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A Panel Cointegration study of the long-run relationship between Savings and Investments in the OECD economies, 1970-2007

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  • Di Iorio, Francesca
  • Fachin, Stefano

Abstract

In this paper we test for the existence of a long-run savings-investments relationship in 18 OECD economies over the period 1970-2007. Although individual modelling provides only very weak support to the hypothesis of a link between savings and investments, this cannot be ruled out as individual time series tests may have low power. We thus construct a new bootstrap test for panel cointegration robust to short- and long-run dependence across units. Thid test provides evidence of a long-run savings-investments relationship in about half of the OECD economies examined. The elasticities are however often smaller than 1, the value expected under no capital movements.

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File URL: http://mpra.ub.uni-muenchen.de/25873/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 25873.

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Date of creation: 10 Oct 2010
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Handle: RePEc:pra:mprapa:25873

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Related research

Keywords: Savings; Investments; Feldstein-Horioka puzzle; OECD; Panel Cointegration; Stationary Bootstrap.;

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Cited by:
  1. Syed Basher & Stefano Fachin, 2012. "Investigating Long-Run Demand for Broad Money in the Gulf Arab Countries," DSS Empirical Economics and Econometrics Working Papers Series 2012/6, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.

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