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標題:Mean reversion in the current account of forty-eight african countries: Evidence from the Panel SURADF test
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出版(發表)日期2007/01/01
作品名稱Mean reversion in the current account of forty-eight african countries: Evidence from the Panel SURADF test
作品名稱(其他語言)
著者Chang, Tsang-yao; Chang, Hsu-ling; Chu, Hsiao-ping; Su, Chi-wei; Yuan, Young
單位淡江大學國際貿易學系暨國際企業研究所
出版者Amsterdam: Elsevier BV * North-Holland
著錄名稱、卷期、頁數PHYSICA A 384, pp.485-492
摘要Here, the Panel seemingly unrelated regressions augmented Dickey–Fuller test (SURADF) test, first introduced and advanced by Breuer et al. [Misleading inferences from panel unit-root tests with an illustration from purchasing power parity, Rev. Int. Econ. 9(3) (2001) 482–493], is used to investigate the mean-reverting behavior of the current account of 48 African countries during the 1980–2004 periods. The empirical results from numerous panel-based unit root tests, conducted earlier, indicated that the current account of each of these countries is stationary; however, when Breuer et al.'s (2001) Panel SURADF test is conducted, it is found that a unit root exists in the current account of 11 of the countries studied. These results have one extremely important policy implication for the 48 African countries studied: the current account deficit of most is sustainable, and thus signifying that those nations should have no incentive to default on their international debt.
關鍵字Mean reversion; Current account; Panel SURADF test
語言英文
ISSN0378-4371
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