The Feldstein Horioka puzzle in E7 countries: Evidence from panel cointegration and asymmetric causality analysis

Uğur Pata ()

The Journal of International Trade & Economic Development, 2018, vol. 27, issue 8, 968-984

Abstract: In this study, the Feldstein–Horioka (FH) puzzle were investigated by the panel cointegration and causality methods over the available period of 1989–2015 for the E7 countries. Westerlund panel cointegration test with multiple structural breaks, and Westerlund and Edgerton regime panel cointegration test results indicate that there is a cointegration relationship between the two variables in the long term. The long-term FH panel coefficients obtained from common correlated effects mean group (CCMEG) and augmented mean group (AMG) estimators are 0.792 and 0.758, respectively. The findings of the Kónya bootstrap panel Granger causality test show that there is no causality relationship between the two variables in the short term. However, in the results of the asymmetric causality test, unidirectional and statistically significant causality is going from the negative shocks of domestic saving to the positive shocks of investment for China, Indonesia, Mexico and Turkey. The overall results show that the FH puzzle is valid for the E7 countries.

Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://hdl.handle.net/10.1080/09638199.2018.1480053 (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:jitecd:v:27:y:2018:i:8:p:968-984

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RJTE20

DOI: 10.1080/09638199.2018.1480053

Access Statistics for this article

The Journal of International Trade & Economic Development is currently edited by Pasquale Sgro, David E.A. Giles and Charles van Marrewijk

More articles in The Journal of International Trade & Economic Development from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().