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dc.creatorOrdoñez-Callamand, Daniel
dc.creatorMelo-Velandia, Luis Fernando
dc.creatorValencia-Arana, Oscar Mauricio
dc.description.abstractWe test current account sustainability based on the framework developed by Hakkio and Rush [1991] and Husted [1992] using a two-regime threshold vector error correction model. This methodology allows us to characterize short-run nonlinearities in the current account. We estimate the model for four Latin American economies: Chile, Brazil, Colombia, and Mexico. We find a long-run relationship between the current account components, which implies strong sustainability for Chile and Mexico and weak sustainability for Colombia and Brazil. For the first two countries, the predominant regime is associated with a current account surplus. In contrast, for Colombia and Brazil, the prevailing regime corresponds to a situation in which there is a long- run deficit. In general, the impulse response analysis shows that expenditure and income shocks have positive and significant responses in the predominant regime for both series.
dc.format.extent35 páginas : gráficas, tablas
dc.publisherBanco de la República de Colombia
dc.relation.ispartofDocumentos de trabajo
dc.relation.ispartofseriesBorradores de Economía
dc.relation.isversionofBorradores de Economía; No. 987
dc.rights.accessRightsOpen Access
dc.subjectCorrección de errores de vector
dc.subjectSostenibilidad de la balanza comercial
dc.subjectFunción de respuesta de impulso generalizada
dc.titleCurrent account sustainability in Latin America considering nonlinearities
dc.typeWorking Paper
dc.subject.jelC32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
dc.subject.jelC52 - Model Evaluation, Validation, and Selection
dc.subject.jelF32 - Current Account Adjustment; Short-Term Capital Movements
dc.subject.keywordThreshold vector error correction
dc.subject.keywordCurrent account sustainability
dc.subject.keywordGeneralized impulse response function
dc.subject.lembBalanza de pagos -- Chile
dc.subject.lembBalanza de pagos -- Brasil
dc.subject.lembBalanza de pagos -- Colombia
dc.subject.lembBalanza de pagos -- México
dc.subject.lembMacroeconomía -- Chile
dc.subject.lembMacroeconomía -- Brasil
dc.subject.lembMacroeconomía -- Colombia
dc.subject.lembMacroeconomía -- México
dc.type.spaDocumentos de trabajo
dc.rights.spaAcceso abierto
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0
dc.subject.jelspaF32 - Ajustes de la balanza por cuenta corriente; Movimientos de capital a corto plazo
dc.subject.jelspaC32 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión; representación de espacios de estados
dc.subject.jelspaC52 - Evaluación, contraste y selección de modelos
dc.type.hasversionPublished Version
dc.source.bibliographicCitationF. Altissimo and G. L. Violante. The non-linear dynamics of output and unemployment in the U.S. Journal of Applied Econometrics, 16(4):461{486, 2001.
dc.source.bibliographicCitationJ. Breitung. Rank tests for nonlinear cointegration. Journal of Business And Eco-nomic Statistics, 19(3):331{340, 2001.
dc.source.bibliographicCitationJ. Breitung. Nonparametric tests for unit roots and cointegration. Journal of Econo-metrics, 108(2):343 { 363, 2002.
dc.rights.disclaimerLas opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
dc.creator.firmaLuis Fernando Melo-Velandia

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