Di Iorio, Francesca and Fachin, Stefano (2010): A Panel Cointegration study of the long-run relationship between Savings and Investments in the OECD economies, 1970-2007.
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In this paper we test for the existence of a long-run savings-investments relationship in 18 OECD economies over the period 1970-2007. Although individual modelling provides only very weak support to the hypothesis of a link between savings and investments, this cannot be ruled out as individual time series tests may have low power. We thus construct a new bootstrap test for panel cointegration robust to short- and long-run dependence across units. Thid test provides evidence of a long-run savings-investments relationship in about half of the OECD economies examined. The elasticities are however often smaller than 1, the value expected under no capital movements.
|Item Type:||MPRA Paper|
|Original Title:||A Panel Cointegration study of the long-run relationship between Savings and Investments in the OECD economies, 1970-2007|
|Keywords:||Savings, Investments, Feldstein-Horioka puzzle, OECD, Panel Cointegration, Stationary Bootstrap.|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General
E - Macroeconomics and Monetary Economics > E2 - Macroeconomics: Consumption, Saving, Production, Employment, and Investment > E22 - Capital; Investment; Capacity
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General
C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C33 - Models with Panel Data; Longitudinal Data; Spatial Time Series
|Depositing User:||Stefano Fachin|
|Date Deposited:||15. Oct 2010 00:18|
|Last Modified:||11. Feb 2013 19:30|
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