Determinants and dynamics of current account reversals: an empirical analysis

Roman Liesenfeld, Guilherme Moura () and Jean-Francois Richard

No 2009-04, Economics Working Papers from Christian-Albrechts-University of Kiel, Department of Economics

Abstract: We use panel probit models with unobserved heterogeneity, state-dependence and serially correlated errors in order to analyze the determinants and the dynamics of current-account reversals for a panel of developing and emerging countries. The likelihood-based inference of these models requires high-dimensional integration for which we use Efficient Importance Sampling (EIS). Our results suggest that current account balance, terms of trades, foreign reserves and concessional debt are important determinants of current-account reversal. Furthermore, we find strong evidence for serial dependence in the occurrence of reversals. While the likelihood criterion suggest that state-dependence and serially correlated errors are essentially observationally equivalent, measures of predictive performance provide support for the hypothesis that the serial dependence is mainly due to serially correlated country-specific shocks related to local political or macroeconomic events.

Keywords: Panel data; dynamic discrete choice; importance sampling; Monte Carlo integration; state dependence; spillover effects (search for similar items in EconPapers)
JEL-codes: C15 C23 C25 F32 (search for similar items in EconPapers)
Date: 2009
New Economics Papers: this item is included in nep-dcm and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/27739/1/60768688X.PDF (application/pdf)

Related works:
Journal Article: Determinants and Dynamics of Current Account Reversals: An Empirical Analysis (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:cauewp:200904

Access Statistics for this paper

More papers in Economics Working Papers from Christian-Albrechts-University of Kiel, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().