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Domestic Capital Mobility: A Panel Data Approach

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  • Nagayasu, Jun

Abstract

This paper analyzes capital mobility within Japan based on the consumption-based correlation method developed by Obstfeld (1994). This thoery suggests that consumption in one region is closely related to that in other regions if the capital market is open. We test this theoretical implication in the panel data context using the dynamic factor model which enables us to estimate unobservable common factors. Then we provide evidence of perfect capital mobility and capital integration having advanced rapidly between 1965 and 1975. Furthermore, the common factor is found to affect regional consumption heterogeneously and to be closely associated with stock returns.

Suggested Citation

  • Nagayasu, Jun, 2010. "Domestic Capital Mobility: A Panel Data Approach," MPRA Paper 27720, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:27720
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    File URL: https://mpra.ub.uni-muenchen.de/27720/1/MPRA_paper_27720.pdf
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    References listed on IDEAS

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    6. Nagayasu, Jun, 2010. "Regional Inflation (Price) Behaviors: Heterogeneity and Convergence," MPRA Paper 25430, University Library of Munich, Germany.
    7. Dekle, Robert, 1996. "Saving-investment associations and capital mobility On the evidence from Japanese regional data," Journal of International Economics, Elsevier, vol. 41(1-2), pages 53-72, August.
    8. Maurice Obstfeld., 1993. "Are Industrial-Country Consumption Risks Globally Diversified?," Center for International and Development Economics Research (CIDER) Working Papers C93-014, University of California at Berkeley.
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    Cited by:

    1. Nagayasu, Jun, 2012. "The threshold consumption correlation-based approach to international capital mobility: Evidence from advanced and developing countries," Structural Change and Economic Dynamics, Elsevier, vol. 23(3), pages 256-263.

    More about this item

    Keywords

    Capital mobility; Dynamic factor model;

    JEL classification:

    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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