2017 Fiscal Year Final Research Report
The six major puzzle in International Economics: Wavelet analysis
| Project/Area Number |
15K17095
|
|---|
| Research Category |
Grant-in-Aid for Young Scientists (B)
|
| Allocation Type | Multi-year Fund |
|---|
| Research Field |
Money/ Finance
|
|---|
| Research Institution | Aoyama Gakuin University |
|---|
Principal Investigator |
KO JUNHYUNG 青山学院大学, 経済学部, 教授 (40632279)
|
|---|
| Project Period (FY) |
2015-04-01 – 2018-03-31
|
| Keywords | Feldstein-Horioka Puzzle / Wavelet / 貯蓄・投資の相関関係 / 国際資本移動 / トレードコスト |
|---|
| Outline of Final Research Achievements |
In this research project, I performed a research on puzzles in the open macroeconomics and international finance literature. In particular, I investigated the main factors of the Feldstein-Horioka Puzzle. As financial markets are liberalized, the co-movement between savings and domestic investment should be lowered. However, Felstein and Horioka (1980) claimed the absence of perfect mobility based on a cross-section regression of investment on saving for 21 OECD countries for the period 1960 to 1974.In this project,I performed time-frequency domain analysis for nine countries from 1885 to 2010. I showed at which time and at which frequency the Feldstein-Horioka Puzzle prevails. I also quantitatively assessed the relative role of the existing candidate explanations for saving-investment co-movement.
|
| Free Research Field |
経済学
|
