تذکر بر روی تحرک سرمایه در یونان

Pelagidis and Mastroyiannis [Pelagidis, T., & Mastroyiannis, T. (2003). The saving–investment correlation in Greece, 1960–1997: Implications for capital mobility. Journal of Policy Modeling] using the cointegration methodology proposed by Jansen and Schulze [Jansen, W.J., & Schulze, G.G. (1993). Theory-based measurement for the saving–investment correlation with an application to Norway. Discussion paper 205. Universitat Kostanz] conclude that the hypothesis of perfect capital mobility cannot be confirmed in the case of Greece. This note argue that this result is not consistent with the methodology of Johansen which suggests that the Feldestein-Horioka hypothesis should be accepted contrary to what the paper of Pelagidis and Mastroyiannis claims.

In a recent article of this journal Pelagidis and Mastroyiannis (2003) (henceforth PM) investigated the Feldstein and Horioka (1980) (henceforth FH) hypothesis of perfect capital mobility in Greece based on the cointegration methodology of Jansen and Schulze (1993). They concluded that domestic investments and national savings are tied together by a long run relationship prompting the authors to argue that capital mobility was not high in Greece. In this note, I argue that the PM result is related to the methodology used to test for cointegration. To this end, I use Johansen's maximum likelihood approach (Johansen, 1988 and Johansen, 1991) that is superior to old fashioned cointegration tests like Engle and Granger (1988), Jansen and Schulze (1993) and others in the case of I(1) regressors. It is well known that these tests do not take into account the fact that residuals are not exact but generated leading frequently the researcher to misguided conclusions. Going beyond the paper of PM, to examine the stationarity properties of the series involved, I use the augmented Dickey Fuller test (ADF), the ADF-GLS unit root test of Elliot, Rothenberg, and Stock (1996) as well as the KPSS test. The ADF-GLS unit root test has the best overall performance in terms of small size-sample size and power with respect the ADF test. The KPSS stationarity test proposed by Kwiatkowski, Phillips, Schmidt, and Shin (1992) is a powerful test which tests the null of stationarity against the alternative of a unit root. Finally, I use the Perron (1997) unit root test, which allows for the presence of a structural break in our time series. The presence of a structural break biases the results in favour of finding a unit root.

This note questions the conclusion of PM that perfect capital mobility cannot be documented in the case of Greek economy by considering that this finding is related to the methodology used for cointegration. This study uses such as the approach of Jansen and Schulze adopted by PM as well as the Johansen likelihood approach to test for cointegration. The results show that although we could accept cointegration based on Jansen and Schulze methodology, this is not the case when Johansen cointegration test is applied. Given that Johansen methodology presents several advantages with respect to old fashioned cointegration tests like that of Jansen and Schulze we conclude that the FH hypothesis of perfect capital mobility is confirmed in the case Greek economy. Several important outcomes can be derived from this situation: (a) The high degree of international capital mobility in Greece permits the domestic investment-saving gap to be financed also via foreign saving releasing thus the intertemporal solvency constraint. Since the early 1970s, Greece has imported foreign capital by the amount of 5–10% of its GDP. After 1981 when the country joined the EU, the annual gross capital inflows continued to increase although measured in relation to GDP they slightly declined, see Buch, 1999. It should be noted that entry into the EC did not imply a full abolition of capital controls. Greece retained controls on capital flows up to 1994. (b) In the presence of perfect capital mobility, the factors giving rise to the current account imbalance preserve their importance for policy making. Policies aiming at reducing the current account deficit, only by the promotion of domestic savings, ignore the important role the investments play in economic growth. Within this framework, Greek governments should favor policies that further encourage long term capital movements to finance domestic investment rather than discouraging domestic consumption per se. (c) The absence of a systematic relationship between savings and investment should give rise to policies aiming at removing distortions on investment decisions, including financial constraints, capital market imperfections and deficiencies in education and R&D spending and (d) for integrated capital markets, like the common currency EU, measures aiming at increasing domestic savings through tax on profits may induce capital movements across borders, so the incidence of the tax falls on the nations’ labor force.