The dynamics of short- and long-run capital mobility: evidence from a time-varying parameter error-correction model

Tino Berger

Applied Economics, 2012, vol. 44, issue 19, 2491-2498

Abstract: This article analyses the dynamic evolution of capital mobility in eight Organization for Economic Co-operation and Development (OECD) countries over the period 1850 to 1992. We estimate an error-correction model of saving and investment that allows to distinguish between short- and long-run capital mobility. The parameters of the error-correction model are allowed to be time-vary ing and are estimated using the Kalman filter and maximum likelihood technique. We find that both short- and long-run capital mobility was very high at the end of the nineteenth century but since then decreased in most countries. However, the magnitude of changes in long-run capital mobility is very small while the absolute change of short-run capital mobility is substantial.

Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2011.564352 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:44:y:2012:i:19:p:2491-2498

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2011.564352

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().