Threshold cointegration and the short-run dynamics of twin deficit behaviour

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dc.contributor.authorHolmes, Mark J.
dc.date.accessioned2010-12-07T03:31:09Z
dc.date.available2010-12-07T03:31:09Z
dc.date.issued2010
dc.description.abstractThis paper examines the relationship between the current account and budget balances by means of a threshold cointegration approach advocated by Hansen and Seo (2002). Using US data covering 1947–2009, a long-run positive cointegrating relationship is confirmed. This supports the notion of a Keynesian twin deficits relationship. The short-run dynamics are investigated through an estimated threshold vector error correction model. Depending on the regime present, it is either the external or internal balance that is responsible for error correction. This has important implications for the use of fiscal policy to control the external balance.en_NZ
dc.identifier.citationHolmes, M.J. (2010). Threshold cointegration and the short-run dynamics of twin deficit behaviour. Research in Economics, available online on 4 December 2010.en_NZ
dc.identifier.doi10.1016/j.rie.2010.11.004en_NZ
dc.identifier.urihttps://hdl.handle.net/10289/4851
dc.language.isoen
dc.publisherElsevieren_NZ
dc.relation.isPartOfResearch in Economicsen_NZ
dc.subjectcurrent account balanceen_NZ
dc.subjectbudget balanceen_NZ
dc.subjecttwin deficitsen_NZ
dc.subjectthreshold cointegrationen_NZ
dc.titleThreshold cointegration and the short-run dynamics of twin deficit behaviouren_NZ
dc.typeJournal Articleen_NZ
pubs.begin-page271en_NZ
pubs.elements-id35993
pubs.end-page277en_NZ
pubs.issue3en_NZ
pubs.volume65en_NZ
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