Panel Cointegration, Quantile Regressions, Asymmetric Adjustments and Crises: The Case of EU Current Accounts

Simeon Coleman () and Juan Cuestas

No 2020/26, Working Papers from Economics Department, Universitat Jaume I, Castellón (Spain)

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 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 the 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)
Pages: 39 pages
Date: 2020
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Related works:
Journal Article: Panel cointegration, quantile regressions, asymmetric adjustments and crises: The case of EU current accounts (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:jau:wpaper:2020/26

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