Nagayasu, Jun (2010): Domestic Capital Mobility: A Panel Data Approach.
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This paper analyzes capital mobility within Japan based on the consumption-based correlation method developed by Obstfeld (1994). This thoery suggests that consumption in one region is closely related to that in other regions if the capital market is open. We test this theoretical implication in the panel data context using the dynamic factor model which enables us to estimate unobservable common factors. Then we provide evidence of perfect capital mobility and capital integration having advanced rapidly between 1965 and 1975. Furthermore, the common factor is found to affect regional consumption heterogeneously and to be closely associated with stock returns.
|Item Type:||MPRA Paper|
|Original Title:||Domestic Capital Mobility: A Panel Data Approach|
|Keywords:||Capital mobility, Dynamic factor model|
|Subjects:||E - Macroeconomics and Monetary Economics > E2 - Macroeconomics: Consumption, Saving, Production, Employment, and Investment > E21 - Consumption; Saving; Wealth
C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C33 - Models with Panel Data; Longitudinal Data; Spatial Time Series
F - International Economics > F3 - International Finance > F36 - Financial Aspects of Economic Integration
|Depositing User:||Nagayasu Jun|
|Date Deposited:||28. Dec 2010 06:42|
|Last Modified:||14. Feb 2013 12:21|
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