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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.

Suggested Citation

  • Costantini, Mauro & Gutierrez, Luciano, 2013. "Capital mobility and global factor shocks," Economics Letters, Elsevier, vol. 120(3), pages 513-515.
  • Handle: RePEc:eee:ecolet:v:120:y:2013:i:3:p:513-515
    DOI: 10.1016/j.econlet.2013.06.008
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Mauro Costantini & Iris Meco & Antonio Paradiso, 2016. "Common trends in the US state-level crime.What do panel data say?," Working Papers 2016:14, Department of Economics, University of Venice "Ca' Foscari".
    2. Costantini, Mauro & Fragetta, Matteo & Melina, Giovanni, 2014. "Determinants of sovereign bond yield spreads in the EMU: An optimal currency area perspective," European Economic Review, Elsevier, vol. 70(C), pages 337-349.
    3. Drakos, Anastassios A. & Kouretas, Georgios P. & Stavroyiannis, Stavros & Zarangas, Leonidas, 2017. "Is the Feldstein-Horioka puzzle still with us? National saving-investment dynamics and international capital mobility: A panel data analysis across EU member countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 47(C), pages 76-88.

    More about this item

    Keywords

    Saving; Investment; Capital mobility; Panel cointegration;

    JEL classification:

    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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