AbstractThis paper uses fractional integration and cointegration to model the DM–US dollar and the yen–US dollar real exchange rates in terms of both monetary and real factors, more specifically real interest rate and labour productivity differentials. We find that whilst the individual series may be integrated of order 1, their long‐run relationship might have a fractionally cointegrated structure. This means that mean reversion occurs, consistently with the findings of other studies. However, it also indicates, in contrast to such studies, that the cointegrating relationship possesses long memory. In other words, the error correction term responds slowly to shocks, implying that deviations from equilibrium are long‐lived. It appears that only a combination of real and monetary variables can accurately track down the movements of real exchange rates.
Purpose of this study is to test the association between savings and current account deficit of the "New Fragile Five" falling into critical cycle. 1994-2019 period annual national savings, current account balance and external debt have been analyzed within the framework of panel data analysis. At the modeling stage of the research focused on the cointegration relationship. Panel cointegration tests with structural breaks based on LM were used. To examine the unique economic structures of countries, heterogeneous estimating techniques were employed. The research has four important findings; i.There is a cointegration relationship between indicators, ii.The external debt increases the current account deficit, iii.The increase of savings in Turkey decreases the current account deficit, iv.An increase in savings increases the current account deficit in Argentina, Egypt, Pakistan and Qatar. This study, which will contribute to the expansion of typology, is also contributory to the "Triple Deficit Hypothesis". ; Purpose of this study is to test the association between savings and current account deficit of the "New Fragile Five" falling into critical cycle. 1994-2019 period annual national savings, current account balance and external debt have been analyzed within the framework of panel data analysis. At the modeling stage of the research focused on the cointegration relationship. Panel cointegration tests with structural breaks based on LM were used. To examine the unique economic structures of countries, heterogeneous estimating techniques were employed. The research has four important findings; i.There is a cointegration relationship between indicators, ii.The external debt increases the current account deficit, iii.The increase of savings in Turkey decreases the current account deficit, iv.An increase in savings increases the current account deficit in Argentina, Egypt, Pakistan and Qatar. This study, which will contribute to the expansion of typology, is also contributory to the "Triple Deficit Hypothesis".
This paper uses heterogeneous panel cointegration techniques to estimate the long-run effect of income inequality on per-capita income for 46 countries over the period 1970–1995. We find that inequality has a negative long-run effect on income, both for the sample as a whole and for important sub-groups within the sample (developed countries, developing countries, democracies, and non-democracies). The effect is economically important, with a magnitude about half as high as the magnitude of an increase in the investment share. ; peerReviewed
