Current account sustainability in Latin America considering nonlinearities
dc.creator | Ordoñez-Callamand, Daniel |
dc.creator | Melo-Velandia, Luis Fernando |
dc.creator | Valencia-Arana, Oscar Mauricio |
dc.date.created | 2017-03-15 |
dc.date.issued | 2017-03-15 |
dc.identifier.uri | https://repositorio.banrep.gov.co/handle/20.500.12134/6299 |
dc.description.abstract | We 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.extent | 35 páginas : gráficas, tablas |
dc.format.mimetype | |
dc.language.iso | eng |
dc.publisher | Banco de la República de Colombia |
dc.relation.ispartof | Documentos de trabajo |
dc.relation.ispartofseries | Borradores de Economía |
dc.relation.isversionof | Borradores de Economía; No. 987 |
dc.rights.accessRights | Open Access |
dc.rights.uri | https://creativecommons.org/licenses/by-nc-sa/4.0/ |
dc.subject | Corrección de errores de vector |
dc.subject | Sostenibilidad de la balanza comercial |
dc.subject | Función de respuesta de impulso generalizada |
dc.title | Current account sustainability in Latin America considering nonlinearities |
dc.type | Working Paper |
dc.subject.jel | C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models |
dc.subject.jel | C52 - Model Evaluation, Validation, and Selection |
dc.subject.jel | F32 - Current Account Adjustment; Short-Term Capital Movements |
dc.audience | Policymakers |
dc.audience | Researchers |
dc.audience | Students |
dc.audience | Teachers |
dc.subject.keyword | Threshold vector error correction |
dc.subject.keyword | Current account sustainability |
dc.subject.keyword | Generalized impulse response function |
dc.subject.lemb | Balanza de pagos -- Chile |
dc.subject.lemb | Balanza de pagos -- Brasil |
dc.subject.lemb | Balanza de pagos -- Colombia |
dc.subject.lemb | Balanza de pagos -- México |
dc.subject.lemb | Macroeconomía -- Chile |
dc.subject.lemb | Macroeconomía -- Brasil |
dc.subject.lemb | Macroeconomía -- Colombia |
dc.subject.lemb | Macroeconomía -- México |
dc.type.spa | Documentos de trabajo |
dc.rights.spa | Acceso abierto |
dc.rights.cc | Atribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0 |
dc.subject.jelspa | F32 - Ajustes de la balanza por cuenta corriente; Movimientos de capital a corto plazo |
dc.subject.jelspa | C32 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión; representación de espacios de estados |
dc.subject.jelspa | C52 - Evaluación, contraste y selección de modelos |
dc.type.hasversion | Published Version |
dc.coverage.sucursal | Bogotá |
dc.source.bibliographicCitation | F. 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.bibliographicCitation | J. Breitung. Rank tests for nonlinear cointegration. Journal of Business And Eco-nomic Statistics, 19(3):331{340, 2001. |
dc.source.bibliographicCitation | J. Breitung. Nonparametric tests for unit roots and cointegration. Journal of Econo-metrics, 108(2):343 { 363, 2002. |
dc.relation.doi | https://doi.org/10.32468/be.987 |
dc.rights.disclaimer | Las 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.relation.repec | https://ideas.repec.org/p/bdr/borrec/987.html |
dc.identifier.handle | https://hdl.handle.net/20.500.12134/6299 |
dc.creator.firma | Luis Fernando Melo-Velandia |
dc.source.handleRepec | RePEc:bdr:borrec:987 |
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