Analyzing the Feldstein-Horioka puzzle in continuous wavelet transform (original) (raw)

2013

Abstract

We use a novel time-frequency approach to estimate wavelet-based correlation and retention coefficients of the well-known Feldstein-Horioka (1980) puzzle for a cross-section of 39 countries over the period 1960-2012. Our approach reveals many interesting issues in the connection between investment and saving rates among these countries and distinguishes between the short and the long run fluctuations in correlation and retention coefficients.

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