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Capital mobility and global factor shocks

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  • Costantini, Mauro
  • Gutierrez, Luciano

Abstract

This paper focuses on the effects of global factors on the saving–investment relationship. We prove that, if investments and savings are affected by idiosyncratic and global components, they must be cointegrated to obtain reliable estimates of the saving-retention coefficient. When global shocks are taken into account through common factors, we find that the estimated saving-retention coefficient is close to zero for a panel of 21 OECD countries.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 120 (2013)
Issue (Month): 3 ()
Pages: 513-515

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Handle: RePEc:eee:ecolet:v:120:y:2013:i:3:p:513-515

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Saving; Investment; Capital mobility; Panel cointegration;

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References

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Cited by:
  1. Costantini, M. & Fragetta, M. & Melina, G., 2013. "Determinants of Sovereign Bond Yield Spreads in the EMU. An Optimal Currency Area Perspective," Working Papers 13/15, Department of Economics, City University London.

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