Are saving and investment cointegrated?: An ARDL bounds testing approach

Glauco De Vita; Andrew Abbott

doi:10.1016/S0165-1765(02)00139-8

Are saving and investment cointegrated? An ARDL bounds testing approach

Glauco De Vita, Andrew Abbott

Manchester Metropolitan University

Research output: Contribution to journal › Article › peer-review

88 Citations (Scopus)

Abstract

Using the newly developed ARDL bounds testing procedure, we find that, as implied by the intertemporal budget constraint, U.S. saving and investment rates cointegrate in all sample periods considered. Our results also show that the saving–investment correlation weakens after 1971, suggesting that the Feldstein–Horioka approach provides an at least partially informative measure of capital mobility.

Original language	English
Pages (from-to)	293-299
Number of pages	7
Journal	Economics Letters
Volume	77
Issue number	2
Early online date	9 Jun 2002
DOIs	https://doi.org/10.1016/S0165-1765(02)00139-8
Publication status	Published - Oct 2002

Keywords

Capital mobility
Cointegration
Feldstein–Horioka puzzle
Saving–investment

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10.1016/S0165-1765(02)00139-8

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title = "Are saving and investment cointegrated?: An ARDL bounds testing approach",

abstract = "Using the newly developed ARDL bounds testing procedure, we find that, as implied by the intertemporal budget constraint, U.S. saving and investment rates cointegrate in all sample periods considered. Our results also show that the saving–investment correlation weakens after 1971, suggesting that the Feldstein–Horioka approach provides an at least partially informative measure of capital mobility.",

keywords = "Capital mobility, Cointegration, Feldstein–Horioka puzzle, Saving–investment",

author = "{De Vita}, Glauco and Andrew Abbott",

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AU - Abbott, Andrew

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N2 - Using the newly developed ARDL bounds testing procedure, we find that, as implied by the intertemporal budget constraint, U.S. saving and investment rates cointegrate in all sample periods considered. Our results also show that the saving–investment correlation weakens after 1971, suggesting that the Feldstein–Horioka approach provides an at least partially informative measure of capital mobility.

AB - Using the newly developed ARDL bounds testing procedure, we find that, as implied by the intertemporal budget constraint, U.S. saving and investment rates cointegrate in all sample periods considered. Our results also show that the saving–investment correlation weakens after 1971, suggesting that the Feldstein–Horioka approach provides an at least partially informative measure of capital mobility.

KW - Capital mobility

KW - Cointegration

KW - Feldstein–Horioka puzzle

KW - Saving–investment

UR - http://www.sciencedirect.com/science/article/pii/S0165176502001398

U2 - 10.1016/S0165-1765(02)00139-8

DO - 10.1016/S0165-1765(02)00139-8

M3 - Article

SN - 0165-1765

VL - 77

SP - 293

EP - 299

JO - Economics Letters

JF - Economics Letters

IS - 2

ER -

Are saving and investment cointegrated? An ARDL bounds testing approach

Abstract

Keywords

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