Solving the Feldstein-Horioka Puzzle With Financial Frictions
研究了有限执行和有限跨度两种金融摩擦如何解释各国储蓄率与投资率的高度相关性，发现两者结合能内生限制资本流动，从而解决费尔德斯坦-堀江之谜。
Unlike the prediction of a frictionless open economy model, long-term average savings and investment rates are highly correlated across countries—a puzzle first identified by Feldstein and Horioka (1980). We quantitatively investigate the impact of two types of financial frictions on this correlation. One is limited enforcement, where contracts are enforced by the threat of default penalties. The other is limited spanning, where the only asset available is noncontingent bonds. We find that the calibrated model with both frictions produces a savings–investment correlation and a volume of capital flows close to the data. To solve the puzzle, the limited enforcement friction needs low default penalties under which capital flows are much lower than those in the data, and the limited spanning friction needs to exogenously restrict capital flows to the observed level. When combined, the two frictions interact to endogenously restrict capital flows and thereby solve the Feldstein–Horioka puzzle.