IDEAS home Printed from https://ideas.repec.org/p/hal/wpaper/halshs-01251342.html
   My bibliography  Save this paper

Financial Openess Aggregate Consumption and Threshold Effects

Author

Listed:
  • Marwân-Al-Qays Bousmah

    () (AMU - Aix Marseille Université, EHESS - École des hautes études en sciences sociales)

  • Daria Onori

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

Abstract

We analyze the influence of financial openness on the level of aggregate consumption. We construct a complete and balanced panel dataset of 88 countries for the period 1980-2010, and then differentiate between four groups of countries. Models for non stationary heterogeneous panels, as well as panel threshold regression models, are used to estimate the determinants of aggregate consumption. The core finding of the paper is that the financial openness effect on consumption changes in the course of economic development, with the level or per capita income acting as a threshold which is consistently estimated within the model. The openness effect is non homogeneous across groups, stronger for low levels of per capita income, and diminishes as income rises, providing novel insights about the welfare effect of financial liberalization.

Suggested Citation

  • Marwân-Al-Qays Bousmah & Daria Onori, 2016. "Financial Openess Aggregate Consumption and Threshold Effects," Working Papers halshs-01251342, HAL.
  • Handle: RePEc:hal:wpaper:halshs-01251342
    Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-01251342
    as

    Download full text from publisher

    File URL: https://halshs.archives-ouvertes.fr/halshs-01251342/document
    Download Restriction: no

    Other versions of this item:

    References listed on IDEAS

    as
    1. Sebastian Edwards, 2007. "Capital Controls, Sudden Stops, and Current Account Reversals," NBER Chapters,in: Capital Controls and Capital Flows in Emerging Economies: Policies, Practices and Consequences, pages 73-120 National Bureau of Economic Research, Inc.
    2. Hansen, Bruce E. & Seo, Byeongseon, 2002. "Testing for two-regime threshold cointegration in vector error-correction models," Journal of Econometrics, Elsevier, vol. 110(2), pages 293-318, October.
    3. Hansen, Bruce E., 1999. "Threshold effects in non-dynamic panels: Estimation, testing, and inference," Journal of Econometrics, Elsevier, vol. 93(2), pages 345-368, December.
    4. Pesaran, M. Hashem & Smith, Ron, 1995. "Estimating long-run relationships from dynamic heterogeneous panels," Journal of Econometrics, Elsevier, vol. 68(1), pages 79-113, July.
    5. Reuven Glick & Xueyan Guo & Michael Hutchison, 2006. "Currency Crises, Capital-Account Liberalization, and Selection Bias," The Review of Economics and Statistics, MIT Press, vol. 88(4), pages 698-714, November.
    6. Hausman, Jerry, 2015. "Specification tests in econometrics," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 38(2), pages 112-134.
    7. Pierre-Olivier Gourinchas & Olivier Jeanne, 2006. "The Elusive Gains from International Financial Integration," Review of Economic Studies, Oxford University Press, vol. 73(3), pages 715-741.
    8. Dang, Viet Anh & Kim, Minjoo & Shin, Yongcheol, 2012. "Asymmetric capital structure adjustments: New evidence from dynamic panel threshold models," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 465-482.
    9. M. Ayhan Kose & Eswar Prasad & Kenneth Rogoff & Shang-Jin Wei, 2009. "Financial Globalization: A Reappraisal," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 56(2), pages 143-197, June.
    10. Bruce E. Hansen, 2000. "Sample Splitting and Threshold Estimation," Econometrica, Econometric Society, vol. 68(3), pages 575-604, May.
    11. Ayhan Kose, M. & Prasad, Eswar S. & Taylor, Ashley D., 2011. "Thresholds in the process of international financial integration," Journal of International Money and Finance, Elsevier, vol. 30(1), pages 147-179, February.
    12. repec:spr:joecth:v:65:y:2018:i:2:d:10.1007_s00199-016-1019-7 is not listed on IDEAS
    13. Kwang-Myoung Hwang & Donghyun Park & Kwanho Shin, 2013. "Capital Market Openness and Output Volatility," Pacific Economic Review, Wiley Blackwell, vol. 18(3), pages 403-430, August.
    14. Robertson, D & Symons, J, 1992. "Some Strange Properties of Panel Data Estimators," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(2), pages 175-189, April-Jun.
    15. Lane, Philip R. & Milesi-Ferretti, Gian Maria, 2007. "The external wealth of nations mark II: Revised and extended estimates of foreign assets and liabilities, 1970-2004," Journal of International Economics, Elsevier, vol. 73(2), pages 223-250, November.
    16. Raouf Boucekkine & Giorgio Fabbri & Patrick A. Pintus, 2018. "Short-run pain, long-run gain: the conditional welfare gains from international financial integration," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 65(2), pages 329-360, March.
    17. Pol Antràs & Ricardo J. Caballero, 2010. "On the Role of Financial Frictions and the Saving Rate During Trade Liberalizations," Journal of the European Economic Association, MIT Press, vol. 8(2-3), pages 442-455, 04-05.
    18. Philip R. Lane, 2015. "International Financial Flows in Low-Income Countries," Pacific Economic Review, Wiley Blackwell, vol. 20(1), pages 49-72, February.
    19. Haque, Nadeem U & Montiel, Peter, 1989. "Consumption in Developing Countries: Tests for Liquidity Constraintsand Finite Horizons," The Review of Economics and Statistics, MIT Press, vol. 71(3), pages 408-415, August.
    20. Harris, Richard D. F. & Tzavalis, Elias, 1999. "Inference for unit roots in dynamic panels where the time dimension is fixed," Journal of Econometrics, Elsevier, vol. 91(2), pages 201-226, August.
    21. Mohamed Belhaj & Nataliya Klimenko, 2012. "Optimal Preventive Bank Supervision Combining Random Audits and Continuous Intervention," AMSE Working Papers 1201, Aix-Marseille School of Economics, Marseille, France.
    22. Marco Terrones & Eswar S Prasad & Ayhan Kose, 2003. "Financial Integration and Macroeconomic Volatility," IMF Working Papers 03/50, International Monetary Fund.
    23. Davidson, James E H, et al, 1978. "Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom," Economic Journal, Royal Economic Society, vol. 88(352), pages 661-692, December.
    24. Manuel Arellano & Stephen Bond, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Oxford University Press, vol. 58(2), pages 277-297.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Raouf Boucekkine & Xianhai Huang, 2016. "Globalization: Financial, Trade and Institutional Aspects with Applications to China," Pacific Economic Review, Wiley Blackwell, vol. 21(3), pages 324-329, August.

    More about this item

    Keywords

    Financial openness ; Aggregate consumption ; Dynamic panel threshold model.;

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:wpaper:halshs-01251342. 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: (CCSD). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.