A pairwise-based approach to examining the Feldstein–Horioka condition of international capital mobility

Mark J. Holmes, Jesús Otero

Resultado de la investigación: Contribución a RevistaArtículo

3 Citas (Scopus)

Resumen

© 2015, Springer-Verlag Berlin Heidelberg.We propose a pairwise procedure to test the Feldstein–Horioka condition of capital mobility. In contrast to the existing approach, we explicitly examine the relationship between domestic investment and foreign savings rather than domestic savings. In terms of addressing the Feldstein–Horioka puzzle, our results based on a panel of OECD and emerging market economies initially suggest that the depth and extent of capital mobility remain generally limited and that mobility has increased over the past 20 years. However, in contrast to existing studies, we find that capital mobility between Euro and EU pairs is more extensive than between pairs that involve other countries. If our sample is expanded to include emerging markets, we find that capital mobility has also increased though is weaker than for OECD economies. We provide additional insight in terms of consistency between our assessment of capital mobility based on the Feldstein–Horioka condition (a quantity approach) and a price approach based on real interest rate differentials.
Idioma originalEnglish (US)
Páginas (desde-hasta)279-297
Número de páginas19
PublicaciónEmpirical Economics
DOI
EstadoPublished - mar 1 2016

Huella dactilar

Pairwise
Emerging Markets
OECD
savings
Interest Rates
Euro
interest rate
market economy
Berlin
Feldstein-Horioka
International capital mobility
Capital mobility
EU
economy
market

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A pairwise-based approach to examining the Feldstein–Horioka condition of international capital mobility. / Holmes, Mark J.; Otero, Jesús.

En: Empirical Economics, 01.03.2016, p. 279-297.

Resultado de la investigación: Contribución a RevistaArtículo

TY - JOUR

T1 - A pairwise-based approach to examining the Feldstein–Horioka condition of international capital mobility

AU - Holmes, Mark J.

AU - Otero, Jesús

PY - 2016/3/1

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N2 - © 2015, Springer-Verlag Berlin Heidelberg.We propose a pairwise procedure to test the Feldstein–Horioka condition of capital mobility. In contrast to the existing approach, we explicitly examine the relationship between domestic investment and foreign savings rather than domestic savings. In terms of addressing the Feldstein–Horioka puzzle, our results based on a panel of OECD and emerging market economies initially suggest that the depth and extent of capital mobility remain generally limited and that mobility has increased over the past 20 years. However, in contrast to existing studies, we find that capital mobility between Euro and EU pairs is more extensive than between pairs that involve other countries. If our sample is expanded to include emerging markets, we find that capital mobility has also increased though is weaker than for OECD economies. We provide additional insight in terms of consistency between our assessment of capital mobility based on the Feldstein–Horioka condition (a quantity approach) and a price approach based on real interest rate differentials.

AB - © 2015, Springer-Verlag Berlin Heidelberg.We propose a pairwise procedure to test the Feldstein–Horioka condition of capital mobility. In contrast to the existing approach, we explicitly examine the relationship between domestic investment and foreign savings rather than domestic savings. In terms of addressing the Feldstein–Horioka puzzle, our results based on a panel of OECD and emerging market economies initially suggest that the depth and extent of capital mobility remain generally limited and that mobility has increased over the past 20 years. However, in contrast to existing studies, we find that capital mobility between Euro and EU pairs is more extensive than between pairs that involve other countries. If our sample is expanded to include emerging markets, we find that capital mobility has also increased though is weaker than for OECD economies. We provide additional insight in terms of consistency between our assessment of capital mobility based on the Feldstein–Horioka condition (a quantity approach) and a price approach based on real interest rate differentials.

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