Cointegration and Asymmetric Adjustment: Some New Evidence Concerning the Behavior of the U.S. Current Account
AbstractThis study conducts an investigation into the extent of cointegration between imports and exports and asymmetries in the adjustment of the U.S. current account over the study period 1960Q4-2007Q2. We find evidence in favor of cointegration through the application of the standard Johansen methodology. Employing the Trace test procedure recursively, two distinct regimes are identified according to whether or not imports and exports are cointegrated. We also consider the Breitung (2002) and Breitung and Taylor (2003) nonparametric cointegration test procedures that do not assume linear short-run dynamics. Further analysis of the asymmetric short-run dynamics reveals that adjustment towards long-run equilibrium is primarily driven by U.S. exports responding to current account deficits.
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Bibliographic InfoArticle provided by De Gruyter in its journal The B.E. Journal of Macroeconomics.
Volume (Year): 9 (2009)
Issue (Month): 1 (June)
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Web page: http://www.degruyter.com
Other versions of this item:
- Mark J. Holmes & Theodore Panagiotidis, 2009. "Cointegration and asymmetric adjustment: Some new evidence concerning the behaviour of the US current account," Discussion Paper Series 2009_11, Department of Economics, University of Macedonia, revised May 2009.
- Mark J. Holmes & Theodore Panagiotidis, 2009. "Cointegration And Asymmetric Adjustment: Some New Evidence Concerning The Behaviour Of The Us Current Account," Working Paper Series 16_09, The Rimini Centre for Economic Analysis, revised Jan 2009.
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- F1 - International Economics - - Trade
- F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
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