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TÜRKİYE’DE FELDSTEİN-HORİOKA HİPOTEZİNİN GEÇERLİLİĞİ: DOLS UZUN DÖNEM TAHMİNCİSİ VE FOURİER GRANGER NEDENSELLİK TESTİ

Yıl 2021, Cilt: 35 Sayı: 1, 151 - 169, 15.01.2021
https://doi.org/10.16951/atauniiibd.750416

Öz

Bu çalışmada Türkiye’de 1985-2017 döneminde Maki eşbütünleşme testi, dinamik en küçük kareler (DOLS) uzun dönem tahmincisi ve yeni geliştirilen Fourier Granger nedensellik yaklaşımı yardımıyla Feldstein-Horioka (FH) hipotezinin geçerli olup olmadığı test edilmiştir. Maki eşbütünleşme testi sonucuna göre yurtiçi tasarruflar ile yurtiçi yatırımlar arasında uzun dönemde bir eşbütünleşme ilişkisi olduğu tespit edilmiştir. DOLS uzun dönem tahmincisi sonuçlarına göre FH hipotezinin geçerli olduğu belirlenmiştir ve FH katsayısı 0,650 olarak bulunmuştur. Fourier Granger nedensellik testi sonucuna göre ise yurtiçi tasarruflardan yurt içi yatırımlara doğru tek yönlü bir nedensellik ilişkisi olduğu sonucuna ulaşılmıştır. Elde edilen sonuçlara göre Türkiye’de tasarrufların yatırımlar üzerinde önemli bir faktör olduğu görülmektedir.

Kaynakça

  • Ay, A. ve Özmen, I. (2017), “Feldstein-Horioka Hipotezinin Yükselen Ekonomilerde Sınanması: Panel Veri Analiz”, Sosyal Ekonomik Araştırmalar Dergisi, 1-18.
  • Bebczuk, R.N. ve Schmidt Hebbel, K. (2010), “Revisiting the Feldstein-Horioka Puzzle: an Institutional Sector View”, Económica, 56, 1-38.
  • Coakley, J., Fuertes, A.M. ve Spagnolo, F. (2004), “Is the Feldstein-Horioka puzzle history?”, The Manchester School, 72, 569-590.
  • Çağlar, A.E. ve Yavuz, E. (2018), “Türkiye’de Yatırım-Tasarruf İlişkisinin Feldstein-Horioka Paradoksu Çerçevesinde Analizi: Farklı Tipte Eşbütünleşme Yaklaşımları”, Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 31, 143-152.
  • Demir, C. ve Cergibozan, R. (2017), “Türkiye Ekonomisi için Feldstein-Horioka Hipotezinin Geçerliliği: Eşbütünleşme ve Markov Rejim Değişim Yaklaşımı”, Ege Academic Review, 17(1), 89-104.
  • Di Iorio, F., ve Fachin, S. (2007), “Testing for Breaks in Cointegrated Panels-with an Application to the Feldstein-Horioka Puzzle”, Economics, 1-24.
  • Dickey, D.A. ve Fuller, W.A. (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica: Journal of the Econometric Society, 49(4), 1057-1072.
  • Dursun G. ve Abasız, T. (2014), “Feldstein-Horioka Puzzle In Turkey”, Doğuş Üniversitesi Dergisi, 15(1), 45-63.
  • Dünya Bankası (2019), “Dünya Bankası Kalkınma Göstergeleri”, http://databank.worldbank.org/data/reports.aspx?source=world-development-indicators (Erişim Tarihi: 25.07.2019).
  • Elliott, G., Rothenberg, T.J. ve Stock, J.H. (1996), “Efficient Tests for an Autoregressive Unit Root”, Econometrica, 64, 813-836.
  • Enders, W. ve Jones, P. (2016), “Grain Prices, Oil Prices, and Multiple Smooth Breaks in a VAR”, Studies in Nonlinear Dynamics & Econometrics, 20(4), 399-419.
  • Enders, W. ve Lee, J. (2012a), “A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks”, Oxford Bulletin of Economics and Statistics, 74(4), s.574-599.
  • Enders, W. ve Lee, J. (2012b), “The Flexible Fourier Form and Dickey-Fuller Type Unit Root Tests”, Economics Letters, 117(1), 196-199.
  • Esen, E., Yıldırım, S. ve Kostakoğlu, S.F. (2012), “Feldstein-Horioka Hipotezinin Türkiye Ekonomisi için Sınanması: ARDL Modeli Uygulaması”, Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 7(1), 251-267.
  • Feldstein, M. (1983), “Domestic Saving and International Capital Movements in the Long Run and the Short Run”, European Economic Review, 21(1-2), 129-151.
  • Feldstein, M. ve Bacchetta, P. (1991), “National Saving and International Investment. In National Saving and Economic Performance, University of Chicago press, USA.
  • Feldstein, M. ve Horioka, C.Y. (1980), “Domestic Saving and International Capital Flows”, Economic Journal, 90(358), 314-329.
  • Fouquau, J., Hurlin, C. ve Rabaud, I. (2009), “The Feldstein-Horioka Puzzle: A Panel Smooth Transition Regression Approach”, Economic Modelling, 25, 284-299.
  • Gallant, R. (1981), “On the Basis in Flexible Functional form and an Essentially Unbiased Form: The Flexible Fourier Form”, Journal of Econometrics, 15(1), 211-353.
  • Granger, C.W.J. (1969), Investigating Causal Relations by Econometric Models and Cross-Spectral Methods, Econometrica: Journal Of The Econometric Society, 20(4), 424-438.
  • Gregory, A.W. ve Hansen, B.E. (1996), ‘‘Residual-Based Tests for Cointegration in Models with Regime Shifts’’, Journal of Econometrics, 70(1), 99-126.
  • Hatemi-J, A. (2008), “Tests for Cointegration with Two Unknown Regime Shifts with an Application to Financial Market Integration”, Empirical Economics, 35(3), 497-505.
  • Kim, H., Oh, K.Y. ve Jeong, C.W. (2005), “Panel Cointegration Results on International Capital Mobility in Asian Economies”, Journal of International Money and Finance, 24, 71-82.
  • Kwiatkowski, D., Phillips, P.C., Schmidt, P. ve Shin, Y. (1992), “Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root: How Sure are We that Economic Time Series have a Unit Root?”, Journal of Econometrics, 54, 159-178.
  • Lee, J. ve Strazicich, M.C. (2003), “Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks”, Review of Economics and Statistics, 85(4), 1082-1089.
  • Lumsdaine, R.L. ve Papell, D.H. (1997), “Multiple Trend Breaks and the Unit-Root Hypothesis”, Review of Economics and Statistics, 79(2), 212-218.
  • Maki, D. (2012), “Tests for Cointegration Allowing for an Unknown Number of Breaks”, Economic Modelling, 29(5), 2011-2015.
  • Mark, N. C. ve Sul, D. (2003), “Cointegration Vector Estimation by Panel DOLS and Long-Run Money Demand”, Oxford Bulletin of Economics and Statistics, 65(5), 655-680.
  • Murphy, R. (1984), “Capital Mobility and the Relationship between Saving and Investment in OECD Countries”, Journal of International Money and Finance, 3, 327-342.
  • Narayan, P.K. (2005), “The Saving and Investment nexus for China: Evidence from Cointegration Tests”, Applied Economics, 37(17), 1979-1990.
  • Obstfeld, M. ve Rogoff, K. (2000), “The Six Major Puzzles in International Macroeconomics: Is there a common cause?”, NBER Macroeconomics Annual, 15, 339-412.
  • Oktayer, N. ve Susam, N. (2007), “Tasarruf-Yatırım-Sermaye Hareketleri İlişkisinin Türkiye Örneğinde Değerlendirilmesi”, Trakya Üniversitesi Sosyal Bilimler Dergisi, 9(2), 19-54.
  • Pata, U.K. (2018), “The Feldstein Horioka Puzzle in E7 Countries: Evidence from Panel Cointegration and Asymmetric Causality Analysis”, The Journal of International Trade & Economic Development, 27(8), 968-984.
  • Pata, U.K. ve Tütüncü, A. (2017), “Yapısal Kırılmalarla Birlikte Türkiye’de Kamu Harcamaları ve Ekonomik Büyüme İlişkisinin Analizi”, Maliye Dergisi, 172, 30-51.
  • Perron, P. (1989), “The Great Crash, the Oil Price Shock and the Unit Root Hypothesis”, Econometrica, 57(6), 1361-1401.
  • Phillips, P. C. ve Perron, P. (1988), “Testing for a Unit Root in Time Series Regression”, Biometrika, 75, 335-345.
  • Rodrigues, P.M. ve Taylor, A.R. (2012), “The Flexible Fourier Form and Local Generalised Least Squares De‐trended Unit Root Tests”, Oxford Bulletin of Economics and Statistics, 74(5), 736-759.
  • Sinn, S. (1992), “Saving-Investment Correlations and Capital Mobility: On the Evidence from Annual Data”, The Economic Journal, 102(414), 1162-1170.
  • Tesar, L.L. (1991), “Saving, Investment and International Capital Flows”, Journal of International Economics, 31, 55-78.
  • Yavuz, N.Ç. (2011), “Fieldstein-Horioka Yaklaşımına Göre Türkiye’de Tasarruf Yatırım İlişkisi ve Hata Düzeltme Analizi (1962-2003)”, Maliye Araştırma Merkezi Konferansları, (47), 107-123.
  • Zivot, E. ve Andrews, D.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.

THE VALIDITY OF THE FELDSTEIN-HORIOKA HYPOTHESIS IN TURKEY: DOLS LONG-RUN ESTIMATOR AND FOURIER GRANGER CAUSALITY TEST

Yıl 2021, Cilt: 35 Sayı: 1, 151 - 169, 15.01.2021
https://doi.org/10.16951/atauniiibd.750416

Öz

In this study, the validity of the Feldstein-Horioka (FH) hypothesis is examined with the Maki cointegration test, dynamic ordinary least squares (DOLS) long-run estimator and newly developed Fourier Granger causality approach covering the period of 1985-2017 for Turkey. The result of Maki cointegration test finds that there is a long-run relationship between domestic saving and domestic investment. The results of the DOLS long-run estimator indicates that FH hypothesis is valid and FH coefficient is 0.650. The result of the Fourier Granger causality test also shows that unidirectional causality runs through domestic saving to domestic investment. According to the results, domestic savings are an important source of investments for Turkey.

Kaynakça

  • Ay, A. ve Özmen, I. (2017), “Feldstein-Horioka Hipotezinin Yükselen Ekonomilerde Sınanması: Panel Veri Analiz”, Sosyal Ekonomik Araştırmalar Dergisi, 1-18.
  • Bebczuk, R.N. ve Schmidt Hebbel, K. (2010), “Revisiting the Feldstein-Horioka Puzzle: an Institutional Sector View”, Económica, 56, 1-38.
  • Coakley, J., Fuertes, A.M. ve Spagnolo, F. (2004), “Is the Feldstein-Horioka puzzle history?”, The Manchester School, 72, 569-590.
  • Çağlar, A.E. ve Yavuz, E. (2018), “Türkiye’de Yatırım-Tasarruf İlişkisinin Feldstein-Horioka Paradoksu Çerçevesinde Analizi: Farklı Tipte Eşbütünleşme Yaklaşımları”, Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 31, 143-152.
  • Demir, C. ve Cergibozan, R. (2017), “Türkiye Ekonomisi için Feldstein-Horioka Hipotezinin Geçerliliği: Eşbütünleşme ve Markov Rejim Değişim Yaklaşımı”, Ege Academic Review, 17(1), 89-104.
  • Di Iorio, F., ve Fachin, S. (2007), “Testing for Breaks in Cointegrated Panels-with an Application to the Feldstein-Horioka Puzzle”, Economics, 1-24.
  • Dickey, D.A. ve Fuller, W.A. (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica: Journal of the Econometric Society, 49(4), 1057-1072.
  • Dursun G. ve Abasız, T. (2014), “Feldstein-Horioka Puzzle In Turkey”, Doğuş Üniversitesi Dergisi, 15(1), 45-63.
  • Dünya Bankası (2019), “Dünya Bankası Kalkınma Göstergeleri”, http://databank.worldbank.org/data/reports.aspx?source=world-development-indicators (Erişim Tarihi: 25.07.2019).
  • Elliott, G., Rothenberg, T.J. ve Stock, J.H. (1996), “Efficient Tests for an Autoregressive Unit Root”, Econometrica, 64, 813-836.
  • Enders, W. ve Jones, P. (2016), “Grain Prices, Oil Prices, and Multiple Smooth Breaks in a VAR”, Studies in Nonlinear Dynamics & Econometrics, 20(4), 399-419.
  • Enders, W. ve Lee, J. (2012a), “A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks”, Oxford Bulletin of Economics and Statistics, 74(4), s.574-599.
  • Enders, W. ve Lee, J. (2012b), “The Flexible Fourier Form and Dickey-Fuller Type Unit Root Tests”, Economics Letters, 117(1), 196-199.
  • Esen, E., Yıldırım, S. ve Kostakoğlu, S.F. (2012), “Feldstein-Horioka Hipotezinin Türkiye Ekonomisi için Sınanması: ARDL Modeli Uygulaması”, Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 7(1), 251-267.
  • Feldstein, M. (1983), “Domestic Saving and International Capital Movements in the Long Run and the Short Run”, European Economic Review, 21(1-2), 129-151.
  • Feldstein, M. ve Bacchetta, P. (1991), “National Saving and International Investment. In National Saving and Economic Performance, University of Chicago press, USA.
  • Feldstein, M. ve Horioka, C.Y. (1980), “Domestic Saving and International Capital Flows”, Economic Journal, 90(358), 314-329.
  • Fouquau, J., Hurlin, C. ve Rabaud, I. (2009), “The Feldstein-Horioka Puzzle: A Panel Smooth Transition Regression Approach”, Economic Modelling, 25, 284-299.
  • Gallant, R. (1981), “On the Basis in Flexible Functional form and an Essentially Unbiased Form: The Flexible Fourier Form”, Journal of Econometrics, 15(1), 211-353.
  • Granger, C.W.J. (1969), Investigating Causal Relations by Econometric Models and Cross-Spectral Methods, Econometrica: Journal Of The Econometric Society, 20(4), 424-438.
  • Gregory, A.W. ve Hansen, B.E. (1996), ‘‘Residual-Based Tests for Cointegration in Models with Regime Shifts’’, Journal of Econometrics, 70(1), 99-126.
  • Hatemi-J, A. (2008), “Tests for Cointegration with Two Unknown Regime Shifts with an Application to Financial Market Integration”, Empirical Economics, 35(3), 497-505.
  • Kim, H., Oh, K.Y. ve Jeong, C.W. (2005), “Panel Cointegration Results on International Capital Mobility in Asian Economies”, Journal of International Money and Finance, 24, 71-82.
  • Kwiatkowski, D., Phillips, P.C., Schmidt, P. ve Shin, Y. (1992), “Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root: How Sure are We that Economic Time Series have a Unit Root?”, Journal of Econometrics, 54, 159-178.
  • Lee, J. ve Strazicich, M.C. (2003), “Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks”, Review of Economics and Statistics, 85(4), 1082-1089.
  • Lumsdaine, R.L. ve Papell, D.H. (1997), “Multiple Trend Breaks and the Unit-Root Hypothesis”, Review of Economics and Statistics, 79(2), 212-218.
  • Maki, D. (2012), “Tests for Cointegration Allowing for an Unknown Number of Breaks”, Economic Modelling, 29(5), 2011-2015.
  • Mark, N. C. ve Sul, D. (2003), “Cointegration Vector Estimation by Panel DOLS and Long-Run Money Demand”, Oxford Bulletin of Economics and Statistics, 65(5), 655-680.
  • Murphy, R. (1984), “Capital Mobility and the Relationship between Saving and Investment in OECD Countries”, Journal of International Money and Finance, 3, 327-342.
  • Narayan, P.K. (2005), “The Saving and Investment nexus for China: Evidence from Cointegration Tests”, Applied Economics, 37(17), 1979-1990.
  • Obstfeld, M. ve Rogoff, K. (2000), “The Six Major Puzzles in International Macroeconomics: Is there a common cause?”, NBER Macroeconomics Annual, 15, 339-412.
  • Oktayer, N. ve Susam, N. (2007), “Tasarruf-Yatırım-Sermaye Hareketleri İlişkisinin Türkiye Örneğinde Değerlendirilmesi”, Trakya Üniversitesi Sosyal Bilimler Dergisi, 9(2), 19-54.
  • Pata, U.K. (2018), “The Feldstein Horioka Puzzle in E7 Countries: Evidence from Panel Cointegration and Asymmetric Causality Analysis”, The Journal of International Trade & Economic Development, 27(8), 968-984.
  • Pata, U.K. ve Tütüncü, A. (2017), “Yapısal Kırılmalarla Birlikte Türkiye’de Kamu Harcamaları ve Ekonomik Büyüme İlişkisinin Analizi”, Maliye Dergisi, 172, 30-51.
  • Perron, P. (1989), “The Great Crash, the Oil Price Shock and the Unit Root Hypothesis”, Econometrica, 57(6), 1361-1401.
  • Phillips, P. C. ve Perron, P. (1988), “Testing for a Unit Root in Time Series Regression”, Biometrika, 75, 335-345.
  • Rodrigues, P.M. ve Taylor, A.R. (2012), “The Flexible Fourier Form and Local Generalised Least Squares De‐trended Unit Root Tests”, Oxford Bulletin of Economics and Statistics, 74(5), 736-759.
  • Sinn, S. (1992), “Saving-Investment Correlations and Capital Mobility: On the Evidence from Annual Data”, The Economic Journal, 102(414), 1162-1170.
  • Tesar, L.L. (1991), “Saving, Investment and International Capital Flows”, Journal of International Economics, 31, 55-78.
  • Yavuz, N.Ç. (2011), “Fieldstein-Horioka Yaklaşımına Göre Türkiye’de Tasarruf Yatırım İlişkisi ve Hata Düzeltme Analizi (1962-2003)”, Maliye Araştırma Merkezi Konferansları, (47), 107-123.
  • Zivot, E. ve Andrews, D.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.
Toplam 41 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Süleyman Yurtkuran 0000-0002-7085-9203

Yayımlanma Tarihi 15 Ocak 2021
Yayımlandığı Sayı Yıl 2021 Cilt: 35 Sayı: 1

Kaynak Göster

APA Yurtkuran, S. (2021). TÜRKİYE’DE FELDSTEİN-HORİOKA HİPOTEZİNİN GEÇERLİLİĞİ: DOLS UZUN DÖNEM TAHMİNCİSİ VE FOURİER GRANGER NEDENSELLİK TESTİ. Atatürk Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 35(1), 151-169. https://doi.org/10.16951/atauniiibd.750416

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