Andrew Abbott

Are saving and investment cointegrated? An ARDL bounds testing approach

Using the newly developed ARDL bounds testing procedure, we find that, as implied by the intertemporal budget constraint, U.S. saving and investment rates cointegrate in all sample periods considered. Our results also show that the saving–investment correlation weakens after 1971, suggesting that the Feldstein–Horioka approach provides an at least partially informative measure of capital mobility.

Another Piece in the Feldstein-Horioka Puzzle

Using UK quarterly data, we redexamine the nature and degree of the relationship between savings and investment by means of a newly developed bounds testing procedure to cointegration within an autoregressive distributed lag (ARDL) framework. Our finding of cointegration in all samples considered is consistent with the view that the longdrun relationship between savings and investment is not exclusively dependent upon the level of financial integration. The evidence also indicates that this relationship weakens after the abolition of UK controls on capital flows in 1979, suggesting that the Feldstein--Horioka framework provides at least a partial measure of the degree of capital mobility. Copyright Scottish Economic Society 2003

Recent Trends in Higher Education Applications and Acceptances

Using a data‐set published by the Universities and Colleges Admissions Service, patterns of demand and supply for higher education courses from 1996/97 to 1999/2000 are analysed. Most universities saw a fall in applications and enrolments following the introduction of tuition fees, although this effect varies across institutions and regions of the UK. A model of applications and acceptances is developed and tested. Applications are sensitive to institutional reputation and location of a university within the UK. Acceptances depend on teaching funding per head and the number of funded places each institution is given.

The influence of exchange rate variability on UK exports

This paper examines the influence of exchange rate variability on UK exports in the period of ‘floating’ sterling 1973Q2-1990Q3. Using the most recently developed bounds tests (appropriate when the cointegrating vector incorporates both I(1) or I(0) variables) the long-run demand for UK exports invariant to exchange rate variability is found.

Trade Integration and Business Cycle Convergence: Is the Relation Robust across Time and Space?

In this paper we investigate the relationship between trade intensity and the business cycle correlation using a panel data set taken from 24 countries over the period 1959–2003. Most previous studies did not account for the possibility that the business cycle correlation may be influenced by unobservable country‐pair specific effects. Our estimates, using both fixed‐ and random‐effects methodologies, suggest that trade intensity and the business cycle correlation are positively related to one another. However, detailed investigation shows that this relationship exists mainly for the European countries.

Do exchange rates have any impact upon UK inward foreign direct investment

This article examines the impact of the level and volatility of the real exchange rate on UK foreign direct investment (FDI) inflows from the seven major countries of origin of the investment over the period 1975–2001. We use both fixed effects and dynamic generalized methods of moments (GMM) panel estimation techniques, and manufacturing data disaggregated by high and low R&D content of the sector of destination. Our results provide strong evidence that exchange rate volatility has a negative impact on FDI flows into the UK, irrespective of the sector of destination of the investment. On the other hand, the level of the real exchange rate is found to have a statistically insignificant effect on FDI after controlling for endogeneity of the regressors.

Exchange Rate Regimes and Foreign Direct Investment Flows to Developing Countries

Drawing on recent advances in exchange rate regime classifications, the paper examines empirically the effect of exchange rate regimes on foreign direct investment (FDI) flows to developing countries. Using system generalized methods of moments estimation on a panel of 70 developing countries for the period 1985–2004, we find that developing countries adopting de facto fixed or intermediate regimes significantly outperform those opting for a flexible exchange rate system in attracting FDI flows. No statistically significant differences in the FDI‐inducing properties of fixes, intermediates and floats are found using the International Monetary Fund official classification.

Pairwise Convergence of District-level House Prices in London

This paper investigates the long-run convergence of district-level house prices in Greater London using the recently developed pairwise approach. This methodology allows for unit root tests to be conducted on all N(N-1)/2 possible pairs of house price differentials across the N boroughs of London, thus avoiding the need to choose a base borough of reference or the regional average as the benchmark. It also permits the estimation, consistently, of the proportion of the pairs that are stationary and convergent. Using HM Land Registry house price data for 33 Inner and Outer London boroughs over the period 1996q1–2009q2, no overall multidistrict long-run convergence is found. Some evidence of district-level segmentation of house prices in Greater London is found, with the sub-group of the boroughs contiguous to the ‘City of London’ district and the wider ‘central’ sub-market emerging as the clubs with the highest rate of convergence.

Evidence on the impact of exchange rate regimes on bilateral FDI flows

Purpose - The purpose of this paper is to investigate the impact of a menu of country-pair exchange rate regime combinations upon bilateral foreign direct investment (FDI) flows. Design/methodology/approach - The authors use panel data from 27 OECD and non-OECD high income countries for the period 1980 to 2003. Instrumental variable estimation of a dynamic panel model within a system generalised methods of moments framework allows us to control for both potential correlation issues and endogeneity bias. Findings - This paper finds that a currency union is the policy framework most conducive to cross-border investment. Being a member of EMU also appears to spur greater FDI flows with countries floating their currency Originality/value - The contribution is also distinguished by the comparative use of recently developed “natural” or

Long-run price and income elasticities of demand for Hong Kong exports: a structural cointegrating VAR approach

This article revisits a system of export volume and price equations to estimate the long–run price and income effects in the demand for Hong Kongs exports. Using a recently developed restricted cointegrating VAR approach it tests theorybased restrictions and obtains estimates of the long–run structural coefficients. The estimation results provide supporting evidence for the theory–based restrictions and suggest that the demand for Hong Kongs exports is both price and income elastic. This article is therefore able to present a long–run model of Hong Kongs exports that is both theory and data consistent, and long–run elasticities that are economically interpretable. The short–run properties of the model are illustrated by means of persistence profiles, which confirm the cointegrating vectors tendency of convergence.