Current account: mean-reverting or random walk behavior?
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-c...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Published: |
North-Holland
2006
|
| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/7147/ |
| _version_ | 1848836066920890368 |
|---|---|
| author | Lau, Evan Ahmad Zubaidi, Baharumshah Chan, Tze Haw |
| author_facet | Lau, Evan Ahmad Zubaidi, Baharumshah Chan, Tze Haw |
| author_sort | Lau, Evan |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-15T06:17:52Z |
| format | Article |
| id | unimas-7147 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| last_indexed | 2025-11-15T06:17:52Z |
| publishDate | 2006 |
| publisher | North-Holland |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-71472016-04-14T00:29:02Z http://ir.unimas.my/id/eprint/7147/ Current account: mean-reverting or random walk behavior? Lau, Evan Ahmad Zubaidi, Baharumshah Chan, Tze Haw HB Economic Theory 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. North-Holland 2006 Article PeerReviewed Lau, Evan and Ahmad Zubaidi, Baharumshah and Chan, Tze Haw (2006) Current account: mean-reverting or random walk behavior? Japan and the World Economy, 18 (1). pp. 90-107. ISSN 0922-1425 http: www.elsevier.com/locate/econbase |
| spellingShingle | HB Economic Theory Lau, Evan Ahmad Zubaidi, Baharumshah Chan, Tze Haw Current account: mean-reverting or random walk behavior? |
| title | Current account: mean-reverting or random
walk behavior? |
| title_full | Current account: mean-reverting or random
walk behavior? |
| title_fullStr | Current account: mean-reverting or random
walk behavior? |
| title_full_unstemmed | Current account: mean-reverting or random
walk behavior? |
| title_short | Current account: mean-reverting or random
walk behavior? |
| title_sort | current account: mean-reverting or random
walk behavior? |
| topic | HB Economic Theory |
| url | http://ir.unimas.my/id/eprint/7147/ http://ir.unimas.my/id/eprint/7147/ |