A Panel Cointegration study of the long-run relationship between Savings and Investments in the OECD economies, 1970-2007

Francesca Di Iorio and Stefano Fachin

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper we test for the existence of a long-run savings-investments relationship in 18 OECD economies over the period 1970-2007. Although individual modelling provides only very weak support to the hypothesis of a link between savings and investments, this cannot be ruled out as individual time series tests may have low power. We thus construct a new bootstrap test for panel cointegration robust to short- and long-run dependence across units. Thid test provides evidence of a long-run savings-investments relationship in about half of the OECD economies examined. The elasticities are however often smaller than 1, the value expected under no capital movements.

Keywords: Savings; Investments; Feldstein-Horioka puzzle; OECD; Panel Cointegration; Stationary Bootstrap. (search for similar items in EconPapers)
JEL-codes: C12 C15 C33 E22 (search for similar items in EconPapers)
Date: 2010-10-10
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Citations: View citations in EconPapers (1)

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