Capital mobility and global factor shocks

Costantini, Mauro; Gutierrez, Luciano

doi:10.1016/j.econlet.2013.06.008

Cited by 14 publications

(12 citation statements)

References 27 publications

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“…The analytical framework of the existing literature, such as reports presented by Byrne et al [11], Costantini and Gutierez [16], and Drakos, Kouretas, and…”

Section: Results Of Panel Cointegration Analyses Of the Idiosyncraticmentioning

confidence: 99%

Transition of the Feldstein-Horioka Puzzle

Ginama¹,

Hayakawa²,

Kanmei³

2021

JMF

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Common factor panel methodologies are applied to investment and savings rates in the context of the Feldstein-Horioka puzzle to derive idiosyncratic components of the two variables for OECD countries, Japan, and Indonesia. The idiosyncratic components of the two variables in the national and regional data are analyzed using panel methodologies of unit root and cointegration tests. Bootstrap confidence intervals of the correlation coefficient and the relative variance ratio for the two variables are estimated to ascertain what, if any, relation exists between the mobility and the relative volatility of the two variables. The empirical examinations presented herein suggest that the puzzle is fading in recent times. This paper presents an attempt to alleviate somewhat contradictory views of the plausibility of this important puzzle in international macroeconomics expressed in the existing literature by presenting empirical results demonstrating the existence of the puzzle in one period, and demonstrating the puzzle fading away in the other periods.

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“…The analytical framework of the existing literature, such as reports presented by Byrne et al [11], Costantini and Gutierez [16], and Drakos, Kouretas, and…”

Section: Results Of Panel Cointegration Analyses Of the Idiosyncraticmentioning

confidence: 99%

Transition of the Feldstein-Horioka Puzzle

Ginama¹,

Hayakawa²,

Kanmei³

2021

JMF

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“…In the third step, we test for cointegration among consumption, income, and wealth using the approach by Gengenbach, Palm, and Urbain () (see Costantini & Gutierrez, ; Urbain & Westerlund, ):…”

Section: Methodsmentioning

confidence: 99%

Consumption, asset wealth, equity premium, term spread, and flight to quality

Costantini

Sousa

2019

Euro Fin Management

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We link transitory deviations of consumption from its equilibrium relationship with aggregate wealth and labor income to equity returns on the one hand, and to two characteristics of bond investors-the premium demanded to hold long-term assets, and "flight to quality" behavior-on the other hand. Using a panel of 10 euro area countries over the period 1984Q1-2017Q4, we show that a rise in the consumption-wealth ratio predicts both higher equity returns and the future term spread, while a fall in the consumption-wealth ratio explains a large fraction of the rise in the spread between the "risky" and the "safe-haven" bond.

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“…Giannone and Lenza () find that the correlation between saving and investment decreases over time, and has become small in the last two decades. Costantini and Gutierrez () find that the estimated saving‐retention coefficient is close to zero when global shocks are taken into account. While these works focus on the period since 1970, they commonly find that idiosyncratic components between saving and investment do not comove.…”

Section: Partial Coherencymentioning

confidence: 95%

“…Giannone and Lenza () find that global shocks with heterogeneous effects can create an imbalance in world capital markets. Costantini and Gutierrez () find that the estimated saving‐investment coefficient is close to zero for a panel of 21 OECD countries when global shocks are considered with common factors.…”

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confidence: 95%

On the Sources of the Feldstein–Horioka Puzzle across Time and Frequencies

Funashima

2019

Oxf Bull Econ Stat

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This study quantitatively assesses existing explanations for the Feldstein–Horioka puzzle using time–frequency domain analyses for nine countries for the period 1885–2010. The main findings are summarized as follows. First, large economies (e.g. the United States, Italy) show higher correlations between saving and investment than middle‐sized and small countries do. Second, countries can be grouped into two time‐changing patterns of correlations: inverted U‐shaped and increasing patterns. Third, the fiscal balance seems most related to a positive saving‐investment correlation in many countries. Fourth, a global common factor plays an important role in explaining the Feldstein–Horioka puzzle.

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Capital mobility and global factor shocks

Cited by 14 publications

References 27 publications

Transition of the Feldstein-Horioka Puzzle

Transition of the Feldstein-Horioka Puzzle

Consumption, asset wealth, equity premium, term spread, and flight to quality

On the Sources of the Feldstein–Horioka Puzzle across Time and Frequencies

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