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The Feldstein-Horioka Puzzle : a Panel Smooth Transition Regression Approach

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Listed:
  • Julien Fouquau

    (LEO - Laboratoire d'économie d'Orleans - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique)

  • Christophe Hurlin

    (LEO - Laboratoire d'économie d'Orleans - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique)

  • Isabelle Rabaud

    (LEO - Laboratoire d'économie d'Orleans - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique)

Abstract

This paper proposes an original framework to determine the relative influence of fivefactors on the Feldstein and Horioka result of OECD countries with a strong saving-investment association. Based on panel threshold regression models, we establishcountry-specific and time-specific saving retention coefficients for 24 OECD coun-tries over the period 1960-2000. These coefficients are assumed to change smoothly,as a function of five threshold variables, considered as the most important in theliterature devoted to the Feldstein and Horioka puzzle. The results show that; de-gree of openness, country size and current account to GDP ratios have the greatestinfluence on the investment-saving relationship.
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Suggested Citation

  • Julien Fouquau & Christophe Hurlin & Isabelle Rabaud, 2006. "The Feldstein-Horioka Puzzle : a Panel Smooth Transition Regression Approach," Post-Print halshs-00257382, HAL.
  • Handle: RePEc:hal:journl:halshs-00257382
    Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00257382
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    References listed on IDEAS

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    1. Hsiao, C. & Pesaran, M.H., 2004. "‘Random Coefficient Panel Data Models’," Cambridge Working Papers in Economics 0434, Faculty of Economics, University of Cambridge.
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