Nagayasu, Jun (2012): The threshold consumption correlation-based approach to international capital mobility: evidence from advanced and developing countries.
Download (332Kb) | Preview
Using the consumption correlation-based criterion, this paper analyzes international capital mobility for both advanced and developing countries. We provide evidence that global capital markets are imperfectly integrated for both advanced and developing countries. However, a clear difference between these groups of countries emerges when their consumption growth has stagnated; in developing countries at such times, the opportunity to smooth their consumption drops dramatically.
|Item Type:||MPRA Paper|
|Original Title:||The threshold consumption correlation-based approach to international capital mobility: evidence from advanced and developing countries|
|Keywords:||International capital mobility; Panel data approach; Threshold model; Consumption correlation|
|Subjects:||F - International Economics > F3 - International Finance > F30 - General|
|Depositing User:||Nagayasu Jun|
|Date Deposited:||27. Jan 2012 16:11|
|Last Modified:||18. Feb 2013 07:26|
Apergis, N., Tsoumas, C., 2009. A survey of the Feldstein-Horioka puzzle: what has been done and where we stand. Research in Economics 63, 64-76.
Atkeson, A., Bayoumi, T., 1993. Do private capital markets insure regional risk? evidence from the United States and Europe. Open Economies Review 4, 303-324.
Backus, D. K., Kehoe, P., Kydland, F. E., 1992. International real business cycles. Journal of Political Economy 100 (4), 745–775.
Boyreau-Debray, G., Wei, S. J., 2004. Can China grow faster? a diagnosis of the fragmentation of its domestic capital market. IMF Working Paper WP/04/76.
Camarero, M., Carrion-i-Silvestre, J. L., Tamarit, C., 2010. Does real interest parity hold for OECD countries? new evidence using panel stationarity tests with cross-sectional dependence and structural breaks. Scottish Journal of Political Economy 57, 568-590.
Carmichael, B., Keita, S., Samson, L.,1999. Liquidity constraints and business cycles in developing countries. Review of Economic Dynamics 2, 370-402.
Chinn, M. D., Meredith G., 2004. Monetary policy and long-horizon uncovered interest parity. IMF Staff Paper 51, 409-430.
Choi, I., 2001. Unit root tests for panel data. Journal of International Money and Finance 20, 249-272.
Das, S., Sarkar N., 2010. Is the relative risk aversion parameter consistent over time? a multi-country study. Empirical Economics 38, 605-617.
Dufrenot, G., Mignon V., 2004. Modeling the French consumption function using SETAR. Economics Bulletin 3, 1-16.
Feldstein, M., Horioka, C., 1980. Domestic saving and international capital flows. Economic Journal 90, 314–329.
Frankel, J. A., 1992. Measuring international capital mobility: a review. American Economic Review 82, 197-202.
Habibullah, M. S., Smith, P., Azman-Saini, W. N. W., 2006. Testing liquidity constraints in 10 Asian developing countries: an error-correction model approach. Applied Economics 38, 2535-2543.
Hall, S. G., Psaradakis, Z., Sola, M., 1997. Cointegration and changes in regime: the Japanese consumption function. Journal of Applied Econometrics 12, 151-168.
Hansen, B. E., 1999. Threshold effects in non-dynamic panels: estimation, testing and inferences. Journal of Econometrics 93, 345-368.
Haque, N. U., Montiel P., 1989. Consumption in developing countries: tests for liquidity constraints and finite horizons. Review of Economics and Statistics 71, 408-415.
Harris, R. D. F., Tzavalis E., 1999. Inference for unit roots in dynamic panels where the time dimension is fixed. Journal of Econometrics 91, 201–226.
Koedijk, K. G., Smant D. J. C., 1994. The permanent income hypothesis, business cycles, and regime shifts: evidence from eight countries. De Economist 142, 307-325.
Kollmann, R., 1996. Incomplete asset markets and the cross-country consumption correlation puzzle. Journal of Economic Dynamics and Control 20, 945-961.
Lee, C-C., Chang C-P., 2008. Energy consumption and economic growth in Asian countries: a more comprehensive analysis using panel data. Resource and Energy Economics 30, 50-65.
Levin, A., Lin C-F., Chu, C-S J., 2002. Unit root tests in panel data: asymptotic and finite-sample properties. Journal of Econometrics 108, 1–24.
Lewis, K. K., 1996. What can explain the apparent lack of international consumption risk sharing? Journal of Political Economy 104, 267-297.
Lothian, J. R., Wu L., 2011. Uncovered interest-rate parity over the past two centuries. Journal of International Money and Finance 30, 448-473.
MacDonald, R., Nagayasu J., 2000. The long-run relationship between real exchange rates and real interest rate differentials: a panel study. IMF Staff Papers 47, 116-128.
Mehrara, M., 2007. Energy consumption and economic growth: the case of oil exporting countries. Energy Policy 35, 2939-2945.
Nagayasu, J., 2010. Domestic capital mobility: a panel data approach. MPRA Paper 27720, University Library of Munich, Germany.
Obstfeld, M., 1994. Are industrial-country consumption risks globally diversified? In L. Leiderman and A. Razin eds. Capital Mobility: The Impact on Consumption, Investment and Growth. Cambridge: Cambridge University Press.
Obstfeld, M., 1986. Capital mobility in the world economy: theory and measurement. Carnegie-Rochester Conference Series on Public Policy 24, 55-103.
Obstfeld, M., Rogoff, K., 2000. The six major puzzles in international macroeconomics: is there a common cause?, in B. Bernanke and K. Rogoff. NBER Macroeconomics Annual 2000 15, The MIT Press, 339–390.
Ogaki, M., Zhang, Q., 2001. Decreasing relative risk aversion and tests of risk sharing. Econometrica 69, 515-526.
Pakko, M. R., 1998. Characterizing cross-country consumption correlations. Review of Economics and Statistics 80, 169-174.
Rao, B. B., Sharma K. L., 2007. Testing the permanent income hypothesis in the developing and developed countries: a comparison between Fiji and Australia, MPRA Paper No. 2725.
Sarno, L., 2005. Viewpoint: towards a solution to the puzzles in exchange rate economics: where do we stand? Canadian Journal of Economics 38, 673-708.
Sinha, T., Sinha D., 2004. The mother of all puzzles would not go away. Economics Letters 82, 259-267.
Taylor, A. M., 1994. Domestic saving and international capital flows reconsidered. NBER Working Papers No. 4892. NBER: Cambridge.
Taylor, M. P., 1987. Covered interest parity: a high-frequency, high-quality data study. Economica 54, 429-438. Townsend, R. M., 1994. Risk and insurance in village India. Econometrica 62, 539-591.