The Measurement of International Capital Mobility Using Panel Cointegration Estimators

This paper investigates the Feldstein-Horioka coefficients for OECD country group. Latin country group and Asian country group using the recently developed several nonstatioanry panel cointegration techniques. The savings and investment rates are nonstattonary and co integrated in panel. The estimated FH coefficients using panel FMOLS and DOLS estimators have significantly declined for the second sub-period of 1980-98, comparing with those for the first sub-period of 1960-79 for all three country groups. In addition, the FH coefficient using the panel cointegration estimator in FH original samples (16 OECD countries) decreases drastically for the sub-periods of 1975-98 (0.10-0.35), though it is a little smaller (0.59-0.83) than that of original FH (0.88) for 1960-74. These estimated FH coefficients are consistent with the recognitions that international capital flows have increased significantly after the 1980s. The FH coefficient using panel co integration estimator is considered to have important information about international capital mobility.