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Jackknife Model Averaging of the Current Account Determinants

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Author Info

  • Branko Urošević

    ()
    (National Bank of Serbia; Faculty of Economics, University of Belgrade, Serbia)

  • Milan Nedeljković

    ()
    (National Bank of Serbia; Faculty of Economics, Finance and Administration, Singidunum University, Belgrade, Serbia)

  • Emir Zildžović

    ()
    (National Bank of Serbia; Serbia)

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    Abstract

    This paper investigates the short to medium-term empirical relationships between the current account balances and a broad set of macroeconomic determinants in Serbia and selected CEE countries. Using novel model averaging techniques we focus the analysis to individual country’s data only. The results suggest that the model tracks the current account movements over the past decade quite well and captures its relative volatility. Signs and magnitudes of different coefficients indicate significant heterogeneity among countries providing empirical support for the country-level analysis.

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    File URL: http://www.panoeconomicus.rs/casopis/2012_3/01%20Branko%20Urosevic.pdf
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    Bibliographic Info

    Article provided by Savez ekonomista Vojvodine, Novi Sad, Serbia in its journal Panoeconomicus.

    Volume (Year): 59 (2012)
    Issue (Month): 3 (June)
    Pages: 267-281

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    Handle: RePEc:voj:journl:v:59:y:2012:i:3:p:267-281

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    Web page: http://www.panoeconomicus.rs/

    Related research

    Keywords: Current account; Model averaging; Transition countries.;

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    References

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    1. Charles Engel & John H. Rogers, 2006. "The U.S. current account deficit and the expected share of world output," International Finance Discussion Papers 856, Board of Governors of the Federal Reserve System (U.S.).
    2. Paul Cashin & Samya Beidas-Strom, 2011. "Are Middle Eastern Current Account Imbalances Excessive?," IMF Working Papers 11/195, International Monetary Fund.
    3. Nason, James M. & Rogers, John H., 2006. "The present-value model of the current account has been rejected: Round up the usual suspects," Journal of International Economics, Elsevier, vol. 68(1), pages 159-187, January.
    4. Chinn, Menzie D. & Prasad, Eswar S., 2003. "Medium-term determinants of current accounts in industrial and developing countries: an empirical exploration," Journal of International Economics, Elsevier, vol. 59(1), pages 47-76, January.
    5. Liu, Chu-An, 2012. "A plug-in averaging estimator for regressions with heteroskedastic errors," MPRA Paper 41414, University Library of Munich, Germany.
    6. Maurice Obstfeld & Kenneth S. Rogoff, 1996. "Foundations of International Macroeconomics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262150476, December.
    7. Bussière, Matthieu & Fratzscher, Marcel, 2006. "Current Account Dynamics in OECD Countries and in the New EU Member States: An Intertemporal Approach," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 21, pages 593-618.
    8. Paolo Zanghieri, 2004. "Current Accounts Dynamics in new EU members: Sustainability and Policy Issues," Working Papers 2004-07, CEPII research center.
    9. Bruce E. Hansen, 2007. "Least Squares Model Averaging," Econometrica, Econometric Society, vol. 75(4), pages 1175-1189, 07.
    10. Hansen, Bruce E. & Racine, Jeffrey S., 2012. "Jackknife model averaging," Journal of Econometrics, Elsevier, vol. 167(1), pages 38-46.
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    Citations

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    Cited by:
    1. Yusuf Ekrem Akbas & Mehmet Senturk & Canan Sancar, 2013. "Testing for Causality between the Foreign Direct Investment, Current Account Deficit, GDP and Total Credit: Evidence from G7," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(6), pages 791-812, December.
    2. Nikolina E. Kosteletou, 2013. "Financial Integration, Euro and the Twin Deficits of Southern Eurozone Countries," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(2), pages 161-178, April.

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