<abstract xmlns="http://www.w3.org/1999/xhtml"><p>The aim of this paper is to test the existence of Feldstein Horioka puzzle in the case of Algerian economy for the period 1970-2019 by examining the link between domestic savings and investments, we use in this paper both the co-integration tests under Gregory-Hansen (1996), Hatemi-J (2008) and Maki (2012) tests in the context of structural breaks, and the symmetric and asymmetric causality (hidden causality) proposed by Hacker-Hatemi (2010) and Hatemi (2012) respectively, the results suggest that there is a co-integration relationship between saving and investment with five endogenous structural breaks, and the saving retention coefficient is equal to 0.324 which means the existence of Feldstein-Horioka puzzle in a weaker form and high capital mobility, on the other hand, the results indicate asymmetric causal relationship between savings and investments.</p></abstract>

The aim of this paper is to test the existence of Feldstein Horioka puzzle in the case of Algerian economy for the period 1970-2019 by examining the link between domestic savings and investments, we use in this paper both the co-integration tests under Gregory-Hansen (1996), Hatemi-J (2008) and Maki (2012) tests in the context of structural breaks, and the symmetric and asymmetric causality (hidden causality) proposed by Hacker-Hatemi (2010) and Hatemi (2012) respectively, the results suggest that there is a co-integration relationship between saving and investment with five endogenous structural breaks, and the saving retention coefficient is equal to 0.324 which means the existence of Feldstein-Horioka puzzle in a weaker form and high capital mobility, on the other hand, the results indicate asymmetric causal relationship between savings and investments.

Testing the Feldstein Horioka puzzle in Algeria: Maki co-integratioan and hidden causality analysis

Proceedings of the International Conference on Applied Statistics

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

The aim of this paper is to test the existence of Feldstein Horioka puzzle in the case of Algerian economy for the period 1970-2019 by examining the link...

Testing the Feldstein Horioka puzzle in Algeria: Maki co-integratioan and hidden causality analysis

Published Online: May 31, 2021

Page range: 42 - 53

DOI: https://doi.org/10.2478/icas-2021-0004

Keywords
Feldstein-Horioka puzzle, Savings, Investments, Co-integration, Asymmetric causality

© 2021 Hicham Ayad et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Testing the Feldstein Horioka puzzle in Algeria: Maki co-integratioan and hidden causality analysis

Published Online: May 31, 2021

Page range: 42 - 53

DOI: https://doi.org/10.2478/icas-2021-0004

KeywordsFeldstein-Horioka puzzle, Savings, Investments, Co-integration, Asymmetric causality

© 2021 Hicham Ayad et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Keywords
Feldstein-Horioka puzzle, Savings, Investments, Co-integration, Asymmetric causality