La Paradoja de Feldstein-Horioka – Evidencia para Colombia durante 1925-2011
Main Article Content
Keywords
Paradoja Feldstein- Horioka, cointegración, modelo de corrección de errores, movilidad imperfecta de capital, Colombia.
Resumen
Este artículo examina la relación entre la inversión nacional y el ahorro en Colombia durante el periodo 1925-2011. De manera consistente con Cárdenas y Escobar (1998), se utiliza un Modelo de Corrección de Errores para examinar los efectos de corto y largo plazo. Los resultados evidencian que la inversión y el ahorro están co-integradas durante el periodo de estudio. Los resultados para el vector de cointegración, incluyendo quiebres estructurales y sin incluirlos, indican que la movilidad del capital era baja, lo cual es consistente con la paradoja de Feldstein y Horioka (1980). Los resultados implican que aumentos en las tasas domésticas de ahorro reducen la movilidad del capital financiero en Colombia.
Descargas
Los datos de descargas todavía no están disponibles.
Referencias
Alcalá Ríos, V. H., Gómez Zaldívar , M., y Ventosa-Santaulària, D. (2011). Paradoja Feldstein – Horioka: El Caso de México (1950-2007). Estudios Económicos, 26(2), 293-313.
Andrews, D., y Zivot, E. (1992). Futher evidence on the Great Crash, the oil price shock, and the unit-root hypothesis. Journal of Business and Economic Statistics, 10, 251-270.
Barro, R. J., Grilli, V., y Febrero, R. (1997). MACROECONOMÍA: Teoría y Política. Madrid: McGRAW-HILL/INTERAMERICANA DE ESPAÑA, S.A.
Bai, J. y Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66, pp. 47–78.
Bai, J. y Perron, P. (2003). Computation and analysis of multiple structural change models. Journal of Applied Econometrics, Volume 18, Issue 1, pp. 1–22.
Calvo, G. A., y Vegh , C. A. (1993). Exchange-Rate-Based Stabilization under Imperfect Credibility. (H. Frisch, y A. Worgotter, Edits.) Open Economy Macroeconomics.
Cárdenas, M., y Escobar, A. (1998). Saving determinants in Colombia: 1925 - 1994. Journal of Development Economics, 57, 5-44.
Chow, G. C. (1960). Test of Equality Between Sets of Coefficients in Two Linear Regressions. Econometrica, 28(3), 591-605.
Christopoulos, D., y León-Ledesma, M. (2010). Current account sustainability in the US: What did we really know about it?. Journal of International Money and Finance, 29, 442-459.
Chu, K. H. (2012). The Feldstein-Horioka Puzzle and Spurios Ratio Carrelation. Journal of International Money and Finance, 31, 292-309.
De Vita, G., y Abbott, A. (2002). Are saving and investment cointegrated? An ARDL bounds testing approach. Economics Letters, 77, 293-299.
Dickey , D. A., y Fuller, W. A. (1981). Likelihood Ratio Statistics For Autoregressive Time Series With A Unit Root. Econometrica, 49, 1057-1071.
Dickey, D. A., y Fuller, W. A. (1979). Distribution of the Estimators for Autoregressive Time Series With a Unit Root. Journal of the American Statistical Association, 74, 427-431.
Edwards, S. (2006). The U.S. current account deficit: Gradual correction or abrupt adjustment? Journal of Policy Modeling, 28, 629-643.
Engle, R. F., y Granger, C. W. (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2), 251-276.
Feldstein , M., y Horioka, C. (1980). Domestic saving and international capital flows. The Economic Journal, 90(358), 314-329.
Granger, C. W. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37, 424-438.
Gregory , A. W., y Hansen, B. E. (1996). Residual-based test for cointegration in models with regime shifts. Journal of Econometrics, 70, 99-216.
Guzel, A., y Ozdemir, Z. A. (2011). The Feldstein-Horioka puzzle in the presence of structural shifts: The case of Japan versus the USA. Research in International Business and Finance, 25, 195-202.
Hoffmann, M. (2004). International capital mobility in the long run and the short run: can we still learn from saving-investment data?. Journal of International Money and Finance, 23, 113 – 131.
Johansen , S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551 – 1580.
Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Econometric Dynamics and Control, 12(2-3), 231 – 254.
Johansen, S. y Juselius, K. (1990). "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169 – 210 .
Ketenci, N. (2012). The Feldstein-Horioka Puzzle in groupings of OECD members: a panel approach. Reseach in Economics.
Kwiatkowski, D., Phillips, P. C., Schmidt, P., y Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics, 54, 159 – 178.
Levy, D. (2000). Investment - Saving Comovement and Capital Mobility: Evidence from Century Long U.S. Time Series. Review of Economic Dynamics, 3, 100 – 136.
Lumsdaine, R. L., y Papell, D. H. (1997). Multiple Trend Breaks and the Unit Root Hypothesis. Review of Economics and Statistics, 212 – 217.
MacKinnon, J., Haug, A., y Michelis, L. (1999). Numerical Distribution Functions of Likelihood Ratio Tests for Co-integration, Journal of Applied Econometrics, Vol. 14, pp. 563 – 577.
Narayan, P. K. (2005). The relationship between saving and investment for Japan. Japan an the WORLD ECONOMY, 17, 293 – 309.
Özmen, E., y Parmaksiz, K. (2003). Policy regime change and the Feldstein-Horioka puzzle: the UK evidence. Journal of Policy Modeling, 25, 137 – 149.
Pelagidis, T., y Mastroyiannis, T. (2003). The saving-investment correlation in Greece, 1960-1997: implications for capital mobility. Journal of Policy Modeling, 25, 609-616.
Reinhart , C. M., y Talvi, E. (1998). Capital flows and saving in Latin America and Asia: a reinterpretation. Journal of Development Economics, 57, 45-66.
Sachsida, A., y Caetano, M. A.-R. (2000). The Feldstein-Horioka puzzle revisite. Economics Letters, 68, 85-88.
Andrews, D., y Zivot, E. (1992). Futher evidence on the Great Crash, the oil price shock, and the unit-root hypothesis. Journal of Business and Economic Statistics, 10, 251-270.
Barro, R. J., Grilli, V., y Febrero, R. (1997). MACROECONOMÍA: Teoría y Política. Madrid: McGRAW-HILL/INTERAMERICANA DE ESPAÑA, S.A.
Bai, J. y Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66, pp. 47–78.
Bai, J. y Perron, P. (2003). Computation and analysis of multiple structural change models. Journal of Applied Econometrics, Volume 18, Issue 1, pp. 1–22.
Calvo, G. A., y Vegh , C. A. (1993). Exchange-Rate-Based Stabilization under Imperfect Credibility. (H. Frisch, y A. Worgotter, Edits.) Open Economy Macroeconomics.
Cárdenas, M., y Escobar, A. (1998). Saving determinants in Colombia: 1925 - 1994. Journal of Development Economics, 57, 5-44.
Chow, G. C. (1960). Test of Equality Between Sets of Coefficients in Two Linear Regressions. Econometrica, 28(3), 591-605.
Christopoulos, D., y León-Ledesma, M. (2010). Current account sustainability in the US: What did we really know about it?. Journal of International Money and Finance, 29, 442-459.
Chu, K. H. (2012). The Feldstein-Horioka Puzzle and Spurios Ratio Carrelation. Journal of International Money and Finance, 31, 292-309.
De Vita, G., y Abbott, A. (2002). Are saving and investment cointegrated? An ARDL bounds testing approach. Economics Letters, 77, 293-299.
Dickey , D. A., y Fuller, W. A. (1981). Likelihood Ratio Statistics For Autoregressive Time Series With A Unit Root. Econometrica, 49, 1057-1071.
Dickey, D. A., y Fuller, W. A. (1979). Distribution of the Estimators for Autoregressive Time Series With a Unit Root. Journal of the American Statistical Association, 74, 427-431.
Edwards, S. (2006). The U.S. current account deficit: Gradual correction or abrupt adjustment? Journal of Policy Modeling, 28, 629-643.
Engle, R. F., y Granger, C. W. (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2), 251-276.
Feldstein , M., y Horioka, C. (1980). Domestic saving and international capital flows. The Economic Journal, 90(358), 314-329.
Granger, C. W. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37, 424-438.
Gregory , A. W., y Hansen, B. E. (1996). Residual-based test for cointegration in models with regime shifts. Journal of Econometrics, 70, 99-216.
Guzel, A., y Ozdemir, Z. A. (2011). The Feldstein-Horioka puzzle in the presence of structural shifts: The case of Japan versus the USA. Research in International Business and Finance, 25, 195-202.
Hoffmann, M. (2004). International capital mobility in the long run and the short run: can we still learn from saving-investment data?. Journal of International Money and Finance, 23, 113 – 131.
Johansen , S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551 – 1580.
Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Econometric Dynamics and Control, 12(2-3), 231 – 254.
Johansen, S. y Juselius, K. (1990). "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169 – 210 .
Ketenci, N. (2012). The Feldstein-Horioka Puzzle in groupings of OECD members: a panel approach. Reseach in Economics.
Kwiatkowski, D., Phillips, P. C., Schmidt, P., y Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics, 54, 159 – 178.
Levy, D. (2000). Investment - Saving Comovement and Capital Mobility: Evidence from Century Long U.S. Time Series. Review of Economic Dynamics, 3, 100 – 136.
Lumsdaine, R. L., y Papell, D. H. (1997). Multiple Trend Breaks and the Unit Root Hypothesis. Review of Economics and Statistics, 212 – 217.
MacKinnon, J., Haug, A., y Michelis, L. (1999). Numerical Distribution Functions of Likelihood Ratio Tests for Co-integration, Journal of Applied Econometrics, Vol. 14, pp. 563 – 577.
Narayan, P. K. (2005). The relationship between saving and investment for Japan. Japan an the WORLD ECONOMY, 17, 293 – 309.
Özmen, E., y Parmaksiz, K. (2003). Policy regime change and the Feldstein-Horioka puzzle: the UK evidence. Journal of Policy Modeling, 25, 137 – 149.
Pelagidis, T., y Mastroyiannis, T. (2003). The saving-investment correlation in Greece, 1960-1997: implications for capital mobility. Journal of Policy Modeling, 25, 609-616.
Reinhart , C. M., y Talvi, E. (1998). Capital flows and saving in Latin America and Asia: a reinterpretation. Journal of Development Economics, 57, 45-66.
Sachsida, A., y Caetano, M. A.-R. (2000). The Feldstein-Horioka puzzle revisite. Economics Letters, 68, 85-88.