| By: |
Liesenfeld, Roman;
Moura, Guilherme V;
Richard, Jean-François |
| Abstract: |
We use panel probit models with unobserved heterogeneity and serially
correlated errors in order to analyze the determinants and the dynamics of
current-account reversals for a panel of developing and emerging countries.
The likelihood evaluation of these models requires high-dimensional
integration for which we use a generic procedure known as Efficient Importance
Sampling (EIS). Our empirical results suggest that current account balance,
terms of trades, foreign reserves and concessional debt are important
determinants of the probability of current-account reversal. Furthermore we
find under all specifications evidence for serially correlated error
components and weak evidence for state dependence. |
| Keywords: |
Panel data, Dynamic discrete choice, Current account reversals, Importance Sampling, Monte Carlo integration, State dependence |
| JEL: |
C15 C23 C25 F32 |
| Date: |
2007 |
| URL: |
http://d.repec.org/n?u=RePEc:zbw:cauewp:5584&r=dcm |