Sustainability of current accounts: evidence from the quantile unit-root test

Chen-Yin Kuo

Applied Economics Letters, 2016, vol. 23, issue 10, 747-755

Abstract: Regarding the stationarity of current accounts, previous studies used panel unit-root tests to improve the power of augmented Dickey–Fuller (ADF) test. This paper applies a quantile autoregression (QAR) approach to improve ADF test in the presence of outliers, and found that first, the stationarity was present in a QAR framework, rather than ADF test. Second, current accounts exhibited symmetric (e.g. Taiwan) and asymmetric patterns, which showed that positive shocks in larger quantiles induce current accounts to adjust towards a long-term equilibrium for Korea, Thailand, the Philippines and Singapore. Japan exhibited an asymmetric pattern in response to negative shocks in smaller quantiles.

Date: 2016
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DOI: 10.1080/13504851.2015.1105914

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