期刊
JAPAN AND THE WORLD ECONOMY
卷 18, 期 1, 页码 90-107出版社
ELSEVIER
DOI: 10.1016/j.japwor.2004.05.005
关键词
current account; mean reversion; unit root tests; sustainability; Asian-5; half-lives
类别
This paper sets out to investigate the statistical properties of current account in the crisis-affected countries of East Asian (Asian-5: Indonesia, Korea, Malaysia, the Philippines and Thailand) utilizing data from 1976Q1 to 2001Q4. We split the full sample period into two sub-periods of the pre-crisis (1976Q1-1996Q4) and post-crisis (1997Q1-2001Q4) eras. Univariate unit root tests indicate that current account follows a non-stationary process under both eras. However, using more sophisticated panel techniques revealed that the current account displays mean-reverting property in all three sampling periods. Meanwhile, deviations of half-life estimates in the full sample period (post-crisis) were found to be much more rapid compared to the pre-crisis period. Our major conclusions are first, the empirical evidence supports the modern intertemporal approach to current account. Second, the results reveal that the Asian-5 current accounts were on a sustainable path, even during the pre-crisis period, hence, questioning the notion that the East Asian financial crisis was due to the mismanagement of external imbalances. (c) 2004 Elsevier B.V. All rights reserved.
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