W. Jos Jansen

The stock market and consumer confidence: European evidence

Abstract This paper studies the (short-run) relationship between stock market developments and consumer confidence in 11 European countries over the years 1986–2001. We find that stock returns and changes in sentiment are positively correlated for nine countries, with Germany the main exception. Moreover, stock returns generally Granger-cause consumer confidence at very short horizons (2 weeks–1 month), but not vice versa. The stock market–confidence relationship is driven by expectations about economy-wide conditions rather than personal finances. This suggests that the confidence channel is not part of the conventional wealth effect, but a separate transmission channel.

International capital mobility: evidence from panel data

Abstract Krol (Krol, R., 1996. Journal of International Money and Finance 15, 467–474) reports estimates of the saving–investment correlation, based on panel regressions, that are much lower than those commonly found in the literature. This note argues that this low estimate is not related to the panel estimation technique, as Krol claims, but largely to the inclusion of Luxembourg in the sample. Panel estimation reduces the correlations estimate only by about 0.12.

Comovement in International Equity Markets: A Sectoral View

We investigate shifts in correlation patterns among international equity returns at the market level as well as the industry level. We develop a novel bivariate GARCH model for equity returns with a smoothly time-varying correlation and then derive a Lagrange Multiplier statistic to test the constant-correlation hypothesis directly. Applying the test to weekly data from Germany, Japan, the UK and the US in the period 1980-2000, we find that correlations among the German, UK and US stock markets have doubled, whereas Japanese correlations have remained the same. Both dates of change and speeds of adjustment vary widely across countries and sectors.

Has the emergence of China hurt Asian exports

It is investigated as to whether the exports of manufactured products by the South Asian and South East Asian countries have been negatively affected by the rise of China. Using a panel data approach, it is found that increases in world market shares of China are statistically correlated with declines in world market shares for some Asian countries since 1994, but not before 1994.

International Business Cycle Comovement: Trade and Foreign Direct Investment

This paper investigates the relationship between foreign direct investment (FDI) and business cycle synchronization in the period 1982-2010 for eight industrialized countries. We find that more synchronized business cycles are associated with stronger FDI relations during 1995-2010, but that they are mainly associated with stronger trade linkages before 1995. More intensive FDI links are also associated with a greater vulnerability to lagged output spillovers from abroad, whereas trade links are not. Our findings suggest that FDI has become a separate channel through which economies may affect each other and that FDI stocks are now an essential aspect of economic interdependence.

The Feldstein-Horioka Test of International Capital Mobility; Is it Feasible?

Feldstein and Horioka (1980) argued that the correlation of saving and investment in a cross-section of countries may provide a test of global capital mobility. This paper argues that neither the long-run nor the short-run correlation can serve as a reliable basis for such a test. The intertemporal budget constraint implies that each country`s saving and investment should be cointegrated over time. Simulations show that the cross-section regressions used in the literature will produce correlations that strongly tend towards one, regardless of the degree of capital mobility. Although the short-run correlation is not affected by the intertemporal budget constraint, the empirical analysis shows it is primarily a country-specific business cycle fact.

International business cycle co-movement: the role of FDI

This article investigates the relationship between FDI and business cycle synchronization in the period 1982 to 2011 for eight industrialized countries. We find that more synchronized business cycles are associated with stronger FDI relations in the period 1995 to 2011, but not before 1995. More intensive FDI links are also associated with a greater vulnerability to lagged output spillovers from abroad. Our findings suggest that FDI has become a separate channel through which economies may affect each other and that FDI stocks are now an essential aspect of economic interdependence.