Ekonomik Politika Belirsizliği ve Portföy Yatırımları İlişkisinin Panel ARDL Analizi

Çalışmada 23 ülke için net portföy yatırımlarıyla ülkelerin ulusal ekonomik politika belirsizlikleri ve global ekonomik politika belirsizliği arasındaki kısa ve uzun dönem ilişkileri 2005–2019 dönemi yıllık verileri kullanılarak analiz edilmiştir. Çalışmada öncelikle ülkeler arasında kesit bağımlılığı test edilmiştir. Kesit bağımlılığı bulunduğu için ikinci nesil panel birim kök testi olan CIPS yardımıyla değişkenlerin bütünleşme dereceleri belirlenmiştir. Panel ARDL sonuçları değişkenler arasında bir eşbütünleşme ilişkisini gösterirken, aynı zamanda ülkelerin ekonomik politika belirsizliklerinin hem cari fiyatlarla hem de satın alma gücü paritesi temelli ölçülen global ekonomik politika belirsizliklerinin net portföy yatırımları üzerinde farklılaşan etkilerini göstermiştir. Kısa dönem anlamlı etkiler yanında panel için anlamlı ama nispeten düşük uyum hızı bulunmuştur. Kısa dönem sonuçlarına göre portföy yatırımlarına konu olmayan ülkeler için bir eşbütünleşme ilişkisi bulunamazken uyum hızları da ülkelere göre ciddi farklılıklar göstermiştir. Bu sonuçlar bize uluslararası portföy yatırımcılarının, politika yapıcılarının ve piyasa profesyonellerinin portföy yatırımlarıyla ilgili kararlarında politika belirsizliklerinin de dikkate alması gerektiğini göstermektedir.

Anahtar Kelimeler:

Ekonomik Politika Belirsizliği, Portföy Yatırımları, Kesit Bağımlılığı, Panel ARDL

A Panel ARDL Analysis of the Relationship between Portfolio Investments and Economic Policy Uncertainties

This study examines the short- and long-run relationship between portfolio investments, country-specific economic policy uncertainties, and global economic policy uncertainty using annual data for 23 countries for 2005-2019. We first tried to determine the existence of cross-sectional dependence among the countries. After finding the cross-sectional dependence, we determine the degree of integration of each variable by employing second generation panel unit root test of CIPS. The panel ARDL estimates indicate a long-run relationship among the variables, and the long-run effects of the policy uncertainties on portfolio investments are significant with a relatively low-speed adjustment. In addition, we also found significant short-run effects. The country results also show that the effects of policy uncertainty on the portfolio investments significantly differ across the countries. Some country results do not indicate any evidence of cointegration. Other countries’ results differ in terms of the speed of adjustment. The results have significant implications for international investors, policymakers, and market professionals so that the economic policy uncertainties should be regarded as an additional factor explaining the trends in portfolio investments.

Keywords:

Economic Policy uncertainty, Portfolio Investments, Cross-sectional Dependence, Panel ARDL,

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