Savings and Investments in the OECD: a panel cointegration study with a new bootstrap test

Francesca Di Iorio and Stefano Fachin

No 2012/2, DSS Empirical Economics and Econometrics Working Papers Series from Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome

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. This test provides evidence of a long-run savings-investments relationship in about half of the OECD economies examined, including USA and Japan, but not Germany. 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: C15 C23 E2 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2012-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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http://www.dss.uniroma1.it/RePec/sas/wpaper/20122_DIF.pdf First version, 2012 (application/pdf)

Related works:
Journal Article: Savings and investments in the OECD: a panel cointegration study with a new bootstrap test (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:sas:wpaper:20122

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