欧洲宏观基本面与费尔德斯坦-堀冈之谜的重现

IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE Journal of International Financial Markets Institutions & Money Pub Date : 2024-05-20 DOI:10.1016/j.intfin.2024.102006
António Martins
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引用次数: 0

摘要

本文讨论了全球金融危机后费尔德斯坦-堀冈之谜在欧洲范围内的再次出现。本文重新审视了跨期选择理论,认为有利于资本从富裕经济体流向贫穷经济体的宏观经济基本面的恶化会导致投资和储蓄在不同国家之间相互关联,即使没有资本流动的摩擦。我用一组 12 个欧洲经济体的数据对这一假设进行了检验,这些经济体的时间跨度从《马斯特里赫特条约》签署之初到科维德-19 大流行病爆发前夕。我发现,无论是在开放经济体之间还是开放经济体内部,投资与储蓄的相关性普遍较低,这与理论上的典型事实相符。然而,如果低收入经济体积累了大量的对外负债净存量,再加上生产率增长前景黯淡,这种情况就会受到影响。归根结底,如果不根据宏观基本面来管理投资和储蓄,外国投资者最终会对新负债施加溢价,从而提高利用外国资金进行投资的融资成本,并导致投资和储蓄之间的相关性在国家之间和国家内部上升。
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Macro fundamentals and the resurgence of the Feldstein–Horioka puzzle in Europe

This paper discusses the resurgence of the Feldstein–Horioka puzzle after the global financial crisis within the European space. Revisiting the theory of intertemporal choice, this paper suggests that the deterioration of macroeconomic fundamentals that favor capital flows from richer to poorer economies can lead investment and savings to correlate across countries even without frictions to capital mobility. I test this hypothesis against a data set of 12 European economies spanning since the inception of the Maastricht treaty and ending immediately before the start of the Covid-19 pandemic. I find that the investment-savings correlation is generally low both across and within open economies, aligning with the theoretical stylized fact. However, this can be jeopardized when low-income economies accumulate large net stocks of foreign liabilities coupled with sluggish prospects for productivity growth. Ultimately, if investment and savings are not managed in line with macro fundamentals, foreign investors eventually impose a premium on new liabilities, raising the cost of financing investment with foreign funds and leading the correlation between investment and savings to rise both across and within countries.

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来源期刊
CiteScore
6.60
自引率
10.00%
发文量
142
期刊介绍: International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.
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