COINTEGRATION EVIDENCES FROM THE NEW FRAGILE FIVE

Yıl 2020, Cilt: 7 Sayı: 3, 269 - 282, 15.08.2020

Gülgün Çiğdem , Merve Altaylar

https://doi.org/10.15637/jlecon.7.020

Öz

Purpose of this study is to test the association between savings and current account deficit of the “New Fragile Five” falling into critical cycle. 1994-2019 period annual national savings, current account balance and external debt have been analyzed within the framework of panel data analysis. At the modeling stage of the research focused on the cointegration relationship. Panel cointegration tests with structural breaks based on LM were used. To examine the unique economic structures of countries, heterogeneous estimating techniques were employed. The research has four important findings; i.There is a cointegration relationship between indicators, ii.The external debt increases the current account deficit, iii.The increase of savings in Turkey decreases the current account deficit, iv.An increase in savings increases the current account deficit in Argentina, Egypt, Pakistan and Qatar. This study, which will contribute to the expansion of typology, is also contributory to the “Triple Deficit Hypothesis”.

Anahtar Kelimeler

Current Account Deficit, Savings, Triple Deficit, Heterogeneous Panel, Cointegration with Structural Breaks, Unit Root with Structural Breaks

Kaynakça

• ALTUNÖZ, U., (2018). Cari açık bütçe açığı ve yatırım-tasarruf açığı bağlamında Türkiye’nin üçüz açık analizi. Maliye Dergisi, Temmuz-Aralık 2018, 175, pp.115-139.
• ARISTOVNIK, A., (2006). The determinants excessiveness of current account deficits in Eastern Europe and the former Soviet Union. The William Davidson Institute Working Paper, (827), pp.1-26.
• AYLA, D. and KÜÇÜKKALE, Y., (2018). Cari açık ve tasarruf ilişkisi: Caldéron Argümanı bağlamında Türkiye örneği. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 32(2), pp.315-334.
• BARIŞ, S. and UZAY, N., (2015). Yurtiçi tasarruflar ve ekonomik büyüme arasındaki ilişki: Türkiye örneği. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 46, pp.119-151.
• BRISSIMIS, S. N., HONDROYIANNIS, G., PAPAZOGLOU, C., TSAVEAS, N. T., and VASARDANI, M. A., (2010). Current account determinants and external sustainability in periods of structural change. Bank of Greece Working Paper, pp.117, 1-38.
• BRISSIMIS, S., HONDROYIANNIS, G., PAPAZOGLOU, C., TSAVEAS, N., and VASARDANI, M., (2011). The determinants of current account imbalances in the Euro aArea: a panel estimation approach. Munich Personal Repec Archive, 35362, pp.1-30.
• CALDÉRON, C., CHONG, A., and LOAYZA, N., (2000). Determinants of current account deficits in developing countries. Policy Research Working Paper, 2398, pp.1-37.
• CALDÉRON, C., CHONG, A., LOAYZA, N., (2002). Determinants of current account deficits in developing countries. Contributions to Macroeconomics, 2(1), pp.1-31.
• CALDÉRON, C., CHONG, A., ZANFORLIN, L., (2001). Are African current account deficits different? Stylized facts, transitory shocks and decomposition analysis. IMF Working Paper, 1(4), pp.1-39.
• CARRION-I-SILVESTRE, J., CASTRO, T., and LÓPEZ‐BAZO, E., (2005). Breaking the panels: an application to the GDP per capita. The Econometrics Journal, (2), pp.159-175.
• CHOI, H., MARK, N. C., and SUL, D., (2008). Endogenous discounting, The World saving glut and the U.S. current account. Journal of International Economics, (75), pp.30-53.
• CHOWDHURY, K., and SALEH, A.S., (2007). Testing the Keynesian proposition of twin deficits in the presence of trade liberalisation: evidence from Sri Lanka. Department of Economics, University of Wollongong.
• ÇIĞDEM, G., (2017). Investigation of the relationship between current account deficit and savings in Mena Economies: an empirical approach. Int. Eco. Res, 2017, 8(3), pp.01–06.
• ÇIĞDEM, G. and ÜLGEN, G., (2017). Is the inadequacy of national savings the reason of current account deficit? Empirical analysis in Fragile Eight. The Empirical Economics Letters, 16(4), pp.297-310.
• EBERHARDT, M. and BOND, S., (2009). Cross-section dependence in nonstationary panel models: a novel estimator. MPRA Paper 17692, University Library of Munich. Available at: http://mpra.ub.uni-muenchen.de/17692/1/MPRA_paper_17692.pdf.
• EBERHARDT, M. and TEAL F., (2010). Productivity analysis in global manufacturing production. Economics Series Working Papers 515, University of Oxford, Department of Economics.
• ENGEL, C., and ROGERS, J. H., (2006). The U.S. current account deficit and the expected share of World output. Journal of Monetary Economics, 53, pp.1063-1093.
• GENGENBACH, C., URBAIN, J. P., and WESTERLUND, J., (2016). Error correction testing in panels with common stochastic trends. Journal of Applied Econometrics, 31(6), pp.982-1004.
• GÜLOGLU, B., TEKIN, R.B., and SARIDOGAN, E., (2012). Economic determinants of technological progress in G7 countries a re-examination. Economic Letters, 116, pp.604-608.
• HERRMANN, S., and JOCHEM, A., (2005). Determinants of current account developments in the Central and East European EU member states – consequences for the enlargement of the Euro Area. Deutsche Bundesbank Discussion Paper, 32, pp.1-43.
• KAPETANIOS, G., PESARAN H. M., and YAMAGATA, T., (2011). Panels with non-stationary multifactor error with structures. Journal of Econometrics, 160(2), pp.326-348.
• KARANFIL, M., (2014). Türkiye ekonomisinde tasarruf açığı sorunu: zaman serisi analizi. Journal Of Entrepreneurship And Development, 9(2), pp.1-18.
• KAYGISIZ, A.D., KAYA, D.G., and KÖSEKAHYAOĞLU, L., (2016). Türkiye’de tasarruf, yatırım, cari açık ve büyüme: 1980-2014 dönemi üzerine bir nedensellik ilişkisi analizi. Çankırı Karatekin Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 7(1), pp.273-300.
• KETENCI, N., (2010). Major determinants of current account in Russia. Transition Studies Review, 17(4), pp.790-806.
• KETENCi, N. and UZ, İ., (2009). Determinants of current account in the EU: the relation between internal and external balances. International Conference on Applied Economics, pp.297-306.
• LIANG, S., (2012). Determinants of the U.S. current account. International Journal of Social and Human Sciences, 6, pp.297-302.
• MADDALA, G.S., TROST, R.P., LI, H., and JOUTZ, F., (1997). Estimation of short-run and long-run elasticities of energy demand from panel data using sharinkage estimators. Journal of Business and Economic Statistics, 15, pp.90-100.
• MURTY, K. S., SAILAJA, K., and MULUGETA, D. W., (2013). Macroeconomic determinants of current account deficit in Ethiopia. Excel International Journal of Multidisciplinary Management Studies, 3(1), pp.1-13.
• OBSTFELD, M., and ROGOFF, K., (1994). The intertemporal approach to the current account. National Breau Economic Research, (4893), pp.1-75.
• O’CONNELL, P., (1998). The overvaluation of purchasing power parity. Journal of International Economics, 44, pp.1–19.
• PEDRONI, P., (2001). Purchasing power parity tests in cointegrated panels. The Reviews of Economics and Statistics, 83(4), pp.727-731.
• PESARAN, M. H., (2006). Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica, 74(4), pp.967-1012.
• PESARAN, M.H., (2007). A Simple panel unit root test in the presence of cross sectional dependence. Journal of Applied Econometrics, 22(2), pp.265-312.
• PESARAN, M.H., (2015). Testing weak cross-sectonal dependence in large panels. Econometric Reviews, 34, pp.1089-1117.
• PESARAN, M. H. and SMITH R.P., (1995). Estimating long-run relationships from dynamic heterogeneous panels. Journal of Econometrics, 68(1),pp.79-113.
• PESARAN, H., ULLAH, A., and YAMAGATA, T., (2008). A bias-adjusted lm test of error crosssection independence. Econometrics Journal, 11, pp.105–127.
• PESARAN, M.H., and YAMAGATA, T., (2008). Testing slope homogeneity in large panels. Journal of Econometrics, 142(1), pp.50-93.
• SWAMY, P.A.V.B., (1970). Efficient inference in a random coefficient regression model. Econometrica, 38(2), pp.311-323.
• TAYLOR, A.M., (2002). A century of current account dynamics. Journal of International Money and Finance, 21(6), pp.725-748.
• TAYLOR, M.P., and SARNO, L., (1998). The behavior of real exchange rates during the post-Bretton Woods period. Journal of International Economics, 46, pp.281-312.
• WESTERLUND, J., (2006). Testing for Panel Cointegration with Multiple Structural Breaks. Oxford Bulletin of Economics&Statistics, 68(1), pp.101-132.
• WESTERLUND J., and EDGERTON, D.L., (2008). A simple test for cointegration in dependent panels with structural breaks. Oxford Bulletin of Economics and Statistics, 70(5), pp.665-704.
• ZELLNER, A., (1962). An efficient method of estimating seemingly unrelated regressions and tests for aggregation bias. Journal of American Statistical Association, 57(298), pp.348-368.