Savings and investments in the OECD: a panel cointegration study with a new bootstrap test

Francesca Di Iorio and Stefano Fachin

Empirical Economics, 2014, vol. 46, issue 4, 1300 pages

Abstract: In this paper we test for the existence of a stable long-run savings–investments relationship in 18 OECD economies over the period 1970–2007. Although individual modelling provides only very weak support to the hypothesis of a link between savings and investments, this cannot be ruled out as individual time series tests may have low power. We thus construct a new bootstrap test for panel cointegration robust to short- and long-run dependence across units. This test provides evidence of a long-run savings–investments relationship in most of the countries, with USA the most notable exception. However, the elasticities generally smaller than 1 suggest that market imperfections mostly cause only partial home biases. Copyright Springer-Verlag Berlin Heidelberg 2014

Keywords: Savings; Investments; Feldstein–Horioka puzzle; Panel cointegration; Stationary Bootstrap; C23; C15; E2 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (11)

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Working Paper: Savings and Investments in the OECD: a panel cointegration study with a new bootstrap test (2012)
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DOI: 10.1007/s00181-013-0722-5

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