The Saving–Investment Cointegration Across East Asian Countries: Evidence from the ARDL Bound Approach

Harwinder Kaur and Vishal Sarin

Global Business Review, 2021, vol. 22, issue 4, 1010-1018

Abstract: The article analysed the relationship between saving and investment for the East Asian countries, namely, China, Hong Kong, Japan, Korea, Macao and Mongolia, during the period of 1982 to 2015. The autoregressive distributive lag (ARDL) bound testing approach was applied to determine long-run coefficients, and short-run dynamics are captured from an error correction model (ECM). The Phillips–Perron (PP) tests and augmented Dickey–Fuller (ADF) tests indicate that order of integration of both the series for selected countries is either 1(1), 1(0) or mutually cointegrated. The critical value of bound test indicates mixed evidence of cointegration for selected countries. The ARDL was applied to confirm the long-run and short-run relationship for those countries where cointegration exists. The results support the Feldstein–Horioka hypothesis that high cointegration between saving and investment postulates low capital mobility internationally.

Keywords: East Asia; Feldstein–Horioka; capital mobility; cointegration; ADF; bound test; ARDL (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:globus:v:22:y:2021:i:4:p:1010-1018

DOI: 10.1177/0972150918816149

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