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Composantes permanente et transitoire de l'épargne et de l'investissement : une étude empirique des flux internationaux de capitaux au Japon


  • Éric Girardin
  • Lucio Sarno
  • Mark P. Taylor


[eng] Transitory and permanent components of saving and investment: an empirical study of . international capital flows in Japan by Eric Girardin, Lucio Sarno and Mark P. Taylor . This paper presents an empirical study of the difference between the short- and the long-run saving-investment correlation coefficient using quarterly Japanese data, in an attempt to shed light both on the Feldstein-Horioka regression's validity in quantifying the degree of international capital mobility and on its implications. We also empirically assess the effectiveness of the abolition of exchange controls, which removed all restrictions on capital flows between Japan and the international economy in 1980. Consistent with our economic intuition and the logical consequences of the Feldstein-Horioka interpretation, our results suggest that the short-run saving-investment association is significantly stronger than the corresponding long-run association and, in contrast with much of the relevant empirical literature, Japan appears to have been highly financially integrated into the global economy since 1980. pital flows ; transitory and permanent components ; Kalman filter. [fre] Composantes permanente et transitoire de l'épargne et de l'investissement : une étude empirique . des flux internationaux de capitaux au Japon par Eric Girardin, Lucio Sarno et Mark P. Taylor .. . Cet article présente une étude empirique de la différence entre les coefficients de corrélation de court et de long terme entre l'épargne et l'investissement en utilisant des données trimestrielles japonaises, afin d'apporter un éclairage à la fois sur la validité de la régression de Feldstein-Horioka pour mesurer le degré de mobilité internationale du capital et sur ses conséquences. Nous évaluons également empiriquement l'efficacité de l'abolition des contrôles des changes qui en 1980 a supprimé toute restriction sur les mouvements de capitaux entre le Japon et l'économie internationale. En conformité avec nos a priori d'économistes et avec les conséquences logiques de l'interprétation de Feldstein et Horioka, nos résultats suggèrent que l'association de court terme entre l'épargne et l'investissement est significativement plus forte que l'association de long terme correspondante et qu'en opposition avec la plus grande partie de la littérature empirique dans ce domaine, le Japon apparaît être fortement intégré financièrement avec l'économie globale depuis 1980.

Suggested Citation

  • Éric Girardin & Lucio Sarno & Mark P. Taylor, 1999. "Composantes permanente et transitoire de l'épargne et de l'investissement : une étude empirique des flux internationaux de capitaux au Japon," Économie et Prévision, Programme National Persée, vol. 140(4), pages 117-131.
  • Handle: RePEc:prs:ecoprv:ecop_0249-4744_1999_num_140_4_5979
    Note: DOI:10.3406/ecop.1999.5979

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    References listed on IDEAS

    1. Jeffrey A. Frankel, 1993. "Is Japan Creating a Yen Bloc in East Asia and the Pacific?," NBER Chapters,in: Regionalism and Rivalry: Japan and the United States in Pacific Asia, pages 53-88 National Bureau of Economic Research, Inc.
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    13. Jeffrey A. Frankel & Shang-Jin Wei, 1994. "Yen Bloc or Dollar Bloc? Exchange Rate Policies of the East Asian Economies," NBER Chapters,in: Macroeconomic Linkage: Savings, Exchange Rates, and Capital Flows, NBER-EASE Volume 3, pages 295-333 National Bureau of Economic Research, Inc.
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