Mean reversion of the current account: evidence from the panel data unit-root test

Wu, Jyh‐Lin

doi:10.1016/s0165-1765(99)00198-6

Cited by 79 publications

(59 citation statements)

References 14 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Each of these statistics is distributed as standard normal as both N and T grow large. The latter test is employed by Coakley et al (1999) and Wu (2000) in …”

Section: Resultsmentioning

confidence: 99%

“…These studies generally found that current accounts are non-stationary for several major industrialized countries. More recently, however, Wu (2000) and Wu, Chen and Lee (2001) confirm sustainability of the OECD current account deficits using panel data unit root and cointegration tests.…”

Section: Introductionmentioning

confidence: 99%

“…The stationarity and sustainability of current account balances has been the focus of many researchers over a number of years (see, inter alia, Trehan and Walsh, 1991;Gundlach and Sinn, 1992;Otto, 1992;Wickens and Uctum, 1993;Liu and Tanner, 1996;Wu, 2000 andWu et al, 2001). These studies have provided mixed conclusions with respect to case studies involving subsets of the OECD countries.…”

Section: Introductionmentioning

confidence: 99%

“…However, an additional novel approach of this paper is to employ a new test panel data unit root test, advocated by Breuer et al (2002), that estimates augmented Dickey-Fuller (ADF) regressions within a seemingly unrelated regression (SUR) framework in the search for current account stationarity. This SURADF test offers two crucial advantages over existing panel data unit root tests, such as the tests employed by Coakley et al (1999) and Wu (2000). First, the SURADF test enables the researcher to identify how many and which series within the panel are responsible for rejecting the null of non-stationarity and second, the SURADF procedure is able to handle contemporaneous correlation among the series in the panel.…”

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

Current Account Deficits in the Transition Economies

Holmes¹

2004

Prague Economic Papers

View full text Add to dashboard Cite

Abstract:This study tests for the stationarity and sustainability of current account deficits for ten transition economies. For this purpose, a new test is employed that allows one to test for unit roots in heterogeneous panel datasets. While the benefits from creating a panel to overcome low test power are well known, this test also offers key advantages over existing alternative panel data unit root tests: it is able to identify which members within the panel are responsible for rejecting the null hypothesis of joint non-stationarity. In addition, the SU-RADF test does not presume disturbances that are independently and identically distributed. Using data covering 1993 -2001, this study finds strong evidence in favour of current account mean-reversion for six countries. Of the six countries in the sample that joined the European Union in May 2004, non-stationarity was confirmed in the case of Lithuania only.

show abstract

“…Each of these statistics is distributed as standard normal as both N and T grow large. The latter test is employed by Coakley et al (1999) and Wu (2000) in …”

Section: Resultsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Current Account Deficits in the Transition Economies

Holmes¹

2004

Prague Economic Papers

View full text Add to dashboard Cite

show abstract

“…With the exception of Liu and Tanner (1996), who consider the existence of structural changes, the general finding is that the relations are not stationary for the major industrialized countries including the US, UK, Canada, Germany and Japan. A second approach has applied panel data unit root tests to improve the statistical inference that is obtained using individual tests -see Wu (2000), Wu et al (2001) and Holmes (2006), among others.…”

Section: Testing For External Sustainability: Empirical and Theoreticmentioning

confidence: 99%

Testing for external sustainability under a monetary integration process. Does the Lawson doctrine apply to Europe?

2015

View full text Add to dashboard Cite

Monetary integration, and more specifically, the creation of a monetary union in Europe, raises new economic questions concerning its functioning and governance. In particular, we focus on the implications of high and persistent current account deficits for the economic performance of monetary union members in the medium term. Recent literature has argued that conventional measures of external sustainability are misleading because they omit the effects of capital variations on net foreign asset positions due to, among others, stock or debt market crises. In this paper we revisit external sustainability making use of the database developed by Lane and Milesi-Ferretti (2007) that includes these "valuation effects". The sample period studied covers from the launching of the monetary integration process in Europe (the creation of the European Snake in 1972) up to 2011. Our econometric methodology accounts for the increasing cross-section dependence among EMU countries as well as for possible structural breaks endogenously determined. The results point to the need of abrupt adjustments, either led by the markets or promoted by pro-active policy measures, in order to offset external disequilibria. These results would give support to the surveillance measures proposed by the European Commission (2009, 2010a) and would reject the Lawson's doctrine of "laissez-faire".

show abstract

Derivatives pricing with liquidity risk

Zhang

Ding

Duygun

2019

Journal of Futures Markets

View full text Add to dashboard Cite

This paper develops a novel, general derivative pricing model which introduces a liquidity risk factor. The model variants we outline offer a sufficient degree of flexibility so as to enable the valuation of various types of derivative classes including futures, American options, and mortgage backed security options, whereas existing derivative models can only price liquidity risk in European derivatives. We validate the model with oil and gold futures data and compare it to a classical benchmark model void of any liquidity risk. We find that our model is significantly more accurate than the classical model for pricing both oil and gold contracts.

show abstract

Mean reversion of the current account: evidence from the panel data unit-root test

Cited by 79 publications

References 14 publications

Current Account Deficits in the Transition Economies

Current Account Deficits in the Transition Economies

Testing for external sustainability under a monetary integration process. Does the Lawson doctrine apply to Europe?

Derivatives pricing with liquidity risk

Contact Info

Product

Resources

About