International capital mobility in OECD countries: The Feldstein–Horioka `puzzle' revisited

Hussein, Khaled

doi:10.1016/s0165-1765(98)00045-7

Cited by 42 publications

(29 citation statements)

References 17 publications

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“…To remove this line, buy a license at: http://www.software602.com/ In t he r ecent literature with t he improvement of e conometric techniques, cointegration techniques are widely applied to evaluate FHP (see for example Coacley et al, 1996;Hussein, 1998;Ozmen and Parmaksiz, 2003;Kollias et al, 2008;Vasudeva Murthy, 2009). Table 6 presents the results of the Gregory and Hansen (1996) Table 7 indicate the existence of long run relationships between chosen variables in most of the cases when structural breaks are not taken into account.…”

Section: Cointegrationmentioning

confidence: 99%

“…Hussein (1998), for example, using dynamic OLS analysis examined the capital mobility across 23 OECD countries for the period 1960-1993 and took the endogeneity of savings into account. His results illustrated high levels of capital mobility in the cases of 18 countries and only in the cases of 5 countries was the hypothesis of capital immobility not rejected.…”

Section: Introductionmentioning

confidence: 99%

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The Feldstein–Horioka Puzzle and structural breaks: Evidence from EU members

Ketenci

2012

Economic Modelling

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The purpose of this paper is to investigate the level of capital mobility in European Union members using the Feldstein-Horioka puzzle proposed by Feldstein and Horioka (1980) in order to investigate relations between saving and investment flows. In this paper, data for 27 European countries were used over the period of 1995-2009 on the quarterly basis. Data were extracted from the official statistical site of the European Union, Eurostat. Firstly, unit root tests were applied to the series in order to estimate the stationarity of the model variables. Two different tests were used, which are the Ng and Perron (2001) unit root test procedure and approach proposed by Zivot and Andrews (1992) for unit root test allowing for a structural shift. Then the Bai and Perron (1998) structural break test was applied to determine the presence of structural breaks in series. In most countries except Belgium and Finland UDmax and WD max tests rejected the hypothesis of no breaks. Moreover, structural break locations for every series were selected by sequentially procedure, BIC and LWZ. Finally, the cointegration relationships between investment and saving flows of European Union members were tested. Three different cointegration techniques were applied to the data. Firstly, the Johansen (1988) cointegration approach was used for the case of no cointegration shifts, then the Gregory and Hansen (1996) cointegration test was applied, which allows for one structural shift. Finally, again the Johansen' cointegration approach was used; however, this time with the inclusion of dummy variables related to earlier selected structural break locations.The empirical results provided stronger evidence of cointegration between investment and saving variables in the case of structural break accommodation compared to the case where the presence of structural breaks was ignored. In most cases of estimations saving-investment correlation has a tendency to increase with regime changes. However, the estimated saving retention coefficient in the presence of structural breaks using the Bai and Perron (1998) approach appeared relatively low in many cases, illustrating by this the openness of estimated countries. In general, world and European countries with time have a tendency to a higher level of their capital market openness. According to Feldstein and Horioka (1980), a higher saving-investment correlation is related to lower capital mobility. Therefore, the contradicting results between saving retention coefficient estimates and cointegration tests illustrate that cointegration indicates a rather current account solvency condition than capital mobility. Estimations of a saving retention coefficient in the presence of structural changes do not support the existence of the Feldstein-Horioka Puzzle in the considered EU countries. JEL: F32Key Words: F eldstein-Horioka puzzle, saving-investment a ssociation, capital mobility, cointegration, structural breaks, EU. Another direction is related to attempts to provide evidence that the results of...

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Section: Cointegrationmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

The Feldstein–Horioka Puzzle and structural breaks: Evidence from EU members

Ketenci

2012

Economic Modelling

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“…1 For instance, Hussein (1998) employs Dynamic Ordinary Least Squares (DOLS) techniques to estimate the S-I relationship for a sample of 23 OECD countries using data for the period 1960-1993 and obtain results which imply that capital mobility is remarkably high in the majority of the sample countries.…”

Section: Brief Survey On F-h Puzzlementioning

confidence: 99%

Testing the validity of the Feldstein–Horioka puzzle for Australia

2012

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This paper presents an investigation into the relationship between investment and savings in Australia over the period . Using four time series techniques our results reveal that the Feldstein-Horioka puzzle exists in a weak form with a lower saving retention coefficient. Granger Causality tests illustrate that savings Granger cause investment both in the short and long runs. Our results suggest Australia could effectively adopt policies that focus on increasing investment through increasing domestic savings

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“…Bu kapsamdaki çalışmalar bakınız (Harberger, 1980;Sachs, 1983;Murphy, 1984;Dooley vd., 1987;Tesar, 1991;Husted, 1992;Sinn, 1992;Baxter ve Crucini, 1993;Jansen, 1996;Coakley vd., 1996;Moreno, 1997;Sachsida ve Caetano, 2000;Sinha ve Sinha, 2004;Bahmani-Oskooee ve Chakrabarti, 2005 Feldstein, 1983;Murphy, 1984;Penati ve Dooley, 1984;Obstfeld, 1986;Dooley vd., 1987;Feldstein ve Bacchetta, 1989;Golub, 1990;Tesar, 1991;Coakley vd., 1998;Vamvakidis ve Wacziarg, 1998;Obstfeld ve Rogoff, 2000;Herwartz ve Xu, 2010 şeklinde ifade etmek mümkün olmaktadır. Bununla beraber, Obstfeld, 1985;Miller, 1988;Bayoumi, 1989;Tesar, 1993;Argimon ve Roldan, 1994;Jansen, 1996;Coakley ve Kulasi, 1997;Hussein, 1998;Coakley vd., 2001;Vita ve Abbott, 2002;Pelagidis ve Mastroyiannis, 2003;Caporale vd., 2005;Narayan, 2005;Bolatoğlu, 2005;Feldstein, 2005;İyidoğan ve Balıkçıoğlu, 2010;Ghosh ve Dutt, 2011;Esen vd., 2012;Ketenci, 2012 yıllarındaki çalışmaları FHP'yi zaman serisi analizi kapsamında inceleyen çalış...…”

Section: Dokuz Eylül üNiversitesi İktisadi Ve İdari Bilimler Fakültesunclassified

Tasarruf-Yatırım İlişkisi: Feldstein-Horioka Hipotezinin OECD Ülkeleri Açısından Değerlendirilmesi (1980-2013)

Yalçınkaya¹,

Hüseyni²

2016

deuiibf

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International capital mobility in OECD countries: The Feldstein–Horioka `puzzle' revisited

Cited by 42 publications

References 17 publications

The Feldstein–Horioka Puzzle and structural breaks: Evidence from EU members

The Feldstein–Horioka Puzzle and structural breaks: Evidence from EU members

Testing the validity of the Feldstein–Horioka puzzle for Australia

Tasarruf-Yatırım İlişkisi: Feldstein-Horioka Hipotezinin OECD Ülkeleri Açısından Değerlendirilmesi (1980-2013)

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