Does the Feldstein-Horioka relationship vary with economic policy uncertainty?
學年 110
學期 1
出版（發表）日期 2021-08-16
作品名稱 Does the Feldstein-Horioka relationship vary with economic policy uncertainty?
作品名稱（其他語言）
著者 Yi-Chen Lin; Wen-Shuenn Deng
單位
出版者
著錄名稱、卷期、頁數 Applied Economics Letters
摘要 This research addresses the omitted-uncertainty bias and functional form misspecification problem when estimating the saving-investment relationship. We apply a semiparametric varying-coefficient cointegration approach to test for the presence of an ‘uncertainty-varying’ cointegrating relationship between savings and investment. Based on quarterly time series data for the U.S. from 1947Q1 to 2014Q4, we find that the saving-retention coefficient is a U-shaped function of economic policy uncertainty. This indicates that domestic investment is more constraint by domestic savings at very high and very low levels of uncertainty. Given the continued rise in economic policy uncertainty, our estimate predicts that domestic investment will become more constrained by domestic savings. Further sub-period analysis shows that the null hypothesis of the presence of an uncertainty-varying cointegrating relationship between savings and investment cannot be rejected in the recent sub-period of 1999Q1-2014Q4, suggesting that the U.S current account is sustainable.
關鍵字 Feldstein-Horioka puzzle;saving-investment;economic policy uncertainty;cointegration; varying-coefficient model;semiparametric method
語言 en
ISSN 1466-4291
期刊性質 國外
收錄於 SSCI EconLit Scopus
產學合作
通訊作者
審稿制度 是
國別 TWN
公開徵稿
出版型式 ,電子版
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/119064 )

SDGS 尊嚴就業與經濟發展,產業創新與基礎設施