~ 2008 VECM The Long-term Dynamic Effects of the Dependency Ratio to National Savings

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1 POPULATION & ECONOMICS No Tot. No ~ 2008 VECM VECM C92-05 A SHKXZD003 11CJL024 12&ZD The Long-term Dynamic Effects of the Dependency Ratio to National Savings XU Sheng-yan 1 ZHAO Gang 2 XIA Hai-yong 2 1. Economics School Fudan University Shanghai China 2. Business School Nanjing University Nanjing China Abstract China s high savings phenomenon is remarkable. Since 1978 with the process of China s rapid economic growth the level of national savings has risen dramatically and the dependency ratio has undergone tremendous change at the same time. Therefore exploring the link between the dependency ratio changes and national saving is an important aspect for the analysis of China s high national saving reasons. In this paper we use the time-series data and the VECM model to study the long-term dynamic relationship between the population dependency ratio change and the national savings. We find that since 1978 the total dependency ratio decline cause the increase in national savings. The total dependency ratio change has a long-term effect on 985 3

2 national savings its effect last about 20 years but the major effect appeared within the first 6 years. As the total dependency ratio decline national saving will decrease high saving phenomenon is just temporary in China s developing process. Keywords national savings demographic factors dependency ratio dynamic effects the VECM model WDI % 19. 1% 34. 9% 50% 40% ~ 5 6 ~ ~ % 34. 9% 65. 7% 23. 1% 7. 7% 11. 8% ~ 2008 % 1978 ~ M ~ % 58. 7% 87. 6% Modigliani Brumberg life-cycle hypothesis WDI % % 0 ~ ~ ~ 64 4

3 ~ 2008 % ~ 1994 Leff M ~ Ram 1972 ~ Wilson 17 Kelley and Schmidt Higgins and Williamson ~ Kraay 21 Loayza 3. 5% 1% 2% Cao 1953 ~ Horiok and Wan 1995 ~ ~ ~ 2006 GMM 10%

4 1. reduced-form approach 1 nsr ydr odr tdr pgdp_ g_ pgdp GDP rsr repop gini_ r rcpop rpen_ p 1989 ~ ~ 1988 r_ fis 2 VECM Sargen 1964 Davidson 1978 ECM Johansen and Hendry 1995 VAR VECM 31 VECM D. y t = β* y t -1 - bx t -1 + c 1 + r 1 * t + p -1 g i * D. y t -i + c 2 + r 2 * t 1 i = 1 β - bx t -1 p -1 g i * D. y t -i c 1 c 2 r 1 * t r 2 * t i = ~ ~ ~ 1994 y t

5 ADF PPERRON tdr rsr r_ fis 2. VECM rsr r_ fis OLS Stata stepwise 0. 2 lnnsr lntdr lnydr lnodr g _ pgdp lnpgdp _ 78 rsr lnrepop lnrcpop lngini _ r lnrpen_ p r_ fis lnnsr lnydr lnodr lntdr lng_ pgdp lnpgdp_ rsr lnrepop lnrcpop lngini_ r lnrpen_ p r_ fis P = lntdr ** lnydr ** lnodr - lng_ pgdp ** ** lnpgdp_ *** *** lnrcpop *** *** lngini_ r *** *** r_ fis ** rsr lnrepop lnrpen_ p _ cons N r2_ a Q p p p lag = t *** 1% ** 5% * 10% OLS 7

6 OLS OLS VECM VECM VECM 1 VECM 2 VECM 1 VECM 2 AIC HQIC SBIC 1 1 VECM 2 1 VECM 1 LR Wald 3 VECM 1 VECM 2 2 LR p VECM 1 3 Wald p LR p VECM 2 Wald p lnnsr lnnsr lntdr lnydr lnodr VECM VECM 1 VECM R 2 chi2 P VECM 1 VECM 1 D_ lnnsr *** D_ lntdr D_ lnnsr *** D_ lnydr *** 1% ** 5% * 10% 5 lntdr p lnydr p VECM 1 lnnsr = lntdr VECM 2 lnnsr = lnydr

7 4 VECM 1 D_ lnnsr 1% D_ lntdr D_ lnnsr D_ lnnsr lnnsr = lntdr 1% 1. 15% VECM 2 D_ lnnsr 1% D_ lnydr D_ lnnsr 1978 D_ lnnsr lnnsr lnydr lnnsr 5 lnnsr = lnydr 1% 0. 63% VECM 1 VECM 2 lntdr lnydr lnnsr lntdr lnnsr 4 lnydr lnnsr VECM VECM VECM K r K - r 1 1 VECM i. i. d 6 ADF VECM 1 VECM 2 ADF p J-B

8 7 - Lagrange-multiplier 8 VECM 7 Jarque-Bera P Skewness P Kurtosis P VECM 1 D_ lnnsr VECM 2 D_ lnnsr VECM 1 Lagrange-multiplier VECM 2 Chi2 df Prob > chi2 Chi2 df Prob > chi VECM 1% 1. 15% 1% 0. 63% ~ 2008 VECM 1% 1. 15% http / /www. un. org /esa /population / 10

9 1 Leff N. Dependency Rates and Savings Rates J. The American Economic Review Leff N. Dependency Rates and Savings Another Look J. The American Economic Review Ram R. Dependency Rates and Aggregate Savings A New International Cross-section Study J. The American Economic Review Higgins M. and J. Williamson. Age Structure Dynamics in Asia and Dependence on Foreign Capital J. Population and Development Review Kraay A. Household Saving in China J. The World Bank Economic Review Modigliani F. and S. Cao. The Chinese Saving Puzzle and the Life-cycle Hypothesis J. Journal of Economic Literature J J Modigliani F. and R. Brumberg. Utility Analysis and the Consumption Function An Interpretation of Cross-section Data M / /K. Kurihara. Post Keynesian Economics. New Brunswick N. J. Rutgers University Press Bloom D. E. and J. G. Williamson. Demographic Transitions and Economic Miracles in Emerging Asia J. The World Bank Economic Review Cutler D. et al. An Aging Society Opportunity or Challenge J. Brookings Papers on Economic Activity Weil D. Population Growth Dependency and Consumption J. American Economic Review Modigliani F. The Life Cycle Hypothesis of Saving and Intercountry Differences in the Saving Ratio M / /W. A. Eltis M. F. G. Scott and J. N. Walfe. Induction Growth and Trade Oxford Clarendon Press Wilson S. The Savings Rate Debate Does the Dependency Hypothesis Hold for Australia and Canada J. Australian Economic History Review Kelley A. C. and R. M. Schmidt. Aggregate Population and Economic Growth Correlations The Role of the Components of Demographic Change J. Demography J Loayza N. K. Schmidt-Hebbel and L. Serven. What Drives Private Saving across the World J. Review of Economics and Statistics J J J Horioka C. and J. Wan. Why Does China Save so Much China Asia and the New World Economy M. Oxford University Press USA D J Juselius K. The Cointegrated VAR Model Methodology and Applications M. Oxford University Press USA M M

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