@techreport{Liesenfeld2009Determinants,
abstract = {We use panel probit models with unobserved heterogeneity, state-dependence and serially correlated errors in order to analyze the determinants and the dynamics of current-account reversals for a panel of developing and emerging countries. The likelihood-based inference of these models requires high-dimensional integration for which we use Efficient Importance Sampling (EIS). Our results suggest that current account balance, terms of trades, foreign reserves and concessional debt are important determinants of current-account reversal. Furthermore, we find strong evidence for serial dependence in the occurrence of reversals. While the likelihood criterion suggest that state-dependence and serially correlated errors are essentially observationally equivalent, measures of predictive performance provide support for the hypothesis that the serial dependence is mainly due to serially correlated country-specific shocks related to local political or macroeconomic events.},
address = {Kiel},
author = {Roman Liesenfeld and Guilherme V. Moura and Jean-Fran\c{c}ois Richard},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C15; C23; C25; F32; 330; Panel data; dynamic discrete choice; importance sampling; Monte Carlo integration; state dependence; spillover effects; Leistungsbilanz; Zahlungsbilanzungleichgewicht; Terms of Trade; W\"{a}hrungsreserven; Auslandsverschuldung; Sch\"{a}tzung; Panel; Entwicklungsl\"{a}nder; Schwellenl\"{a}nder},
language = {eng},
number = {2009,04},
publisher = {Univ., Dep. of Economics},
title = {Determinants and dynamics of current account reversals: an empirical analysis},
type = {Economics working paper / Christian-Albrechts-Universit\"{a}t Kiel, Department of Economics},
url = {http://hdl.handle.net/10419/27739},
year = {2009}
}
