نتایج هم انباشتگی پنل در تحرک سرمایه بین المللی در اقتصادهای آسیایی
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|27732||2005||12 صفحه PDF||سفارش دهید||محاسبه نشده|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of International Money and Finance, Volume 24, Issue 1, February 2005, Pages 71–82
This paper investigates the Feldstein–Horioka coefficients for 11 Asian countries using the recently developed ‘between-group’ FMOLS and DOLS panel cointegration techniques. Savings and investment rates are found to be nonstationary and to be cointegrated in panels. The estimated coefficients using FMOLS and DOLS are 0.39 and 0.42, respectively, for the period 1980–1998. These values are much smaller than the estimates of 0.58 and 0.76 for 1960–1979. The small coefficients suggest that capital mobility increased in Asian countries in the 1980s and 1990s.
Increasing capital mobility across countries is an important phenomenon for economic policy makers and firms. It has potential beneficial effects on the economy because it enables agents to allocate the resources more efficiently and give more scope for risk management. However, higher international capital mobility may increase the possibility of abrupt reversals of capital flows that destabilize economies and cause financial crises, like the 1997 Asian crisis. The degree of international capital mobility also has an influence on the effects of economic policy and responses to external shocks. Therefore, it is important and worthwhile to investigate the degree of international capital mobility. Asia is composed of many dynamic emerging economies. Most of the Asian countries restricted capital flows across countries during the 1960s and 1970s. But in the 1980s they introduced relatively floating exchange rate systems and started to take measures for capital account liberalization cautiously and progressively. They accelerated capital market opening in the 1990s. It is expected that the removal of capital controls has increased international capital mobility. These capital account liberalization policies contributed to massive capital inflows to Asian countries in the 1990s prior to the financial crisis in 1997. Here the question arises as to whether international capital mobility actually increased in Asian economies after the 1980s relative to periods of the 1960s and 1970s, and if so, how mobile are capital flows across countries in Asia? There are several ways to investigate the degree of international capital mobility.1 One is to investigate the relationship between savings and investment. Feldstein and Horioka (1980, hereafter FH) proposed that the correlation between savings and investment would be zero under perfect international capital mobility, whereas it would be one under no capital mobility. Many economists have studied the savings and investment relation2 since the seminal work of FH. Some of these studies focused on the time series aspects of the data. Savings and investment rates usually turn out to be nonstationary. It is well known that one should avoid a spurious regression problem by checking the cointegration relationship when the time series data are nonstationary. However, the traditional cointegration technique has the problem of low power. In order to improve the power of the test, the number of observations (span of data) should be extended. However, it is not easy to find data for a very long time span except for a few countries.3 Furthermore, expansion of the time horizon might cause the unwanted regime-shift problem for the saving–investment relationship. The panel data enable us to solve the power problem. This paper attempts to estimate FH coefficient using recently developed panel cointegration techniques and examines how it has changed since the 1980s, reflecting the adoption of capital account liberalization measures in Asian countries. We also aim at checking if FH coefficients using panel cointegration approach is a good candidate for measuring the international capital mobility. A few papers have examined international capital mobility using panel cointegration techniques with data only on developed countries.4 To the best of our knowledge, there is no research on FH coefficient in Asian countries or in other developing countries, using panel cointegration techniques. This paper is distinct from other researches in several respects. First, it applies the recently developed panel cointegration techniques to the relationship between savings and investment in Asian countries. Furthermore this paper uses the ‘between-group’ (or group-mean) panel cointegration test to the fully modified OLS (hereafter FMOLS) and dynamic OLS (hereafter DOLS) methods in order to deal with heterogeneity problems and to conduct plausible tests. Second, this study measures the international capital mobility of the Asian economy as a group, rather than for individual countries. In addition, this paper deals with the degree of international capital mobility in the developing countries, which attracts the close attention and concern of international investors and international organizations such as the IMF. The paper is organized as follows. Section 2 briefly reviews the literature on the savings and investment relationship. Section 3 explains the model and empirical methods. The data and empirical results are presented and interpreted in Section 4, and the final section contains the summary and conclusions.
نتیجه گیری انگلیسی
This paper has studied the international capital mobility of Asian countries in terms of the FH coefficient, applying recently developed panel cointegration methods. We apply two classes of panel cointegration test and used between-group FMOLS and DOLS estimators in order to control for heterogeneous short-run dynamics and heterogeneous error terms. It is found that the savings and investment rates in panel data are nonstationary but that they are cointegrated. The FH coefficients using FMOLS and DOLS are 0.39 and 0.42, respectively, for the period 1980–1998, which is much smaller than those in other previous researches, whereas they are 0.58 and 0.76 for 1960–1979. The estimated FH coefficients after 1980 are almost the same as those for the period of the gold standard system, when capital is considered to have been highly mobile between countries. The decrease in the estimated FH coefficient from 0.58 to 0.39 (group-mean FMOLS) or from 0.76 to 0.42 (group-mean DOLS) might be interpreted as evidence that capital has been more mobile after the 1980s in Asian countries. This increasing capital mobility might reflect capital account liberalization. Finally, the FH coefficient might be a good candidate for measuring the degree of international capital mobility, when it is estimated in the between-group panel cointegration frameworks.