Feldstein-Horioka 迷思之再檢定: 跨國的實證研究

A re-investigation for Feldstein-Horioka puzzle: International evidence

呂雨柔(Yu-Jou Lu)

指導教授 ： 陳仕偉

中原大學/商學院/國際經營與貿易研究所/碩士(2013年)

https://doi.org/10.6840/cycu201300332

摘要

從過去文獻得知要解開Feldstein-Horioka迷思，可以利用國內儲蓄和投資的關係來探討資本移動性。Feldstein-Horioka puzzle. Feldstein and Horioka (1980), Feldstein (1983) and Feldstein and Bacchetta (1989) 儲蓄和投資的相關係數低，意味著資本流動性高，也隱含國內投資可藉由國外儲蓄所融通；相反的，如果儲蓄和投資之間存在高的相關係數，意味著資本移動性低，也隱含國內儲蓄可以國內投資所融通。本文針對11個OECD國家(德國、希臘、美國、英國、加拿大、日本、法國、葡萄牙、西班牙、義大利、愛爾蘭)作為研究對象，期間為1950到2010，本文先針對每個國家進行單根檢定，再利用FMOLS 以及 DOLS共整合檢定Feldstein-Horioka 迷思。本文結果顯示，除了德國和愛爾蘭，其他國家仍存Feldstein-Horioka 迷思。本文結果和Hussein (1998) 相似。

關鍵字

資本移動性 ； Feldstein-Horioka迷思 ； DOLS共整合 ； FMOLS共整合

並列摘要

The correlation in the past few years between investment and saving rates has been widely discussed in academic literature. Feldstein-Horioka puzzle. Feldstein and Horioka (1980), Feldstein (1983) and Feldstein and Bacchetta (1989) High correlation between investment and saving can be interpreted as low capital mobility. This means that domestic investment could be supported by abroad savings. On the contrary, low correlation between investment and savings can be interpreted as as high capital mobility which indicates that domestic investment could be supported by domestic savings.

This paper aims to investigate 11 OECD countries, the USA, the UK, Canada, Japan, Germany, France, Portugal, Spain, Greece, Italy and Ireland. We will also ask whether the Feldstein and Horioka puzzle exists for these countries or not. The sample period is from 1950 to 2010. We apply the unit root test, the FMOLS and the DOLS cointegration tests to examine the evidence of the Feldstein and Horioka puzzle. The empirical results indicate that the Feldstein and Horioka puzzle exists in most of these countries, with the exception of Germany and Ireland. Our findings are consistent with Hussein (1998).

並列關鍵字

DOLS cointegration ； FMOLS cointegration ； Feldstein and Horioka puzzle ； Capital mobility

參考文獻

Apergis, N., and Tsoumas, C. (2009), A survey of the Feldstein-Horioka puzzle: What has been done and where we stand, Research in Economics, 63, 64-76.

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Bangake, C. and Eggoh J. C. (2011), The Feldstein–Horioka puzzle in African countries: A panel cointegration analysis, Economic Modelling, 28, 939-947.

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Coakley, J., Kulasi, F., Smith, R,. (1998), The Feldstein–Horioka Puzzle and Capital Mobility: A Review, International Journal of Finance and Economics, 3: 169–188.