This paper examines the relationship between the tails of the investment distribution and savings shocks.
We focus on potential asymmetries and heterogeneous effects across different quantiles of investment. Drawing on stylized facts, we investigate whether the association between savings and investment varies depending on the state of the economy, particularly during the period of decapitalization of the economy versus the period of significant capital accumulation. Contrary to the assumption of symmetric effects commonly found in the literature, our empirical analysis reveals significant asymmetries in the relationship between savings shocks and investment changes, with stronger links observed for negative shocks compared to positive ones. Furthermore, we find that the strength of this link varies across quantiles of investment and differs between developed and developing countries. Specifically, while negative savings shocks exhibit stronger connections with investment changes during periods of economic stagnation or decapitalization, positive shocks show a more robust association during periods of growth. Our findings suggest a nuanced understanding of the dynamics between savings and investment, highlighting the importance of considering asymmetries and quantile-specific effects.