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Threshold cointegration and the short-run dynamics of twin deficit hypothesis in African countries

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journal contribution
posted on 22.06.2015, 10:49 authored by Ahmad Hassan AhmadAhmad Hassan Ahmad, Olalekan B. Aworinde, Christopher Martin
This 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 Asymmetries

Volume

12

Issue

2

Pages

80 - 91

Citation

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

© Elsevier

Version

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

2015

Notes

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.2015.03.001

ISSN

1703-4949

Language

en