Current Account Solvency and the Feldstein - Horioka Puzzle

• Autorzy: Krystyna Strzała
• Języki publikacji: EN

Abstrakty

EN

This study attempts to reassess evaluation of the FH dilemma based on the reasoning derived from current account dynamic model for the European countries, Central and Eastern European Countries included. If the so-called 'external budget constraints' are held binding, the CA data generating process should be stationary (I(0)) and the investment and saving ratios will be subject to 'forced' cointegration with the cointegrating vector of [1,-1].(fragment of text)

Słowa kluczowe

EN

Financial solvency; Income mobility; Capital flows; Domestic savings; System dynamics modelling; Dynamic model

PL

Wypłacalność; Mobilność dochodowa; Przepływy kapitałowe; Oszczędności krajowe; Modelowanie systemowo-dynamiczne; Model dynamiczny

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2006
• Tom: 7
• Strony: 69--82

Twórcy

autor

Krystyna Strzała

• Gdańsk University

Bibliografia

• Amirkhalkhali S., A. Dar, S. Amirkhalkhali, (2003), Saving - investment correlations, capital mobility and crowding out: some further results, Economic Modelling, vol. 20, 1137-1149.
• Blanchard O., F. Giavazzi, (2002), Current Account Deficits in the Euro Area: The End of the Feldstein-Horioka Puzzle?, Brookings Papers on Economic Activity, vol. 2002, 147-186.
• Chiang, M-H., C. Kao, (2000), Nonstationary Panel Time Series using NPT 1.2 - A User Guide, Center for Policy Research, Syracuse University.
• Coakley J, F. Kulasi, R. Smith, (1996), Current account solvency and the Feldstein-Horioka puzzle, Economic Journal, vol. 106, 620-627.
• Coakley J., A-M. Fuertes, F. Spagnolo, (2001), "The Feldstein-Horioka puzzle is not as bad as you think, Birbeck College Discussion Paper, No 5.
• Coiteux M., S. Olivier, (2000), The saving retention coefficient in the long run and in the short run: evidence from panel data, Journal of International Money and Finance, vol. 19, 535-548.
• Cook S., N. Manning, (2004), "Lag optimisation and finite-sample size distortion of unit root tests, Economics Letters, vol. 84, 267-274.
• Feldstein M., C. Horioka, (1980), Domestic saving and international capital flows, Economic Journal, vol. 90, 314-329.
• Frankel J., (1992), Measuring international capital mobility: A review, American Economic Review, vol. 82, 197-202.
• Ghosh A., (1995), International capital mobility amongst the major industrialised countries: too little or too much?, Economic Journal, vol. 105, 107-128.
• Hadri K., (2000), Testing for stationarity in heterogeneous panel data, The Econometrics Journal, vol. 3, 317-328.
• Ho T-W., (2002), A panel cointegration approach to the investment-saving correlation, Empirical Economics, vol. 27, 91-100.
• Im K., H. Pesaran, Y. Shin, (2003), "Testing for unit roots in heterogenous panels, Journal of Econometrics, vol. 115, 53-74.
• Kao C., (1999), Spurious regression and residual-based tests for cointegration in panel data, Journal of Econometrics, vol. 90, 1-44.
• Kao C., M. -H. Chiang, (1998), On the estimation and inference of a cointegrated regression in panel data, Working Paper Series, Center for Policy Research, Syracuse University.
• Krol R., (1996), International capital mobility: evidence from panel data, Journal of International Money and Finance, vol.15, 467-474.
• Levin A., Ch-F. Lin, Ch-Sh. J. Chu, (2002), Unit root tests in panel data: asymptotic and finite sample properties, Journal of Econometrics, vol. 108, pp. 1-24.
• Leybourne S. J., (1995), Testing for unit roots using forward and reverse Dickey-Fuller regressions, Oxford Bulletin of Economics and Statistics, vol. 57, pp. 312-319.
• McCoskey S., C. Kao, (1998), A residual-based test of the null of cointegratio in panel data Econometric Reviews, vol. 17, 57-84.
• Ng S., P. Perron, (1995), Unit root tests in ARMA models with data-dependent methods for selection of the truncation lag, Journal of the American Statistical Association, vol. 90, 268-281.
• Obstfeldt M., (1986), Capital mobility in the world economy: Theory and measurement, Carnegie - Rochester Conference Series on Public Policy 24.
• Obstfeldt M., K. Rogoff, (1995), The intertemporal approach to the current account, NBER Working Paper 4893.
• Obstfeldt M., K. Rogoff, (2000), The six major puzzles in international macroeconomics: is there a common cause?, NBER working paper 7777.
• Pedroni P., (1995), Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series tests with an Application to the PPP Hypothesis, Indiana University Working Papers in Economics, No. 95-103.
• Rocha F., (2005), Heterogeneity, cross section dependence and capital mobility in developing countries, Economic Letters, vol. 89, 18-23.
• Sachs J.D., (1981), The current account and macroeconomics adjustment in the 1970s, Brookings Papers on Economic Activity 1, pp. 201-268.
• Sinn S., (1992), Saving-investment correlations and capital mobility: on the evidence from annual data, Economic Journal, vol.102, 1162-70.
• Strzała K., (2005a), "Relacja inwestycji i oszczędności w krajach Unii Europejskiej - weryfikacja empiryczna z wykorzystaniem podejścia panelowego, str. 141-155, in: M. Szreder (ed.) "Ekonometryczne modelowanie i prognozowanie wzrostu gospodarczego, Prace i Materiały Wydziału Zarządzania Uniwersytetu Gdańskiego, Nr 1/ 2005.
• Strzała K., (2005b), "Relacja inwestycji, oszczędności i salda rachunku bieżącego w krajach Unii Europejskiej - weryfikacja empiryczna z zastosowaniem podejścia panelowego, pp. 25-36, in: M. Piłatowska i T. Kufel (eds) Dynamiczne Modele Ekonometryczne, Wydawnictwo Uniwersytetu Mikołaja Kopernika w Toruniu.
• Tesar L., (1983), Saving, investment and international capital flows, Journal of International Economics, vol. 31, 325-334.
• World Bank Indicators, (2003), World Development Indicators CD-ROM, The World Bank.