This paper proposes an original framework to determine the relative influence of five
factors on the Feldstein and Horioka result of OECD countries with a strong saving-
investment association. Based on panel threshold regression models, we establish
country-specific and time-specific saving retention coefficients for 24 OECD coun-
tries over the period 1960-2000. These coefficients are assumed to change smoothly,
as a function of five threshold variables, considered as the most important in the
literature devoted to the Feldstein and Horioka puzzle. The results show that; de-
gree of openness, country size and current account to GDP ratios have the greatest
influence on the investment-saving relationship.