Sustainability of current accounts: evidence from the quantile unit-root test |
| |
Authors: | Chen-Yin Kuo |
| |
Affiliation: | Tung Fang Design Institute, Kaohsiung, Taiwan, R.O.C. |
| |
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. |
| |
Keywords: | Current accounts sustainability augmented Dickey–Fuller (ADF) test quantile autoregression (QAR) test unit-root test asymmetric patterns |
|
|