Composantes permanente et transitoire de l'épargne et de l'investissement : une étude empirique des flux internationaux de capitaux au Japon

摘要

Transitory and permanent components of saving and investment: an empirical study of international capital flows in Japan by Eric Girardin, Lucio Sarno and Mark P. Taylor This paper presents an empirical study of the difference between the short- and the long-run saving-investment correlation coefficient using quarterly Japanese data, in an attempt to shed light both on the Feldstein-Horioka regression's validity in quantifying the degree of international capital mobility and on its implications. We also empirically assess the effectiveness of the abolition of exchange controls, which removed all restrictions on capital flows between Japan and the international economy in 1980. Consistent with our economic intuition and the logical consequences of the Feldstein-Horioka interpretation, our results suggest that the short-run saving-investment association is significantly stronger than the corresponding long-run association and, in contrast with much of the relevant empirical literature, Japan appears to have been highly financially integrated into the global economy since 1980. pital flows ; transitory and permanent components ; Kalman filter.