Capital Inflows-National Saving Dynamics in Tunisia: Evidence from Cointegration, Weak Exogeneity and Simultaneous Error Correction Modelling
The negative relationship between capital inflows and savings in less developed countries is an accepted fact in the existing literature. However, this result is based essentially on standard econometrics which ignores the nonstationarity of these two variables. This study investigates the 'direct' and 'indirect' effect of capital inflows on savings in Tunisia using Johansen's multivariate cointegration technique, weak exogeneity test and simultaneous error correction modelling. In the short and long run, the econometric estimates show that capital inflows have a negative effect on domestic savings, which invalidates the Chenery-Strout thesis. Nevertheless, the direction of causality between the aggregates being dealt with still remains a subject of debate. Relying on time-series data of the Tunisian economy, Granger's causality test shows a causal relationship in the long term running from domestic savings to capital inflows. In the short term, however, this paper reveals a two-way causation. [E20, F35, C32, C51]
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 17 (2003)
Issue (Month): 4 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RIEJ20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RIEJ20|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Johansen, S., 1991.
"Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data,"
78, Helsinki - Department of Economics.
- Johansen, Soren, 1992. "Testing weak exogeneity and the order of cointegration in UK money demand data," Journal of Policy Modeling, Elsevier, vol. 14(3), pages 313-334, June.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Reinhart, Carmen M. & Talvi, Ernesto, 1998.
"Capital flows and saving in Latin America and Asia: a reinterpretation,"
Journal of Development Economics,
Elsevier, vol. 57(1), pages 45-66, October.
- Reinhart, Carmen & Talvi, Ernesto, 1998. "Capital flows and saving in Latin America and Asia: A reinterpretation," MPRA Paper 13704, University Library of Munich, Germany.
- Leonardo Leiderman & Carmen Reinhart & Guillermo Calvo, 1992.
"Capital Inflows and Real Exchange Rate Appreciation in Latin America; The Role of External Factors,"
IMF Working Papers
92/62, International Monetary Fund.
- Guillermo A. Calvo & Leonardo Leiderman & Carmen M. Reinhart, 1993. "Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors," IMF Staff Papers, Palgrave Macmillan, vol. 40(1), pages 108-151, March.
- Reinhart, Carmen & Calvo, Guillermo & Leiderman, Leonardo, 1993. "“Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors," MPRA Paper 7125, University Library of Munich, Germany.
- Easterly, William, 1999. "The ghost of financing gap: testing the growth model used in the international financial institutions," Journal of Development Economics, Elsevier, vol. 60(2), pages 423-438, December.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990.
"Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?,"
8905, Michigan State - Econometrics and Economic Theory.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
- Georgios P. Kouretas, 1997.
"Identifying Linear Restrictions on the Monetary Exchange Rate Model and the Uncovered Interest Parity: Cointegration Evidence from the Canadian-U.S. Dollar,"
Canadian Journal of Economics,
Canadian Economics Association, vol. 30(4), pages 875-90, November.
- George Kouretas, . "Identifying Linear Restrictions On The Monetary Excange Rate Model And The Uncovered Interest Parity: Cointegration Evedence From The Canadian - U.S. Dollar," Working Papers 9511, University of Crete, Department of Economics.
- Bowles, Paul, 1987. "Foreign aid and domestic savings in less developed countries: Some tests for causality," World Development, Elsevier, vol. 15(6), pages 789-796, June.
- Over, A Mead, Jr, 1975. " An Example of the Simultaneous-Equation Problem: A Note on "Foreign Assistance: Objectives and Consequences."," Economic Development and Cultural Change, University of Chicago Press, vol. 23(4), pages 751-56, July.
- Søren Johansen & Katarina Juselius, 1992.
"Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model,"
92-04, University of Copenhagen. Department of Economics.
- Johansen, Soren & Juselius, Katarina, 1994. "Identification of the long-run and the short-run structure an application to the ISLM model," Journal of Econometrics, Elsevier, vol. 63(1), pages 7-36, July.
- Doornik, Jurgen A & Hendry, David F & Nielsen, Bent, 1998.
" Inference in Cointegrating Models: UK M1 Revisited,"
Journal of Economic Surveys,
Wiley Blackwell, vol. 12(5), pages 533-72, December.
- Jurgen A. Doornik & David F. Hendry & Bent Nielsen, 1998. "Inference in Cointegrating Models: UK M1 Revisited," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 533-572, December.
- Hoffman, Dennis L. & Rasche, Robert H. & Tieslau, Margie A., 1995. "The stability of long-run money demand in five industrial countries," Journal of Monetary Economics, Elsevier, vol. 35(2), pages 317-339, April.
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
When requesting a correction, please mention this item's handle: RePEc:taf:intecj:v:17:y:2003:i:4:p:43-60. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.