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The Feldstein-Horioka fact

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  • Domenico Giannone
  • Michele Lenza

Abstract

This paper shows that general equilibrium effects can partly rationalize the high correlation between saving and investment rates observed in OECD countries. We find that once controlling for general equilibrium effects the saving-retention coefficient remains high in the 70’s but decreases considerably since the 80’s, consistently with the increased capital mobility in OECD countries.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 15519.

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Date of creation: Nov 2009
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Publication status: published as The Feldstein-Horioka Fact , Domenico Giannone, Michele Lenza. in NBER International Seminar on Macroeconomics 2009 , Reichlin and West. 2010
Handle: RePEc:nbr:nberwo:15519

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  1. Frankel, Jeffrey A, 1992. "Measuring International Capital Mobility: A Review," American Economic Review, American Economic Association, American Economic Association, vol. 82(2), pages 197-202, May.
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  12. Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Boston College Working Papers in Economics, Boston College Department of Economics 440, Boston College Department of Economics.
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  14. M. Hashem Pesaran, 2006. "Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure," Econometrica, Econometric Society, Econometric Society, vol. 74(4), pages 967-1012, 07.
  15. Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 20(2), pages 147-62, April.
  16. Coakley, Jerry & Kulasi, Farida & Smith, Ron, 1998. "The Feldstein-Horioka Puzzle and Capital Mobility: A Review," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 3(2), pages 169-88, April.
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Citations

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Cited by:
  1. Saten Kumar & Rahul Sen & Sadhana Srivastava, 2014. "Does Economic Integration Stimulate Capital Mobility? An Analysis of Four Regional Economic Communities in Africa," Working Papers, Auckland University of Technology, Department of Economics 2014-05, Auckland University of Technology, Department of Economics.
  2. John C. Bluedorn, 2005. "Hurricanes: Intertemporal Trade and Capital Shocks," Economics Papers 2005-W22, Economics Group, Nuffield College, University of Oxford.
  3. Marlene Amstad & Andreas Fischer, 2005. "Shock Identification of Macroeconomic Forecasts based on Daily Panels," Working Papers 05.02, Swiss National Bank, Study Center Gerzensee.
  4. Kumar, Saten & Rao, B. Bhaskara, 2009. "A Time Series Approach to the Feldstein-Horioka Puzzle with Panel Data from the OECD Countries," MPRA Paper 18464, University Library of Munich, Germany.
  5. Andrea R. Lamorgese & Gianmarco I.P. Ottaviano, 2006. "Intercity interactions: evidence from the US," 2006 Meeting Papers, Society for Economic Dynamics 667, Society for Economic Dynamics.
  6. Salvatore Dell'Erba & Sergio Sola, 2013. "Does Fiscal Policy Affect Interest Rates? Evidence from a Factor-Augmented Panel," IMF Working Papers 13/159, International Monetary Fund.
  7. Laura Jaramillo & Anke Weber, 2013. "Global Spillovers into Domestic Bond Markets in Emerging Market Economies," IMF Working Papers 13/264, International Monetary Fund.
  8. Cimadomo, Jacopo & Bénassy-Quéré, Agnès, 2012. "Changing patterns of fiscal policy multipliers in Germany, the UK and the US," Journal of Macroeconomics, Elsevier, Elsevier, vol. 34(3), pages 845-873.
  9. Ambaye, G. G. & Berhanu, T. & Abera, G., 2013. "Modeling the Determinats of Domestic Private Investments in Ethiopia," AGRIS on-line Papers in Economics and Informatics, Czech University of Life Sciences Prague, Faculty of Economics and Management, Czech University of Life Sciences Prague, Faculty of Economics and Management, vol. 5(4), December.
  10. Salvatore Dell'Erba & Sergio Sola, 2013. "Fiscal Policy, Interest Rates and Risk Premia in Open Economy," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies 05-2013, Economics Section, The Graduate Institute of International Studies.
  11. Costantini, Mauro & Gutierrez, Luciano, 2013. "Capital mobility and global factor shocks," Economics Letters, Elsevier, Elsevier, vol. 120(3), pages 513-515.
  12. Anastasios Mastroyiannis, 2007. "Current Account Dynamics and the Feldstein and Horioka Puzzle: the Case of Greece," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 4(1), pages 91-99, June.
  13. Domenico Giannone & Lucrezia Reichlin, 2005. "Trends and cycles in the Euro Area: how much heterogeneity and should we worry about it?," Macroeconomics, EconWPA 0511016, EconWPA.
  14. Rao, B. Bhaskara & Tamazian, Artur & Kumar, Saten, 2009. "Systems GMM estimates of the Feldstein-Horioka puzzle for the OECD countries and tests for structural breaks," MPRA Paper 15312, University Library of Munich, Germany.
  15. Iñaki Erauskin-Iurrita, 2009. "The current account and the new rule in a not-so-small open economy," Investigaciones Economicas, Fundación SEPI, Fundación SEPI, vol. 33(3), pages 529-557, September.
  16. Pavel Trunin & Andrey Zubarev, 2013. "The Feldstein-Horioka Puzzle: Modern Aspects," Working Papers 0070, Gaidar Institute for Economic Policy, revised 2013.
  17. Kalemli-Ozcan, Sebnem & Sorensen, Bent E & Yosha, Oved, 2004. "Asymmetric Shocks and Risk Sharing in a Monetary Union: Updated Evidence and Policy Implications for Europe," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4463, C.E.P.R. Discussion Papers.

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