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Are the current accounts of Asian-5 economies mean-reverting? : new evidence from Fourier panel stationarity tests

Husein, Jamal; Kara, S. Murat; Pier, Chuck - In: Cogent economics & finance 11 (2023) 2, pp. 1-11

This study offers a novel examination of the mean-reversion properties of the current account balances, expressed as a percentage of GDP, for the Asian-5 economies: Indonesia, Korea, Malaysia, the Philippines, and Thailand. While prior studies mainly employed traditional unit-root tests, our...

Persistent link: https://www.econbiz.de/10014501140

An Investigation of Current Account Solvency in Latin America Using Non Linear Stationarity Tests

Chortareas, Georgios E.; Kapetanios, George; Uctum, Merih - 2003

Using a new methodology that allows for nonlinearities, we find frequent support for sustainability in the debt of a set of Latin American countries. Our findings overturn results obtained with traditional unit-root tests and provide a more realistic alternative to evaluate the external solvency...

Persistent link: https://www.econbiz.de/10014093372

Sudden stop regimes and output : a Markov switching analysis

Bachmann, Andreas; Leist, Stefan - 2013

Sudden stops in capital inflows were a main characteristic of the emerging market crisis during the 1990's. Concerns about them have recurred in the light of recently increased global stability risk and the quantitative easing that led to substantial capital inflows in emerging economies. We add...

Persistent link: https://www.econbiz.de/10010199563

Current Account Sustainability in ECOWAS Sub-Regional Blocs : A Double Cointegration Investigation

Do Ango, Simplicio - 2018

The aim of this paper is to study the sustainability of current accounts in ECOWAS countries over the 1970–2015 period and test if this sustainability depends on the sub-regional blocs. The paper uses a formal theoretical framework, recent panel and intra-panel cointegration techniques to test...

Persistent link: https://www.econbiz.de/10012922539

Current Account Sustainability in the Us : What Do We Really Know About it?

Christopoulos, Dimitris; Leon-Ledesma, Miguel A. - 2004

We revisit the debate on the sustainability of the current account dynamics in the US. Using the concept of sustainability as the ability to meet the long run intertemporal budget constraint, we test for unit roots in the US current account for the 1960-2004 period. We argue that there are...

Persistent link: https://www.econbiz.de/10014069460

Capturing the zero : a new class of zero-augmented distributions and multiplicative error processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2011

We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed at high frequencies, such as cumulated trading volumes. We introduce a flexible point-mass...

Persistent link: https://www.econbiz.de/10009308298

Capturing the zero : a new class of zero-augmented distributions and multiplicative error processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2010

We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading volumes or the time between potentially...

Persistent link: https://www.econbiz.de/10008749839

Capturing the zero : a new class of zero-augmented distributions and multiplicative error processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2010

We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading volumes or the time between potentially...

Persistent link: https://www.econbiz.de/10008748137

Non-Markovian Regime-Switching Models

Kim, Chang-Jin - 2018

This paper revisits the non-Markovian regime switching model considered by Chib and Dueker (2004), who employ an autoregressive continuous latent variable in order to specify the dynamics of the latent regime-indicator variable. We show that, in spite of the non-Markovian nature of the regime...

Persistent link: https://www.econbiz.de/10012922139

Forecasting Macedonian business cycle turning points using Qual VAR model

Petrovska, Magdalena; Krstevska, Aneta; Naumovski, Nikola - Narodna Banka na Republika Makedonija - 2016

This paper aims to assess the usefulness of leading indicators in business cycle research and forecast. Initially we … indicators performs in forecasting turning points of the Macedonian business cycle by employing the Qual VAR approach of Dueker … (2005). In continuation, we evaluate the quality of the selected indicators in pseudo-out-of-sample context. The results …

Persistent link: https://www.econbiz.de/10011623919