A nonlinear investigation of the twin deficits hypothesis over the business cycle: Evidence from Turkey
Küçük Resim Yok
Tarih
2015
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier Science Bv
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
In this paper, we analyze the twin deficits hypothesis covering the period from 1994 to 2012 in Turkey. In contrast to previous studies on Turkey, the existence of twin deficits is investigated by regime-dependent impulse response functions and forecast error variance decompositions based on a multivariate two-regime threshold VAR (WAR) model. Our results suggest that the dynamics between the current account and budget account variables are affected by macroeconomic activity: twin deficits are only the case in the upper regime, when the economy operates above its potential level. When the economy is in the lower regime, budget and trade deficits show divergent movements. The results are consistent with Kim and Roubini (2008), indicating that the divergence of fiscal balance and current account might be explained by the cyclical fluctuations of output. (C) 2014 Elsevier By. All rights reserved.
Açıklama
Anahtar Kelimeler
Budget account, Current account, Threshold VAR model, Business cycle
Kaynak
Economic Systems
WoS Q Değeri
Q3
Scopus Q Değeri
N/A
Cilt
39
Sayı
1
