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Mean Reversion of the Current Account and Sustainability : Evidence from European Countries

Author

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  • Kurmas Akdogan

Abstract

Stationarity of the current account is suggested as an indicator of the current account sustainability in the literature. We explore the presence of mean-reverting behaviour in current accounts of 24 European countries, using linear and nonlinear unit root tests. Our results suggest mean reversion of the current account-to-GDP ratios for almost two-thirds of the countries in our sample, hence; provide supporting evidence for the current account sustainability of these countries.

Suggested Citation

  • Kurmas Akdogan, 2014. "Mean Reversion of the Current Account and Sustainability : Evidence from European Countries," Working Papers 1411, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    • Handle: RePEc:tcb:wpaper:1411
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    File URL: https://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN/Main+Menu/Publications/Research/Working+Paperss/2014/14-11
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    More about this item

    Keywords

    Current account sustainability; stationarity; non-linear adjustment; non-linear models;
    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
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements

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