국제 자본이동성 연구: OECD 회원국 패널 분석
International Capital Mobility: A Panel Analysis for OECD Countries
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본고에서는 1960~2006년 기간 중 OECD 30개국의 패널 자료를 사용하여 Feldstein- Horioka puzzle로 알려진 저축-투자 상관관계를 조사한다. 본연구는 최근 개발된 패널 공적분 기법들을 활용하여 OECD 국가들의 국내 저축률 및 투자율간의 장기 균형관계를 검정하고 추정한다. 저축률과 투자율 변수들은, 5 종의 패널 단위근 검정과 3 종의 패널 공적분 검정에 근거하여, 단위근이 존재하고 공적분되어 있다는 것이 발견된다. CCR, DOLS 및 FMOLS 기법들을 사용한 저축유지율 계수 추정치들은 표본기간 중 하향 추세를 보여 왔음이 판명되었다. 본고에서 저축유지율 계수 추정치들의 크기는, 통계 자료의 비정상성과 그로 인한 가성회귀 문제를 고려하지 않은 Feldstein and Horioka (1980) 보다 훨씬 작게 나타났다. 본고의 실증 분석 결과는 OECD 회원국에서 국제 자본이동성이 1960~2006년 기간 중 거의 네 배가 되었고, 특히 1990년대와 2000년대에 크게 증가하였음을 보여준다. 본고의 실증 분석 결과는 1960~2006년 기간 중 30개 OECD 국가들에서 Feldstein-Horioka puzzle과 반대되는 증거를 제시한다.
Abstract
This paper investigates the savings-investment relationship, also known as the Feldstein-Horioka puzzle, for a panel of 30 OECD countries over 1960-2006. It utilizes the recently-developed panel cointegration techniques to test and estimate the long-run equilibrium relationship between savings and investment. Investment and savings rates are found to have unit roots and to be cointegrated, based on 5 different panel unit root tests and 3 types of panel cointegration tests. The estimated coefficients on the savings rate employing CCR, DOLS, and FMOLS techniques, exhibit a declining trend over subsample periods. Moreover, the magnitude of the estimated saving-retention coefficients is much smaller than those reported by Feldstein and Horioka (1980), who did not consider the nonstationarity of data and the resulting spurious regression problem. It suggests that international capital mobility in the OECD economies has almost quadrupled over 1960-2006 and substantially increased in the 1990s and 2000s. The empirical findings in this paper provide evidence against the Feldstein-Horioka puzzle in OECD countries over 1960-2006.
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