12.2014 Version_Manuscript lboro.pdf (275.09 kB)
Threshold cointegration and the short-run dynamics of twin deficit hypothesis in African countries
journal contribution
posted on 2015-06-22, 10:49 authored by Ahmad Hassan AhmadAhmad Hassan Ahmad, Olalekan B. Aworinde, Christopher MartinThis paper examines the relationship between the fiscal deficit and the current account deficit using the threshold cointegration approach of Hansen and Seo (2002). Using quarterly data for nine African countries for the period 1980-2009, a long-run positive cointegrating relationship is established for six out of the nine countries examined, while the relationship is negative for the other three. This provides qualified support for the twin convergence hypothesis. Threshold error correction effects show some diversity in the speed of adjustment of the current account relative to the speed of adjustment of the fiscal deficit. This may be a reflection of differences in the way fiscal policy issues are handled across the countries.
History
School
- Business and Economics
Department
- Economics
Published in
Journal of Economic AsymmetriesVolume
12Issue
2Pages
80 - 91Citation
AHMAD, A.H., AWORINDE, O.B. and MARTIN, C., 2015. Threshold cointegration and the short-run dynamics of twin deficit hypothesis in African countries. The Journal of Economic Asymmetries, 12 (2), pp. 80 - 91.Publisher
© ElsevierVersion
- AM (Accepted Manuscript)
Publisher statement
This work is made available according to the conditions of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) licence. Full details of this licence are available at: https://creativecommons.org/licenses/by-nc-nd/4.0/Publication date
2015Notes
This paper was accepted for publication in the journal The Journal of Economic Asymmetries and the definitive published version is available at http://dx.doi.org/10.1016/j.jeca.2015.03.001ISSN
1703-4949Publisher version
Language
- en