ULUSLARARASI SERMAYE HAREKETLİLİĞİNİN İNCELENMESİ: YÜKSELEN PİYASA EKONOMİLERİ ÜZERİNE BİR UYGULAMA

Bu çalışmada yükselen piyasa ekonomileri için Feldstein-Horioka (1980) yaklaşımı çerçevesinde sermaye hareketliliğinin derecesi incelenmiştir. Bu amaçla da yatay kesit bağımlılığını dikkate alan ve rejim değişimine izin veren Westerlund ve Edgerton (2008) panel koentegrasyon testinden yararlanılmıştır. Modelde bir rejim değişiminin olup olmadığı ise Bai ve Perron (1999, 2003) testi ile incelenmiştir. Bu alandaki literatürün temel tartışma konusunu uzun dönem parametresinin büyüklüğü oluşturduğundan çalışmada uzun dönem parametre tahmininde öncelikle Pesaran (2008) tarafından geliştirilen CCEMG (Common Correlated Effects Mean Group, CCEMG) ile Eberhart ve Teal (2010) tarafından geliştirilen AUG (Augmented Mean Group, AUG) yöntemlerinden yararlanılmıştır. Çalışmada ayrıca, Pesaran ve Smith (1995) tarafından geliştirilen MG (Mean Group, MG) ile Pesaran, Shin ve Smith (1997, 1999) tarafından geliştirilen PMG ( Pooled Mean Group, PMG) tahmincilerine de yer verilmiştir. Panel sonuçları uzun dönem katsayısının yaklaşık 0.62 olduğunu göstermektedir. Bu da bu ülke sermayelerinin küresel bazdaki hareketliliğinin orta düzeyde olduğu anlamına gelmektedir. Bu bulgular ayrıca, yükselen piyasa ekonomilerinin küresel finansal sisteme orta derecede entegre oldukları anlamına da gelmektedir

EXAMINING INTERNATIONAL CAPITAL MOBILITY: EVIDENCE FROM EMERGING MARKETS

This study investigates the relationship between domestic investment and saving based on the Feldstein–Horioka (1980) approach for 17 emerging markets. The long-run relationship is examined by using Westerlund and Edgerton’s (2008) panel cointegration test, which takes into account both regime shift and cross-sectional dependency. Pesaran’s (2008) CCMEG, Eberhart and Teal’s (2010) AUG, Pesaran and Smith’s (1995) MG, and Pesaran et al.’s (1997, 1999) PMG estimators are employed to estimate the long-run parameters. The results show that saving and investment are cointegrated with a saving coefficient of 0.62. This finding means that capital has moderate mobility for the emerging markets examined in this study

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