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The behavior of external debt in Asian countries: evidence based on panel unit root tests

This article investigates the mean-reverting behavior of the external debt ratio based on a clustered of 19 Asian countries from 1981 to 2010. For this purpose, we use a government's intertemporal budget constraint (GIBC) model popularized by Hamilton and Flavin (1986). Our conclusions were dra...

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Main Authors: Lau, Evan, Baharumshah, Ahmad Zubaidi, Soon, Siew Voon
Format: Article
Language:English
Published: Vilnius Gediminas Technical University (VGTU) Press Technika 2013
Online Access:http://psasir.upm.edu.my/id/eprint/28317/1/The%20behavior%20of%20external%20debt%20in%20Asian%20countries.pdf
http://psasir.upm.edu.my/id/eprint/28317/
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spelling my.upm.eprints.283172017-07-10T05:53:15Z http://psasir.upm.edu.my/id/eprint/28317/ The behavior of external debt in Asian countries: evidence based on panel unit root tests Lau, Evan Baharumshah, Ahmad Zubaidi Soon, Siew Voon This article investigates the mean-reverting behavior of the external debt ratio based on a clustered of 19 Asian countries from 1981 to 2010. For this purpose, we use a government's intertemporal budget constraint (GIBC) model popularized by Hamilton and Flavin (1986). Our conclusions were drawn from panel data based tests, including the newly developed test that accounts for both cross-sectional dependency and structural breaks. Two major findings are noteworthy; first majority debt ratios in the Asian countries are affected by structural breaks. Second, we find unit root tests that do not accommodate breaks are less likely to detect mean reversion in the debt ratios. In all, our results indicate debt sustainability is a general characteristic of all the Asian countries. Vilnius Gediminas Technical University (VGTU) Press Technika 2013 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/28317/1/The%20behavior%20of%20external%20debt%20in%20Asian%20countries.pdf Lau, Evan and Baharumshah, Ahmad Zubaidi and Soon, Siew Voon (2013) The behavior of external debt in Asian countries: evidence based on panel unit root tests. Journal of Business Economics and Management, 14 (suppl. 1). S377-S394. ISSN 1611-1699; ESSN: 2029-4433 10.3846/16111699.2012.720589
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
description This article investigates the mean-reverting behavior of the external debt ratio based on a clustered of 19 Asian countries from 1981 to 2010. For this purpose, we use a government's intertemporal budget constraint (GIBC) model popularized by Hamilton and Flavin (1986). Our conclusions were drawn from panel data based tests, including the newly developed test that accounts for both cross-sectional dependency and structural breaks. Two major findings are noteworthy; first majority debt ratios in the Asian countries are affected by structural breaks. Second, we find unit root tests that do not accommodate breaks are less likely to detect mean reversion in the debt ratios. In all, our results indicate debt sustainability is a general characteristic of all the Asian countries.
format Article
author Lau, Evan
Baharumshah, Ahmad Zubaidi
Soon, Siew Voon
spellingShingle Lau, Evan
Baharumshah, Ahmad Zubaidi
Soon, Siew Voon
The behavior of external debt in Asian countries: evidence based on panel unit root tests
author_facet Lau, Evan
Baharumshah, Ahmad Zubaidi
Soon, Siew Voon
author_sort Lau, Evan
title The behavior of external debt in Asian countries: evidence based on panel unit root tests
title_short The behavior of external debt in Asian countries: evidence based on panel unit root tests
title_full The behavior of external debt in Asian countries: evidence based on panel unit root tests
title_fullStr The behavior of external debt in Asian countries: evidence based on panel unit root tests
title_full_unstemmed The behavior of external debt in Asian countries: evidence based on panel unit root tests
title_sort behavior of external debt in asian countries: evidence based on panel unit root tests
publisher Vilnius Gediminas Technical University (VGTU) Press Technika
publishDate 2013
url http://psasir.upm.edu.my/id/eprint/28317/1/The%20behavior%20of%20external%20debt%20in%20Asian%20countries.pdf
http://psasir.upm.edu.my/id/eprint/28317/
_version_ 1643829429143601152
score 13.211869

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