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Savings and Investments in the OECD: a panel cointegration study with a new bootstrap test

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Author Info

  • Francesca Di Iorio

    ()
    (Universita' di Napoli Federico II)

  • Stefano Fachin

    ()
    (Universita' di Roma "La Sapienza")

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. This test provides evidence of a long-run savings-investments relationship in about half of the OECD economies examined, including USA and Japan, but not Germany. The elasticities are however often smaller than 1, the value expected under no capital movements.

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File URL: http://www.dss.uniroma1.it/RePec/sas/wpaper/20122_DIF.pdf
File Function: First version, 2012
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Bibliographic Info

Paper provided by Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome in its series DSS Empirical Economics and Econometrics Working Papers Series with number 2012/2.

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Length: 36 pages
Date of creation: Jan 2012
Date of revision:
Handle: RePEc:sas:wpaper:20122

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Related research

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

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References

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Cited by:
  1. Liddle, Brantley & Messinis, George, 2013. "Which comes first—urbanization or economic growth? Evidence from heterogeneous panel causality tests," MPRA Paper 53983, University Library of Munich, Germany.

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