TY - JOUR
T1 - Testing for capital mobility
T2 - new evidence from a panel of G7 countries
AU - Narayan, Paresh Kumar
AU - Narayan, Seema
N1 - Copyright:
Copyright 2009 Elsevier B.V., All rights reserved.
PY - 2010/1
Y1 - 2010/1
N2 - In this paper, we test the savings-investment relationship for the G7 countries. Upon applying the Gregory and Hansen [Gregory, A.W., Hansen, B.E., 1996. Residual-based tests for cointegration in models with regime shifts, J. Econ. 70, 99-126] residual-based structural break test for cointegration for each of the G7 countries, we did not find any evidence of a cointegrating relationship between savings and investment. Extending the analysis to a panel framework, we could not establish any evidence of panel cointegration. Taken together, our findings suggest that capital in these G7 countries is highly mobile since no long-term relationship exists between savings and investment.
AB - In this paper, we test the savings-investment relationship for the G7 countries. Upon applying the Gregory and Hansen [Gregory, A.W., Hansen, B.E., 1996. Residual-based tests for cointegration in models with regime shifts, J. Econ. 70, 99-126] residual-based structural break test for cointegration for each of the G7 countries, we did not find any evidence of a cointegrating relationship between savings and investment. Extending the analysis to a panel framework, we could not establish any evidence of panel cointegration. Taken together, our findings suggest that capital in these G7 countries is highly mobile since no long-term relationship exists between savings and investment.
KW - Cointegration
KW - G7 countries
KW - Savings-investment
UR - http://www.scopus.com/inward/record.url?scp=70350072985&partnerID=8YFLogxK
U2 - 10.1016/j.ribaf.2008.11.003
DO - 10.1016/j.ribaf.2008.11.003
M3 - Article
AN - SCOPUS:70350072985
SN - 0275-5319
VL - 24
SP - 15
EP - 23
JO - Research in International Business and Finance
JF - Research in International Business and Finance
IS - 1
ER -