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The Feldstein-Horioka Test of International Capital Mobility [electronic resource] : Is it Feasible? Jansen, W. J..

Author/Creator:
Jansen, W. J.
Publication:
Washington, D.C. : International Monetary Fund, 1996.
Series:
IMF eLibrary
IMF Working Papers; Working Paper No. 96/100.
IMF Working Papers; Working Paper No. 96/100
Format/Description:
Government document
Book
1 online resource (30 p.)
Local subjects:
Capital controls.
Capital flows.
Capital formation.
Capital market.
Capital mobility.
Capital movements.
Cointegration.
Consistent estimate.
Consumer price index.
Correlation.
Correlations.
Current account balance.
Dummy variable.
Econometrics.
Equation.
Equations.
Full capital mobility.
General equilibrium models.
International capital.
International capital flows.
International capital market.
Monte carlo simulations.
Numerical values.
Pooled time series.
Random walk.
Random walk process.
Regression equation.
Sample bias.
Sample size.
Samples.
Sensitivity analysis.
Significance levels.
Simulation results.
Standard deviation.
Standard error.
Standard errors.
Stationary process.
Statistic.
Statistical analysis.
Statistical test.
Statistics.
Time series.
World capital market.
Germany.
Summary:
Feldstein and Horioka (1980) argued that the correlation of saving and investment in a cross-section of countries may provide a test of global capital mobility. This paper argues that neither the long-run nor the short-run correlation can serve as a reliable basis for such a test. The intertemporal budget constraint implies that each country’s saving and investment should be cointegrated over time. Simulations show that the cross-section regressions used in the literature will produce correlations that strongly tend towards one, regardless of the degree of capital mobility. Although the short-run correlation is not affected by the intertemporal budget constraint, the empirical analysis shows it is primarily a country-specific business cycle fact.
Notes:
Description based on print version record.
Contributor:
Jansen, W. J.
Other format:
Print Version:
ISBN:
1451852355:
9781451852356
ISSN:
1018-5941
Publisher Number:
10.5089/9781451852356.001
Access Restriction:
Restricted for use by site license.
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