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The Feldstein-Horioka Puzzle Revisited: A Monte Carlo Study

Caporale, Guglielmo Maria, Panopoulou, Ekaterini, Pittis, Nikitas (2005) The Feldstein-Horioka Puzzle Revisited: A Monte Carlo Study. Journal of International Money and Finance, 24 (7). pp. 1143-1149. ISSN 0261-5606. (doi:10.1016/j.jimonfin.2005.08.003) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
http://dx.doi.org/10.1016/j.jimonfin.2005.08.003

Abstract

This study revisits the FeldsteineHorioka (FH) puzzle by employing a variety of asymptotically efficient cointegration estimators, and by using the critical values obtained from Monte Carlo simulations to test the hypothesis of a unit retention coefficient. This leads to a lower rejection of the null than standard critical values would have implied. Despite ample evidence supporting the FH result, there appears to be considerable heterogeneity in terms of the savingseinvestment association, and only 25% of the 23 OECD countries we examine can be characterised as open economies in the FH sense. Whether or not one subscribes to the FH interpretation, the FH result does not appear to be robust.

Item Type: Article
DOI/Identification number: 10.1016/j.jimonfin.2005.08.003
Uncontrolled keywords: International capital mobility; FeldsteineHorioka puzzle; Cointegration; Estimators; Monte Carlo simulations
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Faculties > Social Sciences > Kent Business School
Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Cathy Norman
Date Deposited: 13 Jun 2013 15:09 UTC
Last Modified: 11 Jun 2019 09:28 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/34288 (The current URI for this page, for reference purposes)
Panopoulou, Ekaterini: https://orcid.org/0000-0001-5080-9965
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