The Feldstein-Horioka puzzle and a new measure of international capital mobility
The Feldstein-Horioka puzzle and a new measure of international capital mobility
In intertemporal optimization models of current account dynamics, the budget constraint will induce high degrees of positive comovement in the levels of savings and investment and the two variables are likely to be cointegrated. Error correction will then also influence the correlations of the cyclical components which will therefore be uninformative about capital mobility.
As an alternative we suggest a new measure of long-run capital mobility based on Johansen's (1988) procedure. We apply our method to historical British and US data and find surprisingly high levels of long-run capital mobility throughout the century.
University of Southampton
Hoffmann, M.
1eac594a-b8ff-45ea-9735-f266689bb967
1999
Hoffmann, M.
1eac594a-b8ff-45ea-9735-f266689bb967
Hoffmann, M.
(1999)
The Feldstein-Horioka puzzle and a new measure of international capital mobility
(Discussion Papers in Economics and Econometrics, 9916)
Southampton, UK.
University of Southampton
Record type:
Monograph
(Discussion Paper)
Abstract
In intertemporal optimization models of current account dynamics, the budget constraint will induce high degrees of positive comovement in the levels of savings and investment and the two variables are likely to be cointegrated. Error correction will then also influence the correlations of the cyclical components which will therefore be uninformative about capital mobility.
As an alternative we suggest a new measure of long-run capital mobility based on Johansen's (1988) procedure. We apply our method to historical British and US data and find surprisingly high levels of long-run capital mobility throughout the century.
Text
9916.pdf
- Version of Record
More information
Published date: 1999
Identifiers
Local EPrints ID: 33151
URI: http://eprints.soton.ac.uk/id/eprint/33151
PURE UUID: e0a44604-d2e4-4c37-abf5-ca5da7f6223e
Catalogue record
Date deposited: 05 Jul 2007
Last modified: 15 Mar 2024 07:43
Export record
Contributors
Author:
M. Hoffmann
Download statistics
Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.
View more statistics