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Panel Cointegration, Quantile Regressions, Asymmetric Adjustments and Crises: The Case of EU Current Accounts

Author

Listed:
  • Simeon Coleman

    (School of Business and Economics, Loughborough University, UK)

  • Juan Carlos Cuestas

    (Department of Economics and Finance, Tallinn University of Technology and Research Unit, Eesti Pank, Estonia; IEI and Department of Economics, Universitat Jaume I, Castellón, Spain)

Abstract

This paper investigates the relationships between the current account and several fundamentals, including the real exchange rate, government consumption, investment, openness, terms of trade and real income in the EU28 group of countries. A main feature of the study is that we also assess the relationships for two subgroups, the EU15 + Cyprus and Malta, and the CEECs. Using data spanning 1995q1 and 2019q2, we identify similarities and differences between the responses in these two subgroups which are obscured when an aggregate study of the EU28 is conducted, rather than the sub-groups. Our results suggest that, in assessing the current account for economic blocs, an a priori assumption of similar relationships for member countries may be misplaced.

Suggested Citation

  • Simeon Coleman & Juan Carlos Cuestas, 2020. "Panel Cointegration, Quantile Regressions, Asymmetric Adjustments and Crises: The Case of EU Current Accounts," Working Papers 2020/26, Economics Department, Universitat Jaume I, Castellón (Spain).
    • Handle: RePEc:jau:wpaper:2020/26
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    References listed on IDEAS

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    Cited by:

    1. Cuestas, Juan Carlos & Monfort, Mercedes & Ordóñez, Javier, 2024. "Gas price shocks, the current account, and the real exchange rate: An empirical analysis for the EU," Finance Research Letters, Elsevier, vol. 60(C).

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    More about this item

    Keywords

    Current account; external debt; quantile regression; Bayesian; asymmetric model; structural breaks; European integration;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F15 - International Economics - - Trade - - - Economic Integration

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