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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. 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, International Conferences on Panel Data A4-2, International Conferences on Panel Data.
  2. Clovis Kerdrain & Isabell Koske & Isabelle Wanner, 2011. "Current Account Imbalances: can Structural Reforms Help to Reduce Them?," OECD Journal: Economic Studies, OECD Publishing, OECD Publishing, vol. 2011(1), pages 1-44.
  3. 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, Western Agricultural Economics Association 36307, Western Agricultural Economics Association.
  4. Salotti, Simone, 2008. "Global imbalances and household savings: the role of wealth," MPRA Paper 17729, University Library of Munich, Germany, revised 2009.
  5. George Hondroyiannis, 2009. "Fertility Determinants and Economic Uncertainty:An Assessment Using European Panel Data," Working Papers, Bank of Greece 96, Bank of Greece.
  6. Christophe Kamps, 2006. "Are the effects of fiscal policy really nonlinear? A note," Empirica, Springer, Springer, vol. 33(2), pages 113-125, June.
  7. Omar Masood & Priya Darshini Pun Thapa & Olivier Levyne & Frederic Teulon & Rabeb Triki, 2014. "Does Co-integration and Causal Relationship Exist between the Non- stationary Variables for Chinese Bank’s Profitability? An Empirical Evidence," Working Papers, Department of Research, Ipag Business School 2014-249, Department of Research, Ipag Business School.
  8. 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, Taylor & Francis Journals, vol. 20(3), pages 303-320.
  9. James B. Ang, 2011. "Savings Mobilization, Financial Development And Liberalization: The Case Of Malaysia," Review of Income and Wealth, International Association for Research in Income and Wealth, International Association for Research in Income and Wealth, vol. 57(3), pages 449-470, 09.
  10. 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, Elsevier, vol. 30(5), pages 2359-2373, September.
  11. Westerlund, Joakim & Basher, Syed A., 2007. "Mixed Signals Among Tests for Panel Cointegration," MPRA Paper 3261, University Library of Munich, Germany.
  12. Österholm, Pär, 2004. "Estimating the Relationship between Age Structure and GDP in the OECD Using Panel Cointegration Methods," Working Paper Series, Uppsala University, Department of Economics 2004:13, Uppsala University, Department of Economics.
  13. Yoichi Matsubayashi & Takao Fujii, 2012. "Substitutability of Savings by Sectors: OECD Experiences," Discussion Papers 1215, Graduate School of Economics, Kobe University.
  14. Kelly, Roger & Mavrotas, George, 2003. "Savings and Financial Sector Development: Panel Cointegration Evidence from Africa," Working Paper Series, World Institute for Development Economic Research (UNU-WIDER) UNU-WIDER Research Paper , World Institute for Development Economic Research (UNU-WIDER).
  15. Kelly, Roger & Mavrotas, George, 2003. "Financial Sector Development - Futile or Fruitful? An Examination of the Determinants of Savings in Sri Lanka," Working Paper Series, World Institute for Development Economic Research (UNU-WIDER) UNU-WIDER Research Paper , World Institute for Development Economic Research (UNU-WIDER).
  16. Paul Hiebert, 2006. "Household Saving and Asset Valuations in Selected Industrialised Countries," RBA Research Discussion Papers, Reserve Bank of Australia rdp2006-07, Reserve Bank of Australia.
  17. 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.

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