The Feldstein-Horioka puzzle is not as bad as you think
نویسندگان
چکیده
Saving and investment are I(1) processes and generally do not cointegrate. This suggests the need for a nonstationary panel methodology to estimate the long run saving-investment association. We reconsider the Feldstein-Horioka puzzle using a mean group procedure which provides consistent estimates for nonstationary, heterogeneous panels. The resultant slope coe¢cient estimate for 12 OECD economies 1980I-2000IV is insigni...cantly di¤erent from zero and supports long run capital mobility and the integration of international ...nancial markets. This overturns the ...nding of low capital mobility found using the traditional cross section estimator and, more generally, in the Feldstein-Horioka literature. JEL classi...cation: C23; F31
منابع مشابه
The Feldstein – Horioka puzzle revisited *
This paper confirms the evidence that the Feldstein–Horioka test does not reflect capital mobility in the real side world economy, but only the variability between external and domestic saving. 2000 Elsevier Science S.A. All rights reserved.
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