Does the Feldstein-Horioka relationship vary with economic policy uncertainty?

doi:10.1080/13504851.2020.1804043

淡江大學機構典藏 > 商管學院 > 統計學系暨研究所 > 期刊論文 > Item 987654321/119064

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題名:	Does the Feldstein-Horioka relationship vary with economic policy uncertainty?
作者:	Lin, Yi-Chen;Deng, Wen-Shuenn
關鍵詞:	Feldstein-Horioka puzzle;saving-investment;economic policy uncertainty;cointegration;varying-coefficient model;semiparametric method
日期:	2020-08-16
上傳時間:	2020-09-17 12:11:24 (UTC+8)
出版者:	Taylor and Francis
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.
關聯:	Applied Economics Letters
DOI:	10.1080/13504851.2020.1804043
顯示於類別:	[統計學系暨研究所] 期刊論文

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