A functional coefficient model view of the Feldstein-Horioka puzzle
What does the saving-investment (SI) relation really measure and how should the SI relation be measured? These are two of the most discussed issues triggered by the so-called Feldstein-Horioka puzzle. Based on panel data we introduce a new variant of functional coefficient models that allows to separate long and short to medium run parameter dependence. The new modeling framework is applied to uncover the determinants of the SI relation. Macroeconomic state variables such as openness, the age dependency ratio, government current and consumption expenditures are found to affect the SI relation significantly in the long run.
Year of publication: |
2010
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Authors: | Herwartz, H. ; Xu, F. |
Published in: |
Journal of International Money and Finance. - Elsevier, ISSN 0261-5606. - Vol. 29.2010, 1, p. 37-54
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Publisher: |
Elsevier |
Keywords: | Saving-investment relation Feldstein-Horioka puzzle Functional coefficient models |
Saved in:
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