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

Şeref Bozoklu , Veli Yılancı

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.

Anahtar Kelimeler

Current Account Sustainability, Nonlinearity, Panel Unit Root Tests, Sequential Panel Selection Method.

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

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.

Anahtar Kelimeler

Cari Açığın Sürdürülebilirliği, Doğrusal Dışılık, Panel Birim Kök Testleri, Ardışık Panel Seçim Yöntemi.

Kaynakça

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