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

Listed author(s):
  • Francesca Iorio

    ()

  • Stefano Fachin

    ()

In this paper we test for the existence of a stable 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 most of the countries, with USA the most notable exception. However, the elasticities generally smaller than 1 suggest that market imperfections mostly cause only partial home biases. Copyright Springer-Verlag Berlin Heidelberg 2014

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File URL: http://hdl.handle.net/10.1007/s00181-013-0722-5
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Article provided by Springer in its journal Empirical Economics.

Volume (Year): 46 (2014)
Issue (Month): 4 (June)
Pages: 1271-1300

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Handle: RePEc:spr:empeco:v:46:y:2014:i:4:p:1271-1300
DOI: 10.1007/s00181-013-0722-5
Contact details of provider: Web page: http://www.springer.com

Order Information: Web: http://www.springer.com/economics/econometrics/journal/181/PS2

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