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Saving Behaviour in OECD Countries: Evidence from Panel Cointegration Tests

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  • Sarantis, Nicholas
  • Stewart, Chris

Abstract

We use recently developed panel cointegration and integration tests, which allow for heterogeneity in parameters and dynamics across countries, to examine the long-run determinants of aggregate private saving rates in a dynamic panel of OECD countries during the post Second World War period. These techniques are more powerful than the conventional tests and overcome the inconsistency problem of the fixed-effect estimator typically employed in cross-country studies of saving behaviour. We employ a number of alternative cointegration methods and also construct a private disposable income series, while previous studies on private savings tend to proxy income with GDP. We find strong evidence for the existence of a long-run equilibrium saving function based on an extended version of the life-cycle hypothesis which allows for the influence of liquidity constraints. Our results suggest a number of significant determinants of saving rates, but the parameter estimates vary significantly across countries. Copyright 2001 by Blackwell Publishers Ltd and The Victoria University of Manchester

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Bibliographic Info

Article provided by University of Manchester in its journal Manchester School.

Volume (Year): 69 (2001)
Issue (Month): 0 (Supplement)
Pages: 22-41

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Handle: RePEc:bla:manchs:v:69:y:2001:i:0:p:22-41

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Cited by:
  1. Lee, Chien-Chiang & Chang, Chun-Ping & Chen, Pei-Fen, 2008. "Energy-income causality in OECD countries revisited: The key role of capital stock," Energy Economics, Elsevier, vol. 30(5), pages 2359-2373, September.
  2. George Hondroyiannis, 2010. "Fertility Determinants and Economic Uncertainty: An Assessment Using European Panel Data," Journal of Family and Economic Issues, Springer, vol. 31(1), pages 33-50, March.
  3. Österholm, Pär, 2004. "Estimating the Relationship between Age Structure and GDP in the OECD Using Panel Cointegration Methods," Working Paper Series 2004:13, Uppsala University, Department of Economics.
  4. Salotti, Simone, 2008. "Global imbalances and household savings: the role of wealth," MPRA Paper 17729, University Library of Munich, Germany, revised 2009.
  5. Clovis Kerdrain & Isabell Koske & Isabelle Wanner, 2011. "Current Account Imbalances: can Structural Reforms Help to Reduce Them?," OECD Journal: Economic Studies, OECD Publishing, vol. 2011(1), pages 1-44.
  6. Roger Kelly & George Mavrotas, 2002. "Savings and Financial Sector Development: Panel Cointegration Evidence from Africa," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 A4-2, International Conferences on Panel Data.
  7. Ang, James, 2010. "Savings Mobilization, Financial Development and Liberalization: The Case of Malaysia," MPRA Paper 21718, University Library of Munich, Germany.
  8. Westerlund, Joakim & Basher, Syed A., 2007. "Mixed Signals Among Tests for Panel Cointegration," MPRA Paper 3261, University Library of Munich, Germany.
  9. Chien-Chiang Lee & Chun-Ping Chang, 2006. "Social security expenditure and GDP in OECD countries: A cointegrated panel analysis," International Economic Journal, Taylor & Francis Journals, vol. 20(3), pages 303-320.
  10. Paul Hiebert, 2006. "Household Saving and Asset Valuations in Selected Industrialised Countries," RBA Research Discussion Papers rdp2006-07, Reserve Bank of Australia.
  11. Kelly, Roger & Mavrotas, George, 2003. "Savings and Financial Sector Development: Panel Cointegration Evidence from Africa," Working Paper Series UNU-WIDER Research Paper , World Institute for Development Economic Research (UNU-WIDER).
  12. Yoichi Matsubayashi & Takao Fujii, 2012. "Substitutability of Savings by Sectors: OECD Experiences," Discussion Papers 1215, Graduate School of Economics, Kobe University.
  13. Kelly, Roger & Mavrotas, George, 2003. "Financial Sector Development - Futile or Fruitful? An Examination of the Determinants of Savings in Sri Lanka," Working Paper Series UNU-WIDER Research Paper , World Institute for Development Economic Research (UNU-WIDER).
  14. Clovis Kerdrain & Isabell Koske & Isabelle Wanner, 2010. "The Impact of Structural Policies on Saving, Investment and Current Accounts," OECD Economics Department Working Papers 815, OECD Publishing.
  15. Christophe Kamps, 2006. "Are the effects of fiscal policy really nonlinear? A note," Empirica, Springer, vol. 33(2), pages 113-125, June.
  16. Liu, Yucan & Shumway, C. Richard, 2005. "Indirect Utility Maximization under Risk: A Heterogeneous Panel Application," 2005 Annual Meeting, July 6-8, 2005, San Francisco, California 36307, Western Agricultural Economics Association.

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