EconStor >
Christian-Albrechts-Universität Kiel (CAU) >
Department of Economics, Universität Kiel  >
Economics Working Papers, Department of Economics, CAU Kiel >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/27739
  
Title:Determinants and dynamics of current account reversals: an empirical analysis PDF Logo
Authors:Liesenfeld, Roman
Moura, Guilherme V.
Richard, Jean-François
Issue Date:2009
Series/Report no.:Economics working paper / Christian-Albrechts-Universität Kiel, Department of Economics 2009,04
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.
Subjects:Panel data
dynamic discrete choice
importance sampling
Monte Carlo integration
state dependence
spillover effects
JEL:C15
C23
C25
F32
Document Type:Working Paper
Appears in Collections:Economics Working Papers, Department of Economics, CAU Kiel

Files in This Item:
File Description SizeFormat
60768688X.PDF515.82 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/27739

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.