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|Title:||Determinants and dynamics of current account reversals: an empirical analysis |
Moura, Guilherme V.
|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.|
dynamic discrete choice
Monte Carlo integration
|Document Type:||Working Paper|
|Appears in Collections:||Economics Working Papers, Department of Economics, CAU Kiel|
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