ABSTRACT

The main objective of this paper is to empirically investigate the Feldstein-Horioka puzzle for the Next Eleven (N-11), which are Bangladesh, Egypt, Indonesia, Iran, South Korea, Mexico, Nigeria, Pakistan, the Philippines, Turkey, and Vietnam, employing using panel data techniques that allow structural breaks through Fourier functions. We also introduce a new panel causality test to the literature that allows structural changes via Fourier functions. In the empirical section of the study, we first test the stationarity of gross domestic savings and gross capital formation levels of N-11 countries over 1990–2017 using the Fourier CIPS Test and find that the series are non-stationary. Following this, we examine the long-run relationship between the variables using the panel Fourier cointegration test. Having found a cointegration between the variables, we estimate the long-run coefficients employing the panel Augmented Mean Group. Finally, we analyze the causality relationship between the variables by using a panel Fourier causality test. Our findings support the evidence of the validity of the Feldstein-Horioka puzzle in the N-11 countries.

抽象的

本文的主要目标是对孟加拉国，埃及，印度尼西亚，伊朗，韩国，墨西哥，尼日利亚，巴基斯坦，菲律宾，土耳其和孟加拉国的下一个十一岁（N-11）的费德斯坦-霍里奥卡难题进行实证研究。越南，采用面板数据技术，通过傅立叶函数实现结构突破。我们还向文献介绍了一种新的面板因果关系检验，该检验允许通过傅立叶函数进行结构更改。在研究的实证部分，我们首先使用傅立叶CIPS检验对1990-2017年N-11个国家的国内储蓄总额和资本形成总额水平的平稳性进行检验，发现该序列是非平稳的。接下来，我们使用面板傅立叶协整检验来检验变量之间的长期关系。找到变量之间的协整后，我们使用面板增强均值组估算长期系数。最后，我们使用面板傅立叶因果关系检验分析变量之间的因果关系。我们的发现支持N-11国家Feldstein-Horioka难题的有效性的证据。