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CURRENT ACCOUNT SUSTAINABILITY IN EMERGING MARKETS: AN ANALYSIS WITH LINEAR AND NONLINEAR PANEL UNIT ROOT TESTS

Yıl 2014, Cilt 28, Sayı 4, 251 - 264, 13.08.2014

Öz

This study examines the sustainability of current account deficits of eight emerging market economies, namely Brazil, Colombia, Czech Republic, Hungary, Indonesia, Peru, Russia and South Africa, over the period of 1996Q1-2009Q4 by employing linear and nonlinear panel unit root tests along with sequential panel selection method. While the results of the linear panel unit root test give evidence of the stationarity for the current accounts of Russia and Indonesia, the nonlinear panel unit root test indicates that only the current account of Indonesia is stationary. In this respect, the main contribution of the paper to related literature is to indicate the importance of distinguishing the linear and nonlinear adjustment processes in examining the current account sustainability.

Kaynakça

  • Apergis N., Katrakilidis, K.P. and Tabakis, N.M. (2000), “Current account deficit sustainability: the case of Greece”, Applied Economics Letters, 7(9), pp. 599–603.
  • Aristovnik, A. (2006), “How sustainable are current account deficits in selected transition economies?”, Journal of Economics, 1(55), pp. 19-39.
  • Arize A.C. (2002), “Imports and exports in 50 countries: tests of cointegration and structural breaks”, International Review of Economics and Finance, 11(1), pp. 101–115.
  • Baharumshah, A. Z., Lau, E. and Fountas, S. (2003), “On the sustainability of current account deficits: evidence from four ASEAN countries”, Journal of Asian Economics, 14, pp. 465-487.
  • Chen, S. W. (2010), “Testing for the Sustainability of the Current Account Deficit in Four Industrial Countries: A Revisitation”, Economics Bulletin, 30(2), pp. 1474-1495.
  • Chortareas, G., Kapetanios, G. and Uctum, M. (2004), “An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests”, Studies in Nonlinear Dynamics and Econometrics, 8(1), pp. 1-17.
  • Chortareas, G. and Kapetanios, G. (2009), “Getting PPP right: identifying mean-reverting real exchange rates in panels”, Journal of Banking and Finance, 33, pp. 390–404.
  • Christopoulos, D. and Leon-Ledesma, M. A. (2010), “Current account sustainability in the US: What did we really know about it?”, Journal of International Money and Finance, 29, pp. 442–459.
  • Chu, H. P., Chang, T., Chang, H. L., Su, C.W., Yuan, Y. (2007), “Mean reversion in the current account of forty-eight African countries: evidence from the Panel SURADF test”, Physica A, 384, pp. 485–492. Clarida, R.H., Goretti, M. and Taylor, M.P. (2007), Are There Thresholds of Current Account Adjustment in the G7?, in G7 Current Account Imbalances: Sustainability and Adjustment, Clarida, R.H (ed.), University of Chicago Press
  • Hamori, S. (2009), “The sustainability of trade accounts of the G-7 countries”, Applied Economics Letters, 16, pp. 1691-1694.
  • Herzer, D. and Nowak-Lehmann, F. (2006), “Is there a long-run relationship between exports and imports in Chile?”, Applied Economics Letters, 13(15), pp. 981-986.
  • Holman, J.A. (2001), “Is the Large US Current Account Deficit Sustainable?”, Economic Review, Federal Reserve Bank of Kansas City, 1, pp. 5-23.
  • Holmes, M. J. (2004), “Current Account Deficits In The Transition Economies”, Prague Economic Papers, 4, pp. 347–358.
  • Holmes, M. J., Otero, J. and Panagiotidis, T. (2010), “On the Stationarity of Current Account Deficits in the European Union”, Review of International Economics, 18(4), pp. 730-740.
  • Husted, S. (1992), “The Emerging US Current Account Deficit in the 1980s: A Cointegration Analysis”, The Review of Economic and Statistics, 74, pp. 159-1
  • Im, K. S., Peseran, M. H. and Shin, Y. (2003), “Testing for unit roots in heterogeneous panels”, Journal of Econometrics, 115, pp. 53–74.
  • Irandoust, M. and Ericsson, J. (2004), “Are imports and exports cointegrated? an international comparison”, Metroeconomica, 55, pp. 49-64.
  • Irandoust, M. and Sjöö, B. (2000), “The behaviour of the current account in response to unobservable and observable shocks”, International Economic Journal, 14(4), pp. 41–57.
  • Kalyoncu, H. (2006), “International intertemporal solvency in OECD countries: evidence from panel unit root”, Prague Economic Papers, 1, pp. 44-49. Kapetanios, G., Shin, Y. and Snell, A. (2003), “Testing for a unit root in the nonlinear STAR framework”, Journal of Econometrics, 112, pp. 359– 3
  • Kim, B. H., Min, H.G., Hwang, Y.S. and McDonald, J. A. (2009), “Are Asian countries' current accounts sustainable? Deficits, even when associated with high investment, are not costless”, Journal of Policy Modeling, 31(2), pp. 163-179.
  • Konya, L. (2009), “The sustainability of the current account in the Czech Republic, Hungary and Slovenia”, Empirical Economics, 36, pp. 3673
  • Landeau, S.A.S. (2002), “The Intertemporal Approach to the Current Account: Evidence for Chile”, Revista de Análisis Económico, 17(2), pp. 95-121 Lau, E. and Baharumshah, A. Z. (2005), “Mean-reverting behavior of current account in Asian countries”, Economics Letters, 87(3), pp. 367-371.
  • Lau, E., Baharumshah, A. Z. and Haw, C. T. (2006), “Current account: meanreverting or random walk behavior?”, Japan and the World Economy, 18, pp. 90–107.
  • Lee, C. F. (2010), “Testing for unemployment hysteresis in nonlinear heterogeneous panels: International evidence”, Economic Modelling, 27(5), pp. 1097-1102.
  • Milesi-Ferretti, G. M. and Razin, A. (1996), “Sustainability of Persistent Current Account Deficits”, International Journal of Financial Economics, 1(3), pp. 161-81.
  • Mishra, V., Smyth, R. and Tang, T.C. (2008), “Is the Balancing Item For Australia Sustainable? Evidence from A Threshold Autoregressive Model With An Autoregressive Unit Root”, Australian Economic Papers, 47(2), pp. 190-198.
  • Murthy, V. N. R. and Anoruo, E. (2009), “Are Per Capita Real GDP Series in African Countries Non-stationary or Non-linear? What does Empirical Evidence Reveal?”, Economics Bulletin, 29(4), pp. 2492-2504.
  • Narayan, P. K. and Narayan, S. (2005), “Are exports and imports cointegrated? Evidence from 22 least developed countries”, Applied Economics Letters,12, pp. 375-378.
  • Obstfeld, M. and Rogoff, K. (1995), The Intertemporal Approach to the Current Account”, in Handbook of International Economics III, G.M. Grossman and Rogoff, K. (ed.), Elsevier.
  • 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, 23(2), pp. 423-4
  • Uçar, N. and Omay, T. (2009), “Testing for unit root in nonlinear heterogeneous panels”, Economics Letters, 104, pp. 5-8.
  • Wu, J. L. (2000), “Mean reversion of the current account: evidence from the panel data unit-root test”, Economics Letters, 66, pp. 215-222.
  • Wu, J. L., Chen, S.L. and Lee, H.Y. (2001), “Are Current Account Deficits Sustainable?: Evidence from Panel Cointegration”, Economics Letters, 72(2), pp. 219-224.

GELİŞMEKTE OLAN ÜLKELERDE CARİ AÇIĞIN SÜRDÜRÜLEBİLİRLİĞİ: DOĞRUSAL VE DOĞRUSAL OLMAYAN BİRİM KÖK TESTLERİYLE BİR İNCELEME

Yıl 2014, Cilt 28, Sayı 4, 251 - 264, 13.08.2014

Öz

Bu çalışma doğrusal ve doğrusal olmayan panel birim kök testleriyle birlikte ardışık panel seçim tekniğini kullanarak, sekiz gelişmekte olan ülkenin, Brezilya, Kolombiya, Çek Cumhuriyeti, Macaristan, Endonezya, Peru, Rusya, Güney Afrika, cari açıklarının sürdürülebilirliğini çeyrek dönemlik verilerle 1996-2009 dönemi için araştırmaktadır. Doğrusal panel birim kök testinin sonuçları Rusya ve Endonezya’nın cari işlemler hesabının durağan olduğuna dair kanıtlar sunarkan, doğrusal olmayan panel birim kök testi sadece Endonezya’nın cari işlem dengesinin durağan olduğunu göstermektedir. Bu bağlamda, çalışmanın ilgili literatüre temel katkısı cari hesabın sürdürülebiliğinin araştırılmasında doğrusal ve doğrusal olmayan uyum süreçlerinin ayrıştırılmasının önemine işaret etmektir.

Kaynakça

  • Apergis N., Katrakilidis, K.P. and Tabakis, N.M. (2000), “Current account deficit sustainability: the case of Greece”, Applied Economics Letters, 7(9), pp. 599–603.
  • Aristovnik, A. (2006), “How sustainable are current account deficits in selected transition economies?”, Journal of Economics, 1(55), pp. 19-39.
  • Arize A.C. (2002), “Imports and exports in 50 countries: tests of cointegration and structural breaks”, International Review of Economics and Finance, 11(1), pp. 101–115.
  • Baharumshah, A. Z., Lau, E. and Fountas, S. (2003), “On the sustainability of current account deficits: evidence from four ASEAN countries”, Journal of Asian Economics, 14, pp. 465-487.
  • Chen, S. W. (2010), “Testing for the Sustainability of the Current Account Deficit in Four Industrial Countries: A Revisitation”, Economics Bulletin, 30(2), pp. 1474-1495.
  • Chortareas, G., Kapetanios, G. and Uctum, M. (2004), “An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests”, Studies in Nonlinear Dynamics and Econometrics, 8(1), pp. 1-17.
  • Chortareas, G. and Kapetanios, G. (2009), “Getting PPP right: identifying mean-reverting real exchange rates in panels”, Journal of Banking and Finance, 33, pp. 390–404.
  • Christopoulos, D. and Leon-Ledesma, M. A. (2010), “Current account sustainability in the US: What did we really know about it?”, Journal of International Money and Finance, 29, pp. 442–459.
  • Chu, H. P., Chang, T., Chang, H. L., Su, C.W., Yuan, Y. (2007), “Mean reversion in the current account of forty-eight African countries: evidence from the Panel SURADF test”, Physica A, 384, pp. 485–492. Clarida, R.H., Goretti, M. and Taylor, M.P. (2007), Are There Thresholds of Current Account Adjustment in the G7?, in G7 Current Account Imbalances: Sustainability and Adjustment, Clarida, R.H (ed.), University of Chicago Press
  • Hamori, S. (2009), “The sustainability of trade accounts of the G-7 countries”, Applied Economics Letters, 16, pp. 1691-1694.
  • Herzer, D. and Nowak-Lehmann, F. (2006), “Is there a long-run relationship between exports and imports in Chile?”, Applied Economics Letters, 13(15), pp. 981-986.
  • Holman, J.A. (2001), “Is the Large US Current Account Deficit Sustainable?”, Economic Review, Federal Reserve Bank of Kansas City, 1, pp. 5-23.
  • Holmes, M. J. (2004), “Current Account Deficits In The Transition Economies”, Prague Economic Papers, 4, pp. 347–358.
  • Holmes, M. J., Otero, J. and Panagiotidis, T. (2010), “On the Stationarity of Current Account Deficits in the European Union”, Review of International Economics, 18(4), pp. 730-740.
  • Husted, S. (1992), “The Emerging US Current Account Deficit in the 1980s: A Cointegration Analysis”, The Review of Economic and Statistics, 74, pp. 159-1
  • Im, K. S., Peseran, M. H. and Shin, Y. (2003), “Testing for unit roots in heterogeneous panels”, Journal of Econometrics, 115, pp. 53–74.
  • Irandoust, M. and Ericsson, J. (2004), “Are imports and exports cointegrated? an international comparison”, Metroeconomica, 55, pp. 49-64.
  • Irandoust, M. and Sjöö, B. (2000), “The behaviour of the current account in response to unobservable and observable shocks”, International Economic Journal, 14(4), pp. 41–57.
  • Kalyoncu, H. (2006), “International intertemporal solvency in OECD countries: evidence from panel unit root”, Prague Economic Papers, 1, pp. 44-49. Kapetanios, G., Shin, Y. and Snell, A. (2003), “Testing for a unit root in the nonlinear STAR framework”, Journal of Econometrics, 112, pp. 359– 3
  • Kim, B. H., Min, H.G., Hwang, Y.S. and McDonald, J. A. (2009), “Are Asian countries' current accounts sustainable? Deficits, even when associated with high investment, are not costless”, Journal of Policy Modeling, 31(2), pp. 163-179.
  • Konya, L. (2009), “The sustainability of the current account in the Czech Republic, Hungary and Slovenia”, Empirical Economics, 36, pp. 3673
  • Landeau, S.A.S. (2002), “The Intertemporal Approach to the Current Account: Evidence for Chile”, Revista de Análisis Económico, 17(2), pp. 95-121 Lau, E. and Baharumshah, A. Z. (2005), “Mean-reverting behavior of current account in Asian countries”, Economics Letters, 87(3), pp. 367-371.
  • Lau, E., Baharumshah, A. Z. and Haw, C. T. (2006), “Current account: meanreverting or random walk behavior?”, Japan and the World Economy, 18, pp. 90–107.
  • Lee, C. F. (2010), “Testing for unemployment hysteresis in nonlinear heterogeneous panels: International evidence”, Economic Modelling, 27(5), pp. 1097-1102.
  • Milesi-Ferretti, G. M. and Razin, A. (1996), “Sustainability of Persistent Current Account Deficits”, International Journal of Financial Economics, 1(3), pp. 161-81.
  • Mishra, V., Smyth, R. and Tang, T.C. (2008), “Is the Balancing Item For Australia Sustainable? Evidence from A Threshold Autoregressive Model With An Autoregressive Unit Root”, Australian Economic Papers, 47(2), pp. 190-198.
  • Murthy, V. N. R. and Anoruo, E. (2009), “Are Per Capita Real GDP Series in African Countries Non-stationary or Non-linear? What does Empirical Evidence Reveal?”, Economics Bulletin, 29(4), pp. 2492-2504.
  • Narayan, P. K. and Narayan, S. (2005), “Are exports and imports cointegrated? Evidence from 22 least developed countries”, Applied Economics Letters,12, pp. 375-378.
  • Obstfeld, M. and Rogoff, K. (1995), The Intertemporal Approach to the Current Account”, in Handbook of International Economics III, G.M. Grossman and Rogoff, K. (ed.), Elsevier.
  • 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, 23(2), pp. 423-4
  • Uçar, N. and Omay, T. (2009), “Testing for unit root in nonlinear heterogeneous panels”, Economics Letters, 104, pp. 5-8.
  • Wu, J. L. (2000), “Mean reversion of the current account: evidence from the panel data unit-root test”, Economics Letters, 66, pp. 215-222.
  • Wu, J. L., Chen, S.L. and Lee, H.Y. (2001), “Are Current Account Deficits Sustainable?: Evidence from Panel Cointegration”, Economics Letters, 72(2), pp. 219-224.

Ayrıntılar

Birincil Dil İngilizce
Konular Sosyal
Bölüm Makaleler
Yazarlar

Şeref BOZOKLU>


Veli YILANCI>

Yayımlanma Tarihi 13 Ağustos 2014
Yayınlandığı Sayı Yıl 2014, Cilt 28, Sayı 4

Kaynak Göster

APA Bozoklu, Ş. & Yılancı, V. (2014). CURRENT ACCOUNT SUSTAINABILITY IN EMERGING MARKETS: AN ANALYSIS WITH LINEAR AND NONLINEAR PANEL UNIT ROOT TESTS . Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi , 28 (4) , 251-264 . Retrieved from https://dergipark.org.tr/tr/pub/atauniiibd/issue/2715/36055

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