TÜRKİYE’DE FELDSTEIN-HORIOKA SORUNSALI

Bu çalışmada Hansen-Seo, Gregory-Hansen ve Hatemi-J modelleri kullanılarak Türkiye’de Feldstein-Horioka hipotezi 1968-2008 dönemi için test edilmiştir. Öncelikle Feldstein-Horioka hipotezi Hansen-Seo yöntemiyle araştırılmış, değişkenlerin uzun dönemde doğrusal olmayan bir yapı izlemediği bulgusuna ulaşılmıştır. Daha sonra Gregory-Hansen ve Hatemi-J modelleri çerçevesinde tasarruf tutma katsayısı sırasıyla 1’e yakın ve 0.426 olarak elde edilmiş FeldsteinHorioka sorunsalının devam ettiği gözlenmiştir. Elde edilen sonuçlar F-H hipotezinin test edilmesinde sabit bir parametre varsayımı yerine endojen yapısal kırılmaları dikkate alan test tekniklerinin uygulanmasının daha güvenilir sonuçlar verebileceğini göstermiştir

Anahtar Kelimeler:

Feldstein-Horioka Sorunsalı, Eşik Eşbütünleşme, GregoryHansen, Hatemi-J Modeli

Feldstein-Horioka Puzzle in Turkey

In this study, Feldstein-Horioka hypothesis on saving-investment relationship was tested for the period 1968-2008 in Turkey using Hansen-Seo, Gregory-Hansen and Hatemi-J models. First of all, when Feldstein-Horioka hypothesis was researched by Hansen-Seo method, the variables did not exhibit a nonlinear structure. Then, with Gregory-Hansen and Hatemi-J models, it was found that the saving-retention coefficient got a value close to 1 and 0.426 respectively. It was understood that the Feldstein-Horioka puzzle continued. The results obtained show that in testing Feldstein-Horioka hypothesis, instead of a fixed parameter assumption, applying test techniques that take endogenous structural breaks into consideration would give more reliable results.

Keywords:

Feldstein-Horioka Puzzle, Threshold Cointegration Model, Gregory Hansen, Hatemi-J Model,

PDF

___

ADEDEJI, O., THORNTON, J. (2008). International capital mobility: evidence from panel cointegration tests. Economic Letters, 99 (2), 349-352. pp.
ALEXAKIS, P., APERGIS, N. (1994). The Feldstein-Horioka puzzle and exchange rate regimes: evidence from cointegration Tests. Journal of Policy Modeling, 16 (5), 459-472. pp.
ANDRADE, J. S. (2008). European integration and external sustainability of the European Union: an application of the thesis of Feldstein and Horioka. Transition Studies Review, 15, 21-36. pp.
ANDREWS, D. W. K. (1993). Tests for parameter instability and structural change with unknown change point. Econometrica, 61 (4), 821-856. pp.
ANDREWS, D. W. K., PLOBERGER, W. (1994). Optimal tests when a nuisance parameter is present only under the alternative. Econometrica, 62 (6), 1383-1414. pp.
APERGIS, N., TSOULFIDIS, L. (1997). The relationship between saving and finance: theory and evidence from EU countries. Research in Economics, 51 (4), 333-358. pp.
BAI, J., PERRON, P. (2003). Computation and analysis of multiple structural change models. Journal of Applied Econometrics, 18, 1-22. pp.
BAJO-RUBIO, O. (1998). The saving-investment correlation revisted: the case of Spain, 1964-1994. Applied Economics Letters, 5, 769-772. pp.
BALKE, N., FOMBY, T. (1997). Threshold cointegration. International Economic Review, 38, 627-645. pp.
BAXTER, M., CRUCINI, M.J. (1993). Explaining saving-investment correlations. American EconomicReview, 83, 416-436. pp.
BAYOUMI, T. (1990). Saving-investment correlations: immobile capital, government policy, or endogenous behaviour? IMF Staff Papers, 37, 360-387. pp.
BORATAV, K. (2001). 2000-2001 krizinde sermaye hareketleri [capital movements during The Crisis: 2000/2001]. İktisat İşletme ve Finans, 16 (186), 7-17. pp.
CAPORALE, G.M., PANOPOULOU, E., PITTIS, N. (2005). The Feldstein-Horioka puzzle revisted: A Monte Carlo study. Journal of International Money and Finance, 24, 1143- 1149. pp.
CHAN, T., BAHARUNSHAH, A.Z. (2007). Measuring capital mobility in the Asia Pacific Rim (MIPRA Paper No. 2208). Retrieved 2012, May 01, from http://mpra.ub.uni- muenchen.de/2208/
COAKLEY, J., KULASI, F., SMITH, R. (1996). Current account solvency and the Feldstein- Horioka puzzle. The Economic Journal, 106(436), 620-627. pp.
COITEUX, M., OLIVER, S. (2000). The saving retention coefficient in the long run and in the short run: evidence from panel data. Journal of International Money and Finance, 19, 535-548. pp.
DAVIES, R.B. (1977). Hypothesis testing when a nuisance parameter is present only under the alternative. Biometrika, 64 (2), 247-254. pp.
DAVIES, R.B. (1987). Hypothesis testing when a nuisance parameter is present only under the alternative. Biometrika, 74 (1), 33-43. pp.
DE VITA, G., ANDREW, A. (2002). Are saving and investment cointegrated? An ARDL bounds testing approach. Economic Letters, 177 (2), 293-299. pp.
DOOLEY, M., JEFFREY, A., MATHIESON, D. (1987). International capital mobility: saving-investment correlations tell us? IMF Staff Papers, 34 (3), 503-530. pp.
ENGLE, R.F., GRANGER, C.W.J. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica, 55 (2), 251-276. pp.
ESTEVE, V., GILL-PAREJA, S., MARTINEZ-SERRANO, A., LLORCA-VIVERO, R. (2006). Threshold cointegration and nonlinear adjustment between goods and services inflation in the United States. EconomicModelling, 23 (6), 1033-1039. pp.
FELDSTEIN, M. (1983). Domestic saving and international capital movements in the long run and the short run. European Economic Review, 21, 129-151. pp.
FELDSTEIN, M., BAACHETTA, P. (1989). National saving and international investment. NBER WorkingPaper, 3164, 1-37. pp.
FELDSTEIN, M., HORIOKA, C. (1980). Domestic saving and international capital flows. The Economic Journal, 90 (358), 314-329. pp.
GREGORY, A.W., HANSEN, B.E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70 (1), 99-126. pp.
GUNDLACH, E., SINN, S. (1992). Unit root tests of the current account balance: implications for international capital mobility. Applied Economics, 24 (6), 617-625, pp.
HANSEN, B., SEO, B. (2002). Testing for two-regime threshold cointegration in vector error- correction models. Journal of Econometrics, 110, 293-318. pp.
HATEMI-J, A. (2008). Tests for cointegration with two unknown regime shifts with an application to financial market integration. Empirical Economics, 135 (3), 497-505. pp.
HO, T. W. (2002). A panel cointegration approach to the investment-saving correlation. Empirical Economics, 27, 91-100. pp.
HOGENDORN, C. (1998). Capital mobility in historical perspective. Journal of Policy Modeling, 20 (2), 141-161. pp.
INSEL, A., SUNGUR, N. (2003). Sermaye akımlarının temel makroekonomik göstergeler üzerindeki etkileri: Türkiye örneği-1989: III-1999:IV. Türkiye Ekonomi Kurumu, Tartışma Metni 2003/8. [Available at]: < http/www.tek.org.tr >, [Accessed: 01.05.2012].
JANSEN, W. J. (1996). Estimating saving-investment correlations: evidence for OECD countries based on an error correction model. Journal of International Money and Finance, 15, 749-781. pp.
KAYA-BAHCE, S., OZMEN, E. (2008). Exchange rate regimes, saving glut and the Feldstein-Horioka puzzle: The East Asian experience. Physica A, 387, 2561-2564. pp.
LEYBOURNE, S., NEWBOLD, P. (2003). Spurious rejections by cointegration tests induced by structural breaks. Applied Economics, 35, 1117-1121. pp.
LUMSDAINE, R.L., PAPEL, D.H. (1997). Multiple trend breaks and the unit-root hypothesis. The Review of Economics and Statistics, 79 (2), 212-218. pp.
MORENO, R. (1997). Saving-investment dynamics and capital mobility in the US and Japan. Journal of International Money and Finance, 16 (6), 837-863. pp.
MURPHY, R.G. (1984). Capital mobility and relationship between saving and investment rates. Journal of International Money and Finance, 3 (3), 327-342. pp.
NARAYAN, P.K. (2005). The relationship between saving and investment for Japan. Japan and the World Economy, 17, 293-309. pp.
OBSTFELD, M. (1994). International capital mobility in the 1990s (International Finance Discussion Papers No. 472). [Available at]: < http://www.federalreserve.gov/Pubs/Ifdp/ 1994/472/ifdp472.pdf>, [Accessed: 01.05.2010].
OZMEN, E., PARMAKSIZ, K. (2003). Policy regime change and Feldstein-Horioka puzzle: The UK evidence. Journal of Policy Modeling, 25, 137-149. pp.
PELAGIDIS, T., MASTROYIANNIS, T. (2003). The saving-investment correlation in Greece, 1960-1997: implications for capital mobility. Journal of Policy Modeling, 25, 609-616. pp
PHILLIPS, P. (1987). Time series regression with a unit root. Econometrica, 55, 277-301. pp.
RAPSOMANAKIS, G., HALLAM, D. (2006). Threshold cointegration in the sugar-ethanol- oil price system in Brazil: evidence from nonlinear vector error corrections model (Fao Commodity and Trade Policy Research Working Paper No. 2). [Available at]: , [Accessed: 27.06.2010].
SACHSIDA, A., CAETANO, M.A. (2000). The Feldstein-Horioka puzzle revisted. Economic Letters, 68, 85-88. pp.
SEO, B. (1998). Tests for structural change in cointegrated systems. Econometric Theory, 14 (2), 222-259. pp.
SINHA, T., SINHA, D. (1998). Cart before the horse? The saving-growth nexus in Mexico. Economic Letters, 61 (1), 43-47. pp.
SINHA, T., SINHA, D. (2004). The mother of all puzzles would not go away. Economic Letters, 82 (2), 259-267. pp.
TELATAR, E., TELATAR, F., BOLATOĞLU, N. (2007). A regime switching approach to the Feldstein-Horioka puzzle: evidence from some European Countries. Journal of Policy Modeling, 29, 523-533. pp.
TESAR, L.L. (1991). Saving, investment, and international capital flows. Journal of International Economics, 31 (1-2), 55-78. pp.
TESAR, L.L. (1993). International risk-sharing and non-traded goods. Journal of International Economics, 35 (1-2), 69-89. pp.
YENTURK, N., ULENGIN, B., CIMENOGLU, A. (2007). An analysis of the Interaction among Savings and Investment and Growth in Turkey. Applied Economics, 41, 739-751. pp.
YILDIRIM, J. (2000). Current account imbalances and intertemporal approach to the balance of payments. Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 2 (4), 122-132. pp.
ZIVOT, E., ANDREWS, W.K. (1992). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business and Economic Statistics, 10 (3), 251-270. pp.