ARE SAVING AND INVESTMENT COINTEGRATED - ANOTHER LOOK AT THE DATA

In his paper 'Are saving and investment co-integrated' (Economics Letters 27, pp. 31-34), Miller finds that U.S. saving and investment rates were cointegrated during the post-WWII fixed exchange-rate regime and not cointegrated during the flexible exchange-rate regime. Miller did not take into account the fact that both of these rates have non-zero means. Once this is taken into account, I find that his results no longer hold. I also find that the levels of saving and investment are not cointegrated during either the fixed or flexible exchange-rate regimes. These findings cast doubt on whether or not this technique can shed light on international capital mobility.