A Review of International Financial Market Integration Using Nonstationary Panel Techniques

Hong Kee Kim ()
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Hong Kee Kim: Hannam University

East Asian Economic Review, 2003, vol. 7, issue 1, 65-89

Abstract: This paper investigates the Feldstein-Horioka coefficient for OECD country group and Asian country group, using the recently developed several nonstatioanry panel cointegration techniques. The savings and investment rates are nonstationary and cointegrated in panel. The estimated FH coefficients using panel FMOLS and DOLS estimators have significantly declined for the second sub-period of 1980-98, comparing with those for the first sub-period of 1960-79 for two country groups. In addition, the FH coefficient using the panel cointegration estimator in FH original samples (16 OECD countries) decreases drastically for the sub-periods of 1975-98 (0.10-0.35), though it is a little smaller (0.59-0.83) than that of original FH(0.88) for 1960-74. These estimated FH coefficients are consistent with the recognitions that international capital flows have increased significantly after the 1980s. The FH coefficient using panel cointegration estimator seems to have important information about international capital mobility.

Keywords: Nonstationary Panel; Financial Market (search for similar items in EconPapers)
JEL-codes: C23 F31 (search for similar items in EconPapers)
Date: 2003
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