A dynamic factor approach to domestic capital mobility
This article analyzes capital mobility within Japan based on the consumption-based correlation method developed by Obstfeld (Capital mobility: the impact on consumption, investment and growth, Cambridge University Press, Cambridge, 1994 ). This theory suggests that consumption in one region is close...
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| Veröffentlicht in: | Empirical economics 2013-04, Vol.44 (2), p.685-700 |
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| creator | Nagayasu, Jun |
| description | This article analyzes capital mobility within Japan based on the consumption-based correlation method developed by Obstfeld (Capital mobility: the impact on consumption, investment and growth, Cambridge University Press, Cambridge,
1994
). This theory suggests that consumption in one region is closely related to that in other regions if the capital market is open. We test this theoretical implication in the panel data context using the dynamic factor model which enables us to estimate unobservable common factors. Then we provide evidence of perfect capital mobility and capital integration having advanced rapidly between 1965 and 1975. Furthermore, the common factor is found to affect regional consumption heterogeneously and to be closely associated with stock returns. |
| doi_str_mv | 10.1007/s00181-012-0566-4 |
| format | Article |
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1994
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1994
). This theory suggests that consumption in one region is closely related to that in other regions if the capital market is open. We test this theoretical implication in the panel data context using the dynamic factor model which enables us to estimate unobservable common factors. Then we provide evidence of perfect capital mobility and capital integration having advanced rapidly between 1965 and 1975. Furthermore, the common factor is found to affect regional consumption heterogeneously and to be closely associated with stock returns.</description><subject>Capital markets</subject><subject>Capital movement</subject><subject>Consumption</subject><subject>Econometrics</subject><subject>Economic models</subject><subject>Economic statistics</subject><subject>Economic theory</subject><subject>Economic Theory/Quantitative Economics/Mathematical Methods</subject><subject>Economics</subject><subject>Economics and Finance</subject><subject>Finance</subject><subject>Hypotheses</subject><subject>Insurance</subject><subject>Interest rate parity theorem</subject><subject>Interest rates</subject><subject>Investments</subject><subject>Macroeconomics</subject><subject>Management</subject><subject>Regions</subject><subject>Statistics for 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1994
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| fulltext | fulltext |
| identifier | ISSN: 0377-7332 |
| ispartof | Empirical economics, 2013-04, Vol.44 (2), p.685-700 |
| issn | 0377-7332 1435-8921 |
| language | eng |
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| source | Business Source Complete; SpringerLink Journals - AutoHoldings |
| subjects | Capital markets Capital movement Consumption Econometrics Economic models Economic statistics Economic theory Economic Theory/Quantitative Economics/Mathematical Methods Economics Economics and Finance Finance Hypotheses Insurance Interest rate parity theorem Interest rates Investments Macroeconomics Management Regions Statistics for Business Studies |
| title | A dynamic factor approach to domestic capital mobility |
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