scholarly journals The sustainability of current account in the presence of endogenous multiple structural breaks: Evidence from developed and developing countries

2016 ◽  
Vol 63 (3) ◽  
pp. 339-358
Author(s):  
Fikret Dülger
Keyword(s):  
Developing Countries ◽  
Current Account ◽  
Structural Breaks ◽  
Weak Form ◽  
Productivity Shocks ◽  
Long Run ◽  
Cointegration Tests ◽  
The Stability ◽  
Domestic Economies ◽  
The Relationship

The purpose of this study is to test for the sustainability of current account in 18 developed and 10 developing countries. The stability of the relationship between export (inflows) and import (outflows) is assessed using the tests proposed by Mohitosh Kejriwal and Pierre Perron (2010). In particular, the nature of the long-run relationship, when multiple regime shifts are identified endogenously, is analyzed using the residual-based test of the null hypothesis of cointegration with multiple breaks proposed by Kejriwal (2008). The results clearly indicate that, for all countries, (i) the stability tests reject the null of coefficient stability of the long-run relationship between exports and imports; (ii) the cointegration tests that correspond to the number of breaks selected reject the null of cointegration (weak form of sustainability); and (iii) the strong form of sustainability hypothesis is not supported by the data for all countries in most regimes but not for 20 of 28 countries especially in the last regime (the post-2000 era). For eight countries (Canada, New Zealand, Spain, Brazil, Mexico, South Africa, Thailand, and Turkey), the findings may be perceived as a warning to creditors and policymakers unless there are policy distortions or permanent productivity shocks to the domestic economies.

scholarly journals Are Imports and Exports Cointegrated: the Case of Bulgaria between 1967 and 2004

2007 ◽  
Vol 2 (2) ◽  
pp. 53-56 ◽  
Author(s):  
Yannick Bineau
Keyword(s):  
Financial Crisis ◽  
Empirical Analysis ◽  
Current Account ◽  
Unit Root ◽  
Structural Breaks ◽  
Current Account Sustainability ◽  
Long Run ◽  
Cointegration Tests

Are Imports and Exports Cointegrated: the Case of Bulgaria between 1967 and 2004This note tests current account sustainability in Bulgaria from 1967 to 2004. Empirical analysis adopts various unit root and cointegration tests with structural breaks. Evidence of a long run relation between exports and imports in Bulgaria is shown, despite the financial crisis of 1996/8. Intertemporal current account constraint is not violated in Bulgaria.

scholarly journals Sustainability of current account balances in small states

2020 ◽  
Vol 9 (1) ◽  
pp. 14
Author(s):  
Jeetendra Khadan ◽  
Amrita Deonarine
Keyword(s):  
Current Account ◽  
Panel Cointegration ◽  
Weak Form ◽  
Budget Constraint ◽  
Small States ◽  
Current Account Deficits ◽  
Current Account Sustainability ◽  
Long Run ◽  
Cointegration Tests ◽  
Current Account Balances

This article applies the inter-temporal budget constraint framework and panel cointegration tests to examine the sustainability of current account deficits in 17 small states over the period 1995-2016. The findings show the existence of cointegration between real exports and real imports, but with the magnitude of the long-run coefficient being less than one, which support a “weak” form of current account sustainability in small states.

scholarly journals Purchasing Power Parity in Developing Countries: Evidence from Conventional and Fractional Cointegration Tests

2004 ◽  
Author(s):  
A. C. Arize ◽  
John Malindretos ◽  
Elias C. Grivoyannis
Keyword(s):  
Developing Countries ◽  
Purchasing Power Parity ◽  
Price Level ◽  
Weak Form ◽  
Purchasing Power ◽  
Power Parity ◽  
Long Run ◽  
Cointegration Tests ◽  
Rate Period ◽  
Floating Exchange Rate

This paper examines the long-run validity of purchasing power parity (PPP) for fourteen developing countries. The period examined is 1973:4 through 2002:8. The methods of Elliot, Rothemberg and Stock (1996), Kwiattkoski et al. (1992) and Geweke and Porter-Hudak (1983) are employed to detect the time series properties of exchange rates and consumer price indices of these countries. We find that these variables are nonstationary. We then utilize these data to test the PPP using both conventional and fractional approaches. Estimates of the cointegrating relations are obtained using estimators suggested by Stock and Watson (1993) and Phillips and Hanson (1990), respectively. The results are consistent with the argument that, during the recent floating exchange-rate period, PPP holds well, at least in a weak form, in developing countries where the general price level movements overshadow the factors causing deviations from the PPP.  

scholarly journals Political Instability and Growth: Case of the Developing Countries

2013 ◽  
Vol 2 (1) ◽  
pp. 19
Author(s):  
Said JAOUADI ◽  
Lamia ARFAOUI ◽  
Azza ZIEDI
Keyword(s):  
Developing Countries ◽  
Empirical Investigation ◽  
Political Instability ◽  
Political Environment ◽  
Huge Number ◽  
Effective Governance ◽  
The Social ◽  
The Stability ◽  
The Impact ◽  
The Relationship

The paper attempted to examine the causal relationship between political instability and growth. Currently, the world continues to record huge number of popular revolutions in the region MENA, to improve the social environment and to consolidate implementing an effective governance. Although, the uprising has harmed the financial and economic situation in these countries, and became a threat for the stability of the countries, in overall.The manuscript accounts for the impact of political instability on the growth of the developing countries, in the shadow of the widespread of the revolutions since 2011. The paper attempted to illuminate the reality of the relationship between political environment and growth through the estimation of panel, comprising 69 developing countries 1985-2012.In the current paper, the authors conducted an empirical investigation, in which we bore out the claims raised in many surveys and the conclusions drawn by several authors about the harmful impact of political instability on the fundamental bases of the economy, in countries recording political instability.

An Empirical Analysis of Aggregate Import Demand Function for India

2017 ◽  
Vol 17 (4) ◽  
pp. 20170049
Author(s):  
Bibhuti Ranjan Mishra ◽  
Asit Mohanty
Keyword(s):  
Foreign Exchange ◽  
Demand Function ◽  
Import Demand ◽  
Likelihood Method ◽  
Domestic Activity ◽  
Relative Prices ◽  
Distributed Lag ◽  
Long Run ◽  
Cointegration Tests ◽  
The Stability

This paper examines the behaviour of Indian aggregate imports during the period 1980–81 to 2013–14. The stability of aggregate import demand function is examined using five types of cointegration tests including the ARDL bounds test. In order to estimate the long-run elasticities, we have applied three alternative fully efficient cointegrating regressions, autoregressive distributed lag (ARDL) model and Johansen maximum likelihood method. Our results reveal cointegration relationship between import demand, relative prices of import, domestic activity and foreign exchange reserves. Results evince that, in the long-run, the response of import demand to relative import prices is negative and less than unity, whereas it’s response to domestic activity/income is positive and more than unity. The foreign exchange reserve has a positive effect on imports.

scholarly journals The Relationship between Current Account Deficits and Growth in Montenegro: ARDL Bounds Testing Approach

2018 ◽  
Vol 7 (3) ◽  
pp. 5-24 ◽  
Author(s):  
Mustafa Özer ◽  
Jovana Žugić ◽  
Sonja Tomaš-Miskin
Keyword(s):  
Growth Rate ◽  
Current Account ◽  
Current Account Deficit ◽  
Gdp Growth ◽  
Bounds Testing ◽  
Current Account Deficits ◽  
Long Run ◽  
Gdp Growth Rate ◽  
Short Run ◽  
The Relationship

Abstract In this study, we investigate the relationship between current account deficits and growth in Montenegro by applying the bounds testing (ARDL) approach to co-integration for the period from the third quarter of 2011 to the last quarter of 2016. The bounds tests suggest that the variables of interest are bound together in the long run when growth is the dependent variable. The results also confirm a bidirectional long run and short run causal relationship between current account deficits and growth. The short run results mostly indicate a negative relationship between changes in the current account deficit GDP ratio and the GDP growth rate. This means that any increase of the value of independent variable (current account deficit GDP ratio) will result in decrease of the rate of GDP growth and vice versa. The long-run effect of the current account deficit to GDP ratio on GDP growth is positive. The constant (β0) is positive but also the (β1), meaning that with the increase of CAD GDP ratio of 1 measuring unit, the GDP growth rate would grow by 0,5459. This positive and tight correlation could be explained by overlapping structure of the constituents of CAD and the drivers of GDP growth (such as tourism, energy sector, agriculture etc.). The results offer new perspectives and insights for new policy aiming for sustainable economic growth of Montenegro.

scholarly journals Inflation and Unemployment Trade-off: Is Phillips Curve True for African Developing Countries? Evidence from Sudan

2021 ◽  
Vol 4 (3) ◽  
Author(s):  
Omer Allagabo Omer Mustafa
Keyword(s):  
Economic Growth ◽  
Developing Countries ◽  
Phillips Curve ◽  
Economic Thought ◽  
Trade Off ◽  
Long Run ◽  
Short Run ◽  
Wage Inflation ◽  
The Relationship

The relationship between wage inflation and unemployment (Phillips Curve) is controversial in economic thought, and the controversy is centered around whether there is always a trade-off or not. If this relationship is negative it is called The short-run Fillips Curve. However, in the long run, this relationship may probable not exist. The matter of how inflation and unemployment influence economic growth, is debatably among macroeconomic policymakers. This study examines the behavior of the Phillips Curve in Sudan and its effect on economic growth.

scholarly journals The Corruption-Terrorism Nexus: A Panel Data Approach

2016 ◽  
Vol 8 (11) ◽  
pp. 111 ◽  
Author(s):  
Nahil Boussiga ◽  
Malek Ghdamsi
Keyword(s):  
Panel Cointegration ◽  
Political Stability ◽  
Cointegration Test ◽  
Correction Model ◽  
Major Threat ◽  
Long Run ◽  
Cointegration Tests ◽  
Panel Cointegration Test ◽  
The Relationship ◽  
Control Of Corruption

<p>Corruption has been increasingly recognized as the major threat to economic development, political stability and peace. It is also acknowledged by international community as the breeding ground for terrorism. This paper examines the relationship between corruption and terrorism in the long run. Previous studies examining the link between these two phenomena used only time series cointegration tests. In this paper, we make use of a dataset for a panel of 123 developed and developing countries over the period 2003-2014. We use Pedroni’s residual-based panel cointegration test and the error correction model-based panel cointegration test developed by Westerlund. In order to obtain more robust results, we use two different measures of corruption which are Corruption Perceptions Index (CPI) and Worldwide Control of Corruption Indicator (CC). The results of both tests reject the null hypothesis of no cointegration. we conclude that corruption and terrorism converge. Our findings corroborate results of previous studies.</p>

scholarly journals A macro assessment of China effects on Malaysian exports and trade balances

2014 ◽  
Vol 7 (1) ◽  
pp. 18-37 ◽  
Author(s):  
Tze-Haw Chan ◽  
Hooi Hooi Lean ◽  
Chee-Wooi Hooy
Keyword(s):  
Trade Balance ◽  
Structural Breaks ◽  
Structural Break ◽  
Analytical Framework ◽  
Trade Integration ◽  
Content Type ◽  
Regional Collaboration ◽  
Long Run ◽  
Cointegration Tests ◽  
The Impact

Purpose – This paper aims to focus on the impact of China's export expansion on Malaysian monthly trading with to her 12 major trading partners over the liberalization era. Design/methodology/approach – The analytical framework comprises of both the export and trade balance models. Unit root and cointegration tests with break and error correction modeling are employed in the analyses. Findings – Regime shifts are evident in the long run where structural break(s) found mostly coincides with the Asia crisis and China's accession into WTO. While the income effects are more apparent in most cases, the real exchanges are rather insignificant and incorrectly signed for Malaysian bilateral trading. Besides, the trade balance estimation is generally more consistent that the Chinese exports have exhibited complementary effects in the long-run, mainly for advanced export destination such as Australia, Germany, Japan, the UK and the USA. On the whole, there is insufficient evidence to support the “PRC competitive threat”. Practical implications – The empirical evidence disfavors currency devaluation for current account correction and reveals that the fear for China effect might be over-projected. Closer regional collaboration and trade integration between the two nations are well expected. Originality/value – The paper assesses the China's crowding out effect and magnitudes of Malaysian export and trade balance elasticities with model specifications that consider structural breaks. The paper also assesses the macro dimension of income and real exchanges effects.

scholarly journals Social Environment Determinants of Life Expectancy in Developing Countries: A Panel Data Analysis

2016 ◽  
Vol 9 (5) ◽  
pp. 105 ◽  
Author(s):  
Fatin Aminah Hassan ◽  
Nobuaki Minato ◽  
Shuichi Ishida ◽  
Norashidah Mohamed Nor
Keyword(s):  
Developing Countries ◽  
Health Status ◽  
Panel Data ◽  
Life Expectancy ◽  
Gross Domestic Product ◽  
Health Expenditure ◽  
Independent Variables ◽  
Long Run ◽  
Improved Sanitation ◽  
The Relationship

<p>Despite remarkable improvements in health over the past 50 years, there still remain a great number of health challenges around the world. This study examined the relationship between life expectancy rate (as a proxy for health status) with health expenditure, gross domestic product, education index, improved water coverage, and improved sanitation facilities in 108 selected developing countries using annual panel data within the period of 2006–2010. The empirical results from using the panel data approach showed a positive relationship between life expectancy rate and all of those explanatory variables. The relationship between life expectancy with education index and gross domestic product were significant at 1% and 5% significance levels, respectively. Furthermore, the causality finding showed that there is no short-run causality between life expectancy and its determinants. There is a unidirectional causality running from the independent variables of health expenditure, education index, improved water, and improved sanitation to life expectancy at birth. On the other hand, bidirectional causality exists between life expectancy and income in the long-run by employing VECM test.  These independent variables can be considered as important determinants for investment in health status in the long-run. This study could be used as a guideline and may be significant for future researchers and policy makers who aim to improve the life expectancy in developing countries.</p>

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