Panel cointegration, quantile regressions, asymmetric adjustments and crises: The case of EU current accounts

Simeon Coleman () and Juan Cuestas

Economic Systems, 2021, vol. 45, issue 4

Abstract: This paper investigates the relationships between the current account and several fundamentals, including the real exchange rate, government consumption, investment, openness, terms of trade and real income in the EU28 group of countries. A main feature of the study is that we also assess the relationships for two subgroups, the EU15 + Cyprus and Malta, and the CEECs. Using data spanning the period between 1995q1 and 2019q2, we identify similarities and differences between the responses in these two subgroups, which are obscured when an aggregate study of the EU28 is conducted, rather than sub-groups. Our results suggest that, in assessing the current account for economic blocs, an a priori assumption of similar relationships for member countries may be misplaced.

Keywords: Current account; External debt; Quantile regression; Bayesian; Asymmetric model; Structural breaks; European integration (search for similar items in EconPapers)
JEL-codes: C22 F15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Working Paper: Panel Cointegration, Quantile Regressions, Asymmetric Adjustments and Crises: The Case of EU Current Accounts (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecosys:v:45:y:2021:i:4:s0939362521000182

DOI: 10.1016/j.ecosys.2021.100870

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