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https://doi.org/10.1016/S0022-1996(96)01426-2

has been cited by the following article:

• TITLE: Transition of the Feldstein-Horioka Puzzle

  AUTHORS: Isamu Ginama, Kazuhiko Hayakawa, Takahiro Kanmei

  KEYWORDS: Bootstrap Confidence Interval, Capital Mobility, Common Factor, Panel Coin-tegration, Panel Unit Root, Relative Variances

  JOURNAL NAME: Journal of Mathematical Finance, Vol.11 No.1, February 26, 2021

  ABSTRACT: Common factor panel methodologies are applied to investment and savings rates in the context of the Feldstein-Horioka puzzle to derive idiosyncratic components of the two variables for OECD countries, Japan, and Indonesia. The idiosyncratic components of the two variables in the national and regional data are analyzed using panel methodologies of unit root and cointegration tests. Bootstrap confidence intervals of the correlation coefficient and the relative variance ratio for the two variables are estimated to ascertain what, if any, relation exists between the mobility and the relative volatility of the two variables. The empirical examinations presented herein suggest that the puzzle is fading in recent times. This paper presents an attempt to alleviate somewhat contradictory views of the plausibility of this important puzzle in international macroeconomics expressed in the existing literature by presenting empirical results demonstrating the existence of the puzzle in one period, and demonstrating the puzzle fading away in the other periods.