the nonlinear process has been ignored. In this paper it is assumed that if the current account series is nonlinear, then it can be adequately described by a TAR family model. In the case of this series is not linear, the aim is to choose appropriate TAR model and to make out-of-sample forecasts. The findings of this study can be outlined as follows: over the period 1998:01 to 2008:09, the share of current account balance to GDP is nonlinear; the model which best captures the nonlinearity is LSTAR.

References

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  •  Hashemzadeh, N. and Wilson, L. (2006) The dynamics of current account and budget deficits in selected countries if the Middle East and North Africa, International Research Journal of Finance and Economics, 5, 112-129.
  •  Horne, J. (2001) The current account debate in Australia: changing policy perspectives, Macquarie University, Department of Economics Research Papers, No. 0111.
  •  Howard, D. H. (1989) Implication of the U.S. current account deficit, The Journal of Economic Perspectives, 3(4), 153-165. Hudson, S. and Stennett, R. (2003) Current account sustainability in Jamaica, Bank of Jamaica, Working Paper, No: 02111.
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  •  Lee, J. and Chinn, M. D. (2006) Current account and real exchange rate dynamics in the G7 countries, Journal of International Money and Finance, 25, 257-274.
  •  (2009) The empirical analysis of the effects of economic growth and exchange rate on current account deficit: Romania and Turkey samples, Journal of Applied Quantitative Methods, 4(1), 69-81.
  •  Luginbuhl, R. and De Vos, A. (2003) Seasonality and Markov switching in an unobserved component time series model, Empirical Economics, 28, 365-386.
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  • Matsubayashi, Y. (2005) Are US current account deficits unsustainable? Testing for the private and government intertemporal budget constraints, Japan and the World Economy , 17, 223-237.
  • Middendorf, T. and Schmidt, T. (2004) Characterizing movements of the U.S. current account deficit, Discussion Paper, Rheinisch-Westfälisches Institut für
  • Wirtschaftsforschung , No. 0024.
  • Milesi-Ferretti, G. M. and Razin, A. (1996) Sustainability of persistent current account deficits, National Bureau of Economic Research Working Paper, No. 54
  •  Mir, A. M. and Osborn, D. R. (2004) Seasonal adjustment and the detection of business cycle phases, European Central Bank, Working Paper, No. 357.
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Details

Journal Section Articles
Authors

İşıl Akgül This is me

Selin Özdemir This is me

Publication Date June 1, 2014
Published in Issue Year 2014 Volume: 3 Issue: 2

Cite

APA Akgül İ., & Özdemir, S. (2014). Modelling and Forecasting of Turkey Current Account Imbalance with Threshold Autoregressive Models. Journal of Business Economics and Finance, 3(2), 207-232.

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