A regime switching approach to the Feldstein–Horioka puzzle: Evidence from some European countries

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• 作者：Erdinc Telatar ; Funda Telatar ; Nasip Bolatoglu
• 关键词：Capital mobility ; Feldstein– ; Horioka puzzle ; Markov-switching model ; Gibbs sampling
• 刊名：Journal of Policy Modeling
• 出版年：2007
• 期刊代码：57_01618938
• 类别：bus
• 出版时间：May-June 2007
• 卷：29
• 期：3
• 页码：523-533
• 文件大小：336 K

摘要

The domestic savings-investment correlation is re-examined using data for some European countries in order to obtain some information about the degree of capital mobility in the sense of the Feldstein and Horioka [Feldstein, M., & Horioka, C. Y. (1980). Domestic saving and international capital flows. Economic Journal 90, 314–329]. Applying a Markov-switching model with heteroscedastic disturbances, we find that the correlation coefficients are unstable due to the policy regime changes consistent with the Lucas [Lucas, R. (1976). Econometric policy evaluation: A critique. In K. Brunner, & A. H. Meltzer (Eds.), The Phillips curve and labor markets. Amsterdam: North-Holland] critique.