TÜRKİYE’DE FELDSTEİN-HORİOKA HİPOTEZİNİN GEÇERLİLİĞİ: DOLS UZUN DÖNEM TAHMİNCİSİ VE FOURİER GRANGER NEDENSELLİK TESTİ

Bu çalışmada Türkiye’de 1985-2017 döneminde Maki eşbütünleşme testi, dinamik en küçük kareler (DOLS) uzun dönem tahmincisi ve yeni geliştirilen Fourier Granger nedensellik yaklaşımı yardımıyla Feldstein-Horioka (FH) hipotezinin geçerli olup olmadığı test edilmiştir. Maki eşbütünleşme testi sonucuna göre yurtiçi tasarruflar ile yurtiçi yatırımlar arasında uzun dönemde bir eşbütünleşme ilişkisi olduğu tespit edilmiştir. DOLS uzun dönem tahmincisi sonuçlarına göre FH hipotezinin geçerli olduğu belirlenmiştir ve FH katsayısı 0,650 olarak bulunmuştur. Fourier Granger nedensellik testi sonucuna göre ise yurtiçi tasarruflardan yurt içi yatırımlara doğru tek yönlü bir nedensellik ilişkisi olduğu sonucuna ulaşılmıştır. Elde edilen sonuçlara göre Türkiye’de tasarrufların yatırımlar üzerinde önemli bir faktör olduğu görülmektedir.

THE VALIDITY OF THE FELDSTEIN-HORIOKA HYPOTHESIS IN TURKEY: DOLS LONG-RUN ESTIMATOR AND FOURIER GRANGER CAUSALITY TEST

In this study, the validity of the Feldstein-Horioka (FH) hypothesis is examined with the Maki cointegration test, dynamic ordinary least squares (DOLS) long-run estimator and newly developed Fourier Granger causality approach covering the period of 1985-2017 for Turkey. The result of Maki cointegration test finds that there is a long-run relationship between domestic saving and domestic investment. The results of the DOLS long-run estimator indicates that FH hypothesis is valid and FH coefficient is 0.650. The result of the Fourier Granger causality test also shows that unidirectional causality runs through domestic saving to domestic investment. According to the results, domestic savings are an important source of investments for Turkey.

Keywords:

Feldstein-Horioka Hypothesis, Saving, Investment, Fourier Granger Causality Test Turkey,

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