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Savings-investment correlations : transitory versus permanent
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Sarno, Lucio and Taylor, Mark P. (1998) Savings-investment correlations : transitory versus permanent. The Manchester School, 66 (S). pp. 17-38. doi:10.1111/1467-9957.66.s.2 ISSN 1463-6786.
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Official URL: http://dx.doi.org/10.1111/1467-9957.66.s.2
Abstract
In this paper we investigate the di¡erence between the short-run and the long-run savings^investment correlation coe¤cient, in order to shed light both on the validity of the Feldstein^Horioka regression as a means of measuring the degree of capital mobility and on its implications. Using quarterly UK data, we also examine the e¡ectiveness of the abolition of exchange control which, in October 1979, ended a long period of restrictions on capital £ows between the UK and the international economy. We ¢nd that, consistent with the logical implication of the Feldstein^Horioka regression, the short-run correlation is signi¢cantly higher than the long-run correlation. In contrast with much of the literature employing the Feldstein^Horioka interpretation, however, the results suggest that the UK is highly ¢nancially integrated with the global economy post 1979.
Item Type: | Journal Article | ||||
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Divisions: | Faculty of Social Sciences > Warwick Business School | ||||
Journal or Publication Title: | The Manchester School | ||||
Publisher: | Wiley-Blackwell Publishing Ltd. | ||||
ISSN: | 1463-6786 | ||||
Official Date: | 1998 | ||||
Dates: |
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Volume: | 66 | ||||
Number: | S | ||||
Page Range: | pp. 17-38 | ||||
DOI: | 10.1111/1467-9957.66.s.2 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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