MACROECONOMIC UNCERTAINTY AND PRIVATE INVESTMENT: THE CASE OF POLAND

Yatırım kararlarının analizi, yatırımlardaki dalgalanmaların ekonomik performans üzerindeki etkileri nedeniyle önemli makro ekonomik konulardan biridir. Belirsizliğin yatırım kararları üzerinde etkisi varsa, yatırım modellerinin bu etkiyi dikkate almaları gerektiği ileri sürülmektedir. Bu nedenle, son zamanlarda belirsizliğin yatırımlar üzerindeki etkisi teorik ve ampirik literatürde analiz edilmektedir. Gelişmekte olan ülkeler, gelişmiş ülkelere göre daha fazla belirsizlik ile karşı karşıya olmalarına rağmen, belirsizlik ve yatırım ilişkisi üzerine mevcut literatürün çoğu gelişmiş ülkeleri ele almaktadır. Bu çalışmada gelişmekte olan bir ülke olan Polonya’da makro ekonomik belirsizliklerin özel yatırımlar üzerindeki etkisini analiz ettik. Belirsizliği ölçmek için genelleştirilmiş otoregresif koşullu değişen varyans (GARCH) modeli kurduk. Sonra eşbütünleşim analizi için sınır testi yaklaşımını uyguladık. Değişkenler arasında uzun dönemli ilişki bulunduğundan, dinamik ilişkiyi görmek için hata düzeltme modeli kullandık. Sonuçlarımız, Polonya’da reel döviz kuru, enflasyon ve büyüme belirsizliklerinin özel yatırımları negatif yönde etkilediğini göstermektedir. Böylece, Polonya’da makro ekonomik istikrarın yatırımları devamlılığı için gerekli bir koşul olduğu sonucuna vardık.

Anahtar Kelimeler:

Özel Yatırımlar, Enflasyon Belirsizliği, Döviz Kuru Belirsizliği, Sınır Testi

MACROECONOMIC UNCERTAINTY AND PRIVATE INVESTMENT: THE CASE OF POLAND

Analysis of investment decisions is an important macroeconomic subject due to the role of fluctuations in investments on the economic performance. It is argued that investment models need to take this effect into account if uncertainty has an impact on investment. Therefore, the effects of uncertainty on investments have recently been analyzed in the theoretical and empirical literature. While developing economies face more uncertainty than industrial countries do, most empirical studies consider the uncertainty-investment relationship for developed counties. In this paper, we analyzed the effect of the macro economic uncertainties on private investment in a developing county: Poland. We constructed a generalized autoregressive conditional heteroskedasticity (GARCH) model to measure uncertainties. Then, we employed the bound testing procedure to cointegration analysis. Since our findings indicate a long-term relationship of the variables, we adopt an error correction model to capture the dynamic relationship. Our estimates imply that the real exchange rate, inflation and growth uncertainties effect private investments negatively in Poland. Therefore, we can conclude that macroeconomic stabilization is a necessary condition for the continuity of investments in Poland.

Keywords:

Private Investment, Inflation Uncertainty, Exchange Rate Uncertainty, Bound Testing,

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