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Abstract

There are several candidate explanations for the Feldstein-Horioka puzzle. This paper provides a quantitative assessment of the relative role of the existing explanations for saving-investment comovement performing time-frequency domain analysis for nine countries from 1885 to 2010. The main findings are summarized as follows. First, in large economies, such as the US and Italy, to a greater extent high correlations between saving and investment are observed than in middle-sized and small countries. Second, we obtain two groups of countries in terms of time-changing patterns of correlations: U-shaped and decreasing patterns of capital mobility. Third, fiscal balance seems to be most related to positive saving-investment correlations in many countries. Fourth, a global common factor also plays an important role in explaining the Feldstein-Horioka puzzle.



Item Type: MPRA Paper -

Original Title: On the Sources of the Feldstein-Horioka Puzzle across Time and Frequencies-

Language: English-

Keywords: Feldstein-Horioka puzzle; Saving-investment correlation; International capital mobility; Wavelets-

Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space ModelsF - International Economics > F3 - International Finance-





Autor: Ko, Jun-Hyung

Fuente: https://mpra.ub.uni-muenchen.de/75297/







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