[eng] Transitory and permanent components of saving and investment: an empirical study of international capital flows in Japan by Eric Girardin, Lucio Sarno and Mark P. Taylor This paper presents an empirical study of the difference between the short- and the long-run saving-investment correlation coefficient using quarterly Japanese data, in an attempt to shed light both on the Feldstein-Horioka regression's validity in quantifying the degree of international capital mobility and on its implications. We also empirically assess the effectiveness of the abolition of exchange controls, which removed all restrictions on capital flows between Japan and the international economy in 1980. Consistent with our economic intuition and the logical consequences of the Feldstein-Horioka interpretation, our results suggest that the short-run saving-investment association is significantly stronger than the corresponding long-run association and, in contrast with much of the relevant empirical literature, Japan appears to have been highly financially integrated into the global economy since 1980. pital flows ; transitory and permanent components ; Kalman filter. [fre] Composantes permanente et transitoire de l'épargne et de l'investissement : une étude empirique des flux internationaux de capitaux au Japon par Eric Girardin, Lucio Sarno et Mark P. Taylor .. Cet article présente une étude empirique de la différence entre les coefficients de corrélation de court et de long terme entre l'épargne et l'investissement en utilisant des données trimestrielles japonaises, afin d'apporter un éclairage à la fois sur la validité de la régression de Feldstein-Horioka pour mesurer le degré de mobilité internationale du capital et sur ses conséquences. Nous évaluons également empiriquement l'efficacité de l'abolition des contrôles des changes qui en 1980 a supprimé toute restriction sur les mouvements de capitaux entre le Japon et l'économie internationale. En conformité avec nos a priori d'écono

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[fre] Les fondamentaux permettent-ils d'améliorer la prévision du taux de change franc-dollar ? Nous étudions dans quelle mesure on peut mettre en évidence une relation de long terme entre le taux de change quotidien franc-dollar au comptant et certains fondamentaux tels que les taux d'intérêt français et américain au jour le jour et le taux de change dollar-mark. Des tests de coïntégration dans un VAR permettent de conclure à l'existence d'une telle relation entre le milieu des années quatre-vingt et le milieu de la décennie quatre-vingt-dix. Le modèle à correction d'erreurs associé permet de prévoir le taux de change franc-dollar mieux qu'une marche aléatoire à des horizons d'une et deux semaines. [eng] Can the use of fundamentals improve our forecasts of the franc-dollar exchange rate ? We study to what extent a long run relationship can be isolated between the daily spot franc-dollar exchange rate and some fundamentals such as French and US overnight interest rates and the dollar-mark exchange rate. Cointegration tests in a VAR provide evidence for such a relationship between the mid eighties and the mid nineties. The associated error correction model enables us to outperform the random walk in out of sample forecasting over one week and two week horizons.

The record of Chinese monetary authorities at targeting MO in the late eighties early nineties is rather poor. This paper thus first aims at determining whether the instability of currency demand is responsible for this. By so doing we show, using adequate econometric techniques, that a long-run demand for currency did exist over the 1988-1993 period, with quarterly data. Most previous studies concluded that the income elasticity of currency demand in China is very high. The second objective of the paper is to test for the robustness of this result. We show that this income elasticity is unity when proper account is taken of institutional variables representative of the transition process. Copyright 1996 by Kluwer Academic Publishers