FELDSTEİN- HORİOKA HİPOTEZİNİN YÜKSELEN EKONOMİLERDE SINANMASI: PANEL VERİ ANALİZ

ÖZBu çalışmada, yurtiçi tasarruf oranları ile yurtiçi yatırım oranları arasındaki ilişki 1970-2015 dönemi yükselen ülkelerden oluşan 12 ülkelik bir panel veri seti ile yeniden ele alınmıştır. Bu amaçla kısa ve uzun dönem katsayılarını tahmin etmek için panel birim kök, FMOLS, DOLS, CCR ve panel nedensellik veri tahmin yöntemleri kullanılmıştır. Basit regresyon modelinin sonucuna göre tasarruf tutum katsayının değerinin panel genelinde sıfıra yakın olduğu ancak her bir ülke için oldukça faklı sonuçlar içerdiği ortaya konulmuştur. Tahmin sonuçlarına göre tasarruf ile yatırımlar arasında istatistiksel açıdan anlamlı kısa ve uzun dönem ilişkisi tespit edilmiştir. Ek olarak FMOLS, DOLS ve CCR yöntemleri ile elde edilen sonuçlar birbirleri ile tutarlı olup söz konusu dönemde Türkiye için tam bir sermaye hareketliliğinden bahsedilmesi mümkün gözükmemektedirAnahtar Kelimeler: Feldstein- Horioka Hipotezi, Yatırım, Tasarruf, Panel Veri.

Anahtar Kelimeler:

Feldstein- Horioka Hipotezi, Yatırım, Tasarruf, Panel Veri

PANEL DATA ANALYSIS OF FELDSTEİN- HORİOKA HYPOTHESIS IN EMERGING ECONOMIES

In this study, the relationship between domestic savings rates and domestic investment rates is reconsider with a panel data set of 12 countries which consist of emerging countries of the period for 1970-2015. For this purpose, panel unit root, FMOLS, DOLS, CCR and panel causality is used as data estimation methods. As result of the simple regression model, it was observed that the value of saving coefficient is close to zero across the panel. However, it was obtained that it contains different results for each country. According to the estimation results, statistically significant short and long term relationship is found between savings and investments. In addition to this, results which are obtained by FMOLS, DOLS and CCR methods are consistent with each other. Furthermore, it is possible to say the limited capital mobility for Turkey in that period.

Keywords:

Feldstein-Horioka Hypothesıs, Investment, Saving, Panel Data,

PDF

___

BARROS, Carlos ve GİL-ALANA, Luis (2015). “Investment and Saving in Angola and the Feldstein-Horioka Puzzle”, Applied Economics, 47(44), ss. 4793-4800.
BLECKER, Robert (1997). “Policy Implications of the International Saving- Investment Correlation”, Ed. By. Robert Polin, The Macro Ekonomics of Saving, Finance and Investment, The University of Michigan press, USA, 1997, ss. 173-242.
BANGAKE, Chrysost ve EGGOH, Jude (2011). “The Feldstein–Horioka Puzzle in African Countries: A Panel Cointegration Analysis”. Economic Modelling, V. 28, Issue 3, ss. 939-947.
BAYOUMI, Tamim ve ARTIS, Michael (1991). “Global Financial Integration and Current Account Imbalances” in George Alogoskoufis, Lucas Papademos and Richard Portes, (eds), External Constraints on Macroeconomic Policy: the European Experience, Cambridge: Cambridge University Press.
BEBCZUK, Ricardo ve HEBBEL, Schmıdt (2010). “Revisting The Feldstein-Horioka Puzzle: An Instıtutıonal Sector View”,Economica, La Plato, Vol, LVI, Enero-Diciembre, 2010.
CAPORALE, Maria, EKATERINI, Panopoulou ve PITTIS, Nikitas (2001). “The FeldsteinHorioka Puzzle Revisited:A Monte Carlo Study”, Journal of International Money and Finance, V. 24, Issue 7, ss. 1143,1149.
DUMITRESCU, Elena ve HURLIN, Christophe (2012). “Testing for Granger Non-Casualty in Heterogeneous Panels”, HALi Archives-Ouvertes.
DOOLEY, Michael, FRANKEL, Jeffery ve MATHISON, Donald (1987). “International Capital Mobility-What do Saving-Investment Correlations Tell Us ?”, IMF Staff Papers, V. 34, Issue 34, ss. 503-530.
ERETAŞ, Filiz, NUR, Huriye ve ÖZÇALIK, Melih (2013). “Feldstein-Horioka Bilmesinin Gelişmiş Ülke Ekonomileri Açısından Değerlendirilmesi: Panel Veri Analiz, Çankırı Karatekin Üniversitesi İ.İ.B.F Dergisi, Cilt: 3, Sayı: 2, ss. 18-33.
ESEN, Ethem, YILDIRIM, Selim ve KOSTAKOĞLU, Fatih (2012). “Feldstein-Horioka Hipoteznin Türkiye Ekonomisi için Sınanması: ARDL Modeli Uygulaması”, Eskişehir Osmangazi Üniversitesi İ.İ.B.F. Dergisi, Cilt: 7, Sayı: 1, ss. 251-267.
FABIANA, Rocha ve ZERBINI, Maria (2002). “Using a Panel Structure to Discuss the Feldstein- Horioka Puzzle in Developing Countries”, ss.1-27, (Çevirim içi- 12.10.2016).
FRANKEL, Jeffrey (1991). “Quantifying International Capital Mobility in the 1980s”, Ed. By. Douglas Bernheim and John Shoven, National Saving and Economic Performance, University of Chicago Press, Chicago, 1991, ss. 233-262.
FELDSTEIN, Martin ve HORIOKA, Charles (1979). “Domestic Saving and International Capital Flows”, NBER Working Paper. No: 310.
FELDSTEIN, Martin ve HORIOKA, Charles (1980). “Domestic Saving and International Capital Flows”, The Economic Journal, V. 90, ss. 329-314.
FELDSTEIN, Martin (1983). “Domestic Saving and International Capital Movements in the Long Run and Short Run”, European Economic Review 21, 1983, ss. 129-51
FELDSTEIN, Martin ve BACCHETTA, Philippe (1991). “National Saving and International Investment”, Ed. By. Douglas Bernheimand John Shoven, National Saving and Economic Performance, University of Chicago Press, Chicago, 1991, ss. 201-220.
GÖÇER, İsmet, ALATAŞ, Sedat ve PEKER, Osman (2013). “Yatırım-Tasarruf İlişkisi:
OECD Ülkeleri için Yeni Nesil Panel Eş bütünleşme Analizi”, Dumlupınar Üniversitesi SBE Dergisi, EYİ Özel Sayısı, ss. 59-78.
GÜLMEZ, Ahmet (2015). “OECD Ülkelerinde Ekonomik Büyüme ve Hava Kirliliği İlişkisi: Panel Veri Analizi”, Kastamonu Üniversitesi İİBF Dergisi, N. 9, ss. 18-30.
HADRI, Kaddour (2000). “Testing for Stationary in Heterogeneous Panel Data”, Econemetrics Journal, (3), ss. 148-161.
HÜSEYNI, İbrahim ve YALÇINKAYA, Ömer (2017). “Tasarruf- Yatırım Sermaye Hareketliğinin Analizi, Yükselen Ülke Ekonomileri Üzerine Bir Uygulama”, International Journal Of Economic and Administrative Studies, V.18, ss. 1-22.
HIROSHI, Fujiki ve KITAMURA, Yukinobu (1995). “Feldstein-Horika Paradox Revisited”, Boj Monetary and Economıc Studies, Vol.13.No.1-July-1995
IM, Kyung-So, PESARAN, Hashem ve SHİN, Yongcheol (2003). “Testing for Unit Roots in Heterogeneous Panels”, Journal of Econometrics, V. 115 N.1, ss. 53-74.
LEVIN, Andrew, LIN, Chen-Fu ve CHU, Chia-Shang (2002). “Unit Root Test in Panel Data: Asymptotic and Finite Sample Properties”, Journal of Econometrics, V. 108 (1), ss. 1-24.
KALYONCU, Hüseyin (2005). “Tasarruf Yatırım ve Uluslararası Sermaye Akımı: Türkiye Üzerine Bir Uygulama”, G.Ü. Sosyal Bilimler Enstitüsü (Sayı 4).
KARADUMAN, Duygu (2015). “The Feldstein-Horioka Puzzle under Common Global Shocks: A Heterogeneous Panel Data Approach”, Gazi Üniversitesi İ.İ.B.F. Ekonomik Yaklaşım Dergisi, Cilt: 26, Sayı: 97, ss. 73-89.
KROL, Robert (1996). “International Capital Mobility: Evidence from Panal Data”, Journal of International Money and Finance, V. 15, ss. 467-474.
MERCAN, Mehmet (2014). “Feldstein-Horioka Hipotezinin AB-15 ve Türkiye Ekonomisi için Sınanması: Yatay Kesit Bağımlılığı Altında Yapısal Kırılmalı Dinamik Panel Veri Analizi”, Ege Akademik Bakış, Cilt:12, Sayı: 2, ss. 231-245.
MURPHY, Robert (1984). “Capital Mobility and the Relationship Between Saving and Investment in OECD Countries”, Journal of International Money and Finance, V. 3, ss. 327-342.
NARAYAN, Kumar (2005). “The Saving and Investment Nexus for China: Evidence from Cointegration Tests”, Applied Economics, V. 37, ss. 1979-1990.
OKTAYER, Nagihan ve SUSAM, Nazan (2007). “Tasarruf-Yatırım-Sermaye Hareketleri İlişkisinin Türkiye Örneğinde Değerlendirilmesi”, Trakya Üniversitesi Sosyal Bilimler Dergisi, Cilt: 9, S: 2, ss. 19-54.
OBSTFELD, Maurice (1986). “Capital Mobility in the World Economy: Theory and Measurement”, Carnegie Rochester Conference Series on Public Policy, V. 24, ss. 55-103.
OBSTFELD, Maurice ve KENNET, Rogoff (1996). “Foundations of International Macroeconomics”, The MIT press, USA, 1996.
ÖZMEN, Erdal ve PARMAKSIZ, Kağan (2000). “Policy Regime Change and the FeldsteinHorioka Puzzle: the UK Evidence”, METU-ERC Working Papers in Economics, No: 00/03.
PEDRONI, Peter (1999). “Critical Values for Cointegration Test in Heterogeneous Panels With Multiple Regressors”, Oxford Bulletin Of Economics and Statistics, V. 61(1), ss. 653-670.
PEDRONI, Peter (2000). “Fully Modified OLS For Heterogeneous Cointegrated Panels”, Nonstationary Panels, Panel Cointegrtion and Dynamic Panels, V. 15, ss. 193-130.
PEDRONI, Peter (2001). “PPP Test in Cointegrated Panels”, Review of Economics and Statics, V. 83, ss. 727-931.
PETRESKA, Despina ve BLAZEVSKİ, Nikica (2013). “The Feldstein-Horioka Puzzle and Transition Economies”, Economic Annals, V. LVIII, No. 197, ss. 23-45.
RYE, Grek ve ROBERTSON, Raymond (2003). “On the Robustness of a Coefficients in Feldstein-Horioka Style Regressions”, ss. 1-17, (Çevirim içi- 12.10.2016).
SACHSIDA, Adolfo ve CAETANO, Marcelo (2000). “The Feldstein-Horika Puzzle Revisited”, Economic Letters, Vol. 68, Issue 1, ss. 85-88.
SACHS, Jeffrey (1981). “Aspects of the Current Account Behavior of OECD Economics”, Ed. By. E. Claassen, P. Salin, Recent Issues in the Theory of Flexible Exchange Rates, 1981.
SUMMERS, Lawrence (1988). “Tax Policy and International Competitiveness”, Ed.By. Jacob Frenkel, International Aspects of Fiscal Policies, NBER Conference Report, Chicago University Press, 1988, ss. 135-152.
SINN, Stefan (1992). “Saving-Investment Correlation and Capital Mobility: On the Evidence from Annual Data”, Economic Journal 102, ss. 1162-1170.
STOCK, James ve WATSON, Mark (1993). “A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems”, Econometrica, 61(4), ss. 783-820.
TUNÇSİPER, Bedriye ve BİÇEN, Ömer (2016). “Feldstein-Horioka Hipotezinin Görünürde İlişkisiz Regresyon Yöntemiyle Analizi: Gelişien Ekonomiler (E7) Üzerine Bir İnceleme”, Selçuk Üniversitesi İ.İ.B.F. Sosyal ve Ekonomik Araştırmalar Dergisi, Say: 16, ss.348-362.
YALÇINKAYA, Ömer ve HÜSEYNİ, İbrahim (2016). “Tasarruf-Yatırım İlişkisi: FeldsteinHorika Hipotezinin OECD Ülkeleri Açısından Değerlendirilmesi”, Dokuz Eylül Üniversitesi İ.İ.B.F Dergisi, Cilt: 31, Sayı: 1, ss. 343-369.
YAVUZ, Nilgün (2005). “Feldstein- Horioka Yaklaşımına Göre Türkiye'de Tasarruf Yatırım İlişkisi ve Hata Düzeltme Analizi (1962-2003)”, İ.Ü. Maliye Araştırma Merkezi Konferansları, Seri: 47, Yayın No:91, ss. 107-123.
WONG, David (1990). “What do Saving-Investment Relationships Tell Us About Capital Mobility: Norwegian Evidence”, Norges Bank Skriftserie (Oslo: Norges Bank, No.21). WADSLEY, Alexis, FELMINGHAN Bruce ve COORAY, Arusha (2005). “An Extended Feldstein-Horioka Test for the Degree of Capital Mobility, UTAS School of Economics Discussion Paper, 2005-11.