International Capital Mobility in the Long Run and the Short Run: Can we still learn from saving-investment data?
Title: International Capital Mobility in the Long Run and the Short Run: Can we still learn from saving-investment data?
Author: HOFFMANN, Mathias
Citation: Journal of International Money and Finance, 2004, 23, 113-131
The idea to learn about international capital mobility from saving and investment data remains appealing. Our approach is based on VAR methods and overcomes some of the problems associated with saving–investment regressions when the data are non-stationary. We propose a new measure of long-run capital mobility that can be easily calculated as a by-product of the estimation procedure of a cointegrated VAR. In an application to historical US and British data, we find long-run capital mobility to have been remarkably stable over the century whereas variations in the mobility of capital primarily seem to have affected short-run capital flows.
(The article is a revised version of a chapter of the author's EUI PhD thesis, 1999.) http://hdl.handle.net/1814/4955
Files in this item
There are no files associated with this item.