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Long-run relationship with shifts between Mexican current account revenues and expenditures

Author

Listed:
  • Daniel Ventosa-santaulària

    () (CIDE)

  • Manuel Gómez-zaldívar

    () (Universidad de Guanajuato)

  • Lizet A Pérez

    () (CIDE)

Abstract

We study whether there is a long-run relationship between Mexican current account (CA) revenues and expenditures. Our results show that evidence in favor of this claim is drawn only when (at least) three structural break levels are allowed. The CA therefore behaves as a broken-mean stationary process. The shifts in the CA seem to be caused by large and sudden changes in the real exchange rate.

Suggested Citation

  • Daniel Ventosa-santaulària & Manuel Gómez-zaldívar & Lizet A Pérez, 2013. "Long-run relationship with shifts between Mexican current account revenues and expenditures," Economics Bulletin, AccessEcon, vol. 33(2), pages 1317-1327.
  • Handle: RePEc:ebl:ecbull:eb-13-00376
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2013/Volume33/EB-13-V33-I2-P124.pdf
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    References listed on IDEAS

    as
    1. Ventosa-Santaulària Daniel & Gómez-Zaldívar Manuel, 2011. "Testing for a Deterministic Trend When There is Evidence of Unit Root," Journal of Time Series Econometrics, De Gruyter, pages 1-26.
    2. Antonio E. Noriega & Daniel Ventosa-Santaularia, 2012. "The effect of structural breaks on the Engle-Granger test for cointegration," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 27(1), pages 99-132.
    3. Husted, Steven, 1992. "The Emerging U.S. Current Account Deficit in the 1980s: A Cointegration Analysis," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 159-166, February.
    4. Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, pages 99-126.
    5. Perron, Pierre, 1997. "Further evidence on breaking trend functions in macroeconomic variables," Journal of Econometrics, Elsevier, pages 355-385.
    6. Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, pages 99-126.
    7. Arize, Augustine C., 2002. "Imports and exports in 50 countries: Tests of cointegration and structural breaks," International Review of Economics & Finance, Elsevier, vol. 11(1), pages 101-115, April.
    8. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
    9. Hansen, Bruce E, 2002. "Tests for Parameter Instability in Regressions with I(1) Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 45-59, January.
    10. Paresh Kumar Narayan & Seema Narayan, 2005. "Are exports and imports cointegrated? Evidence from 22 least developed countries," Applied Economics Letters, Taylor & Francis Journals, vol. 12(6), pages 375-378.
    11. Manuchehr Irandoust & Johan Ericsson, 2004. "Are Imports and Exports Cointegrated? An International Comparison," Metroeconomica, Wiley Blackwell, vol. 55(1), pages 49-64, February.
    12. George Kapetanios, 2005. "Unit-root testing against the alternative hypothesis of up to m structural breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(1), pages 123-133, January.
    13. Nag, Biswajit & Mukherjee, Jaydeep, 2012. "The sustainability of trade deficits in the presence of endogenous structural breaks: Evidence from the Indian economy," Journal of Asian Economics, Elsevier, pages 519-526.
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    Cited by:

    1. Amba Oyon Claude Marius & Taoufiki Mbratana & Kane Gilles Quentin, 2017. "Assessing the current account sustainability in ECCAS economies: A dual cointegration analysis," Economics Bulletin, AccessEcon, vol. 37(3), pages 1873-1894.

    More about this item

    Keywords

    Current Account; Mexico; Cointegration; Structural Breaks;

    JEL classification:

    • F3 - International Economics - - International Finance
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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