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Autoren: 
Levy, Daniel
Datum: 
2000
Quellenangabe: 
[Journal:] Review of Economic Dynamics [ISSN:] 1094-2025 [Volume:] 3 [Issue:] 1 [Pages:] 100-136
Zusammenfassung: 
This paper makes three contributions: First, I construct annual time series of gross domestic investment and national saving in the U.S. for the 1897–1949 period using historical component series. I compare the qualitative and quantitative properties of the newly constructed series with the properties of four existing alternative series constructed by the Bureau of Economic Analysis, Commerce Department, Kuznets, and Kendrick. Second, I combine the newly constructed data with the Bureau of Economic Analysis’ 1929–89 period data, and the resulting time series are used to re-examine and document the long-run bivariate relationship between the time series of investment and saving. Third, I also examine the short-run as well as the cyclical relationships between the time series of investment and saving. The results reported in this paper indicate that there is a strong long-run and cyclical relationship between investment and saving, and this relationship seems to be independent of the time period considered. Furthermore, I find that during the postwar period the investment-saving comovement is strong and significant also in the short run. However, this is not true during the prewar period. Quantitatively, I find that the investment-saving relationship is stronger during the postwar period than the prewar period. Feldstein and his coauthors have argued that the high investment-saving correlation reflects imperfect capital mobility. This view, however, is hard to reconcile with the finding that the correlation increased during a period in which it is largely believed that capital markets have become more open and integrated. I conclude, therefore, that long-term capital mobility tests based on investment-saving correlation analysis are not likely to provide an accurate measure of capital mobility.
Schlagwörter: 
Investment-Saving Comovement
Open Economies
Feldstein-Horioka Puzzle
Capital Mobility
Long-Run
Medium-Run
Short-Run
Domestic Investment
National Saving
Intertemporal Budget Constraint
Time Series
Frequency Domain
Bivariate Spectral Analysis
Coherence
Phase
Gain
Cointegration
JEL: 
F21
F32
F41
E21
E22
DOI der veröffentlichten Version: 
Dokumentart: 
Article
Dokumentversion: 
Accepted Manuscript (Postprint)

Datei(en):
Datei
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