欧盟15年金融流动的起伏:使用具有共同相关效应的动态面板的新证据
Mariam Camarero1, Alejandro Muñoz2, Cecilio Tamarit3
1Department of Economics, University Jaume I and INTECO, Campus de Riu Sec, 12080 Castellón, Spain.
概括
欧洲的长期资本流动性很高,但不完美,欧元促进了金融和实体一体化. 短期资本流动性仍然很高,受经济风险和开放性的影响.
科学领域:
- 经济学 经济学 经济学
- 计量经济学 计量经济学
背景情况:
- 评估资本流动性对于理解经济一体化至关重要.
- 之前的研究往往忽略了短期动态和结构性断裂.
研究的目的:
- 评估15个欧洲国家的长期和短期资本流动性 (1970-2019).
- 确定同质和异质的结构性断裂,特别是在欧元诞生之际.
- 检查商品市场一体化和欧元在资本流动中的作用.
主要方法:
- 动态的共同相关效应建模.
- 多因素错误校正模型 (ECM) 考虑截面依赖性,斜率异质性,非静止性和内质性.
- CS-DL值分析,以确定影响资本流动性的关键因素.
主要成果:
- 长期资本流动性很高,但并不完美.
- 欧元的诞生标志着一个重要的同质结构性崩.
- 商品市场的整合对于零储蓄-投资相关性至关重要.
- 短期资本流动性通常很高,但在动荡时期例外.
- 经济风险和开放性显著影响资本流动.
结论:
- 欧元增强了金融和实体一体化,但尚未实现全面的经济一体化.
- 资本流动受到结构性断裂,商品市场整合,经济风险和开放性的影响.
- 该框架提供了资本流动性的全面评估,包括短期动态和调整速度.
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