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Saving behaviour under terms-of-trade uncertainty: evidence from hidden cointegration approach
Halmstad University, School of Business, Engineering and Science, Centre for Innovation, Entrepreneurship and Learning Research (CIEL).ORCID iD: 0000-0003-0447-9349
2017 (English)In: Macroeconomics and Finance in Emerging Market Economies, ISSN 1752-0843, Vol. 10, no 2, p. 135-150Article in journal (Refereed) Published
Abstract [en]

There are very few studies on the asymmetric relationship between private saving (PS) and terms-of-trade uncertainty. This paper examines the extent to which terms-of-trade shocks have an asymmetric effect on PSs in 18 Latin American countries (LACs) over the period 1970-2012. By using the recently developed hidden cointegration analysis within a likelihood-based panel framework and panel-error-correction technique, the results indicate that there exists a long-run relationship between PS and terms-oftrade volatility. It has found some support for the view that the PS ratios have responded asymmetrically to the terms-of-trade variability as an indicator of risk and income uncertainty. The findings of this study confirm that behavioural factors, particularly loss aversion as developed through prospect theory, influence PS patterns. © 2016 Informa UK Limited, trading as Taylor & Francis Group.

Place, publisher, year, edition, pages
Abingdon: Routledge, 2017. Vol. 10, no 2, p. 135-150
Keywords [en]
Terms-of-trade volatility, hidden cointegration, private saving, asymmetry, behavioural economics, pooled-mean-group estimator
National Category
Economics
Identifiers
URN: urn:nbn:se:hh:diva-41577DOI: 10.1080/17520843.2016.1223729ISI: 000450843800002Scopus ID: 2-s2.0-84986214985OAI: oai:DiVA.org:hh-41577DiVA, id: diva2:1391384
Available from: 2020-02-04 Created: 2020-02-04 Last updated: 2020-02-04Bibliographically approved

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