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Cointegration between Investment and Saving in Selected Asian Countries: ARDL Bounds Testing Procedure

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  • Jiranyakul, Komain
  • Brahmasrene, Tantatape

Abstract

This paper investigates empirically the relationship between savings and investment in Indonesia, Philippines and Thailand by employing the bounds testing procedure. There are not many studies on the Feldstein-Horioka puzzle for the developing countries. Using bounds testing for cointegration, the results do not support a positive correlation between savings and investment in these three Asian countries.

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File URL: http://mpra.ub.uni-muenchen.de/45076/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 45076.

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Date of creation: 2008
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Handle: RePEc:pra:mprapa:45076

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Keywords: Savings; investment; bounds test; cointegration;

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References

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  1. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, Econometric Society, vol. 55(2), pages 251-76, March.
  2. Martin Schmidt, 2003. "Savings and investment in Australia," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 35(1), pages 99-106.
  3. Andrew J. Abbott & Glauco De Vita, 2003. "Another Piece in the Feldstein--Horioka Puzzle," Scottish Journal of Political Economy, Scottish Economic Society, vol. 50(1), pages 69-89, February.
  4. Dipendra Sinha & Tapen Sinha, 1998. "An Exploration of the Long-Run Relationship between Saving and Investment in the Developing Economies: A Tale of Latin American Countries," Journal of Post Keynesian Economics, M.E. Sharpe, Inc., M.E. Sharpe, Inc., vol. 20(3), pages 435-443, April.
  5. De Vita, Glauco & Abbott, Andrew, 2002. "Are saving and investment cointegrated? An ARDL bounds testing approach," Economics Letters, Elsevier, Elsevier, vol. 77(2), pages 293-299, October.
  6. Kasuga, Hidefumi, 2004. "Saving-investment correlations in developing countries," Economics Letters, Elsevier, Elsevier, vol. 83(3), pages 371-376, June.
  7. Paresh Kumar Narayan, 2005. "The saving and investment nexus for China: evidence from cointegration tests," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 37(17), pages 1979-1990.
  8. MacKinnon, James G, 1996. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 11(6), pages 601-18, Nov.-Dec..
  9. Tamim Bayoumi, 1990. "Saving-Investment Correlations: Immobile Capital, Government Policy, or Endogenous Behavior?," IMF Staff Papers, Palgrave Macmillan, vol. 37(2), pages 360-387, June.
  10. Feldstein, Martin & Horioka, Charles, 1980. "Domestic Saving and International Capital Flows," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 90(358), pages 314-29, June.
  11. Sinha, Dipendra, 2002. "Saving-investment relationships for Japan and other Asian countries," Japan and the World Economy, Elsevier, Elsevier, vol. 14(1), pages 1-23, January.
  12. M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
  13. Lucio Sarno & Mark Taylor, 1998. "Exchange controls, international capital flows and saving-investment correlations in the UK: An empirical investigation," Review of World Economics (Weltwirtschaftliches Archiv), Springer, Springer, vol. 134(1), pages 69-98, March.
  14. Kumar Narayan, Paresh, 2005. "The relationship between saving and investment for Japan," Japan and the World Economy, Elsevier, Elsevier, vol. 17(3), pages 293-309, August.
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Cited by:
  1. Abu N.M. Wahid & Mohammad Salahuddin & Abdullah M. Noman, 2010. "Savings and investment in South Asia: Evidence from likelihood ratio based panel cointegration," Journal of Economic Studies, Emerald Group Publishing, Emerald Group Publishing, vol. 37(6), pages 658-666, September.

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