The Feldstein-Horioka Puzzle: a Panel SmoothTransition Regression Approach

Fouquau, Julien; Hurlin, Christophe; Rabaud, Isabelle

The Feldstein-Horioka Puzzle: a Panel SmoothTransition Regression Approach

Julien Fouquau, Christophe Hurlin and Isabelle Rabaud ()

Abstract: This paper proposes an original framework to determine the relative influence of fivefactors on the Feldstein and Horioka result of OECD countries with a strong saving-investment association. Based on panel threshold regression models, we establishcountry-specific and time-specific saving retention coefficients for 24 OECD coun-tries over the period 1960-2000. These coefficients are assumed to change smoothly,as a function of five threshold variables, considered as the most important in theliterature devoted to the Feldstein and Horioka puzzle. The results show that; de-gree of openness, country size and current account to GDP ratios have the greatestinfluence on the investment-saving relationship.

Keywords: Feldstein Horioka puzzle; Panel Smooth Threshold Regression models; saving-investment association; capital mobility .; capital mobility (search for similar items in EconPapers)
Date: 2007-08-03
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00156688v2
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