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Asymmetric Dynamics in the Current Account: Evidence from Long-Horizon Data

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Author Info
Ibrahim Chowdhury
Gregory Gadzinski
Mathias Hoffmann

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Abstract

This letter investigates the presence of asymmetric dynamics in the behaviour of the current account as emphasized in recent theoretical contributions. We estimate a Markov switching model for long-horizon current account to GDP data for six countries and find substantial asymmetries in the behaviour of current account dynamics.

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Publisher Info
Paper provided by University of Cologne, Department of Economics in its series Working Paper Series in Economics with number 13.

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Date of creation: 27 Sep 2004
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Handle: RePEc:kls:series:0013

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Related research
Keywords: Current account dynamics and sustainability; Markovswitching;

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Find related papers by JEL classification:
F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

References listed on IDEAS
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  1. Georgios Chortareas & George Kapetanios & Merih Uctum, 2003. "An Investigation of Current Account Solvency in Latin America Using Non Linear Stationarity Tests," Working Papers 485, Queen Mary, University of London, Department of Economics. [Downloadable!]
  2. Maurice Obstfeld & Kenneth Rogoff, 2000. "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?," NBER Working Papers 7777, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  3. Alan M. Taylor, 2002. "A Century of Current Account Dynamics," NBER Working Papers 8927, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  4. Philip Lane & Gian Maria Milesi-Ferretti, 2001. "Long-Term Capital Movements," CEG Working Papers 20018, Trinity College Dublin, Department of Economics. [Downloadable!]
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  5. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70. [Downloadable!] (restricted)
  6. Ehrmann, Michael & Ellison, Martin & Valla, Natacha, 2003. "Regime-dependent impulse response functions in a Markov-switching vector autoregression model," Economics Letters, Elsevier, vol. 78(3), pages 295-299, March. [Downloadable!] (restricted)
    Other versions:
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