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Capital mobility in the Caucasus

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  • Jamilov, Rustam

Abstract

This paper examines the degree of capital mobility in the countries of the Caucasus. I estimate a simple model developed in the seminal paper by Feldstein and Horioka (1980). I construct a panel of 6 countries of the Caucasus – Armenia, Azerbaijan, Georgia, Kazakhstan, Russia, and Turkey – and employ a panel cointegration approach. To that end, I make use of the Dynamic OLS (DOLS), Fully Modified OLS (FMOLS), and Pooled Mean Group (PMG) techniques for heterogeneous panels. Preliminary cross-dependency tests reject the presence of cross-sectional dependence. Panel unit root and cointegration tests confirm that investment and saving are non-stationary and cointegrated. The estimated long-run saving retention ratios using DOLS, FMOLS, and PMG are 0.90, 0.73, and 0.83, respectively. These results suggest that capital mobility in the Caucasus is very low. I put these findings in an international context and confirm that the Caucasus is considerably financially restrained compared to other regions. I also look at the country ratings of the Index of Economic Freedom (IEF) and find that my results work well in predicting the IEF rank. Finally, I discuss some implications for the region's policy-relevant issues such as financial integration, human capital mobility, cross-border trading, fiscal and monetary policy, solvency management, responsive consumption smoothing, and recession resistance.

Suggested Citation

  • Jamilov, Rustam, 2013. "Capital mobility in the Caucasus," Economic Systems, Elsevier, vol. 37(2), pages 155-170.
    • Handle: RePEc:eee:ecosys:v:37:y:2013:i:2:p:155-170
    DOI: 10.1016/j.ecosys.2012.12.004
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    8. Peguero, Anadel G. & Cruz-Rodríguez, Alexis, 2016. "Condición Marshall-Lerner y el efecto Curva J: Evidencias para la República Dominicana [Marshall-Lerner Condition and J-Curve Effect: Evidence for the Dominican Republic]," MPRA Paper 71535, University Library of Munich, Germany.
    9. Niftiyev, Ibrahim, 2020. "Determinants of the Agricultural Exports in Azerbaijan," EconStor Preprints 226347, ZBW - Leibniz Information Centre for Economics.
    10. Ecaterina TOMOIAGA & Monica Ioana POP SILAGHI, 2022. "Testing the Marshall-Lerner condition for Romania," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(1(630), S), pages 39-48, Spring.
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    13. Trofimov, Ivan D., 2020. "Real Exchange Rate and the Dynamics of Services Trade Balance in the UK: A Linear and Non-linear ARDL Analysis," MPRA Paper 106703, University Library of Munich, Germany.
    14. Ilyas Siklar & Merve Celik Kecili, 2018. "Estimation of the Marshall-Lerner Condition and J Curve Dynamics for Turkey," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 4(5), pages 125-130, 05-2018.
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    16. Safet Kurtovic & Blerim Halili & Nehat Maxhuni, 2017. "Bilateral Trade Elasticity of Serbia: Is There a J-Curve Effect?," PSL Quarterly Review, Economia civile, vol. 70(281), pages 185-210.
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    More about this item

    Keywords

    Capital mobility; Saving-investment relationship; Panel cointegration;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • O53 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Asia including Middle East

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