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Türkiye Ekonomisi için Tasarruf–Yatırım İlişkisi üzerine Bir Araştırma

Year 2023, Volume: 25 Issue: 1, 182 - 192, 30.06.2023

Abstract

For the research field of international macroeconomics, one of the stylized facts that researchers often observe empirically is the strong dependency of domestic investments to national savings. Feldstein and Horioka (1980) accept such a relationship as an indicator of capital mobility and try to examine how an increase in the national saving level finances domestic investments. The authors perceive this as a puzzle for the assumption that world capital markets are well-integrated. The paper aims to test the validity of such a relationship for the case of the Turkish economy. Not only does this study take account of the estimation result that there exists evidence of a cointegration as an estimation methodology between domestic investments and national savings for the time span 1975 - 2015, but it also enlarges the research area to the sensitivity of findings to the endogenous breaks, and then estimates some regime changes. This study finds a Feldstein – Horioka (FH) coefficient highly smaller than a unity value, and observes some structural breaks associated with policy transformation or macroeconomic crises periods of the economy.

References

  • Adedeji, O. & Thornton, J. (2008). International Capital Mobility: Evidence from Panel Cointegration Tests. Economic Letters, 99(2), 349-352.
  • Corbin, A. (2001). Country Specific Effect in the Feldstein – Horioka Paradox: A Panel Data Analysis. Economics Letters, 72, 297-302.
  • De Vita, G. & Abbott, A. (2002). Are Saving and Investment Cointegrated? An ARDL Bounds Testing Approach. Economics Letters, 77, 293-299.
  • Dickey, D. & Fuller, W.A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica, 49, 1057-1072.
  • Dzhumashev, R. and Cooray, A. (2016). The Feldstein – Horioka Hypothesis Revisited. The B.E. Journal of Macroeconomics, 17(1), 1-30.
  • Enders, W. (2004). Applied Econometric Time Series, USA: John Wiley & Sons, Inc.
  • Engle, R.F. & Granger, C.W.J. (1987). Co – integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55, 251-276.
  • Feldstein, M. & Bacchetta, P. (1991). National Saving and International Investment. D.Bernheim and J. Shoven (Eds.), National Saving and Economic Performance, In: (pp. 201-226), Chicago: University of Chicago Press.
  • Feldstein, M. & Horioka, C. (1980). Domestic Saving and International Capital Flows. Economic Journal, 90(358), 314-329.
  • Gregory, A.W. & Hansen, B.E. (1996). Residual – Based Tests for Cointegration in Models with Regime Shifts. Journal of Econometrics, 70, 99-126.
  • Hansen, B.E. (1992). Tests for Parameter Instability in Regressions with I(1) Processes. Journal of Business and Economic Statistics, 10, 321-335.
  • Hatemi – J., A. (2008). Tests for Cointegration with Two Unknown Regime Shifts with An Application to Financial Market Integration. Empirical Economics, 35, 497-505.
  • Hogendorn, C. (1998). Capital Mobility in Historical Perspective. Journal of Policy Modeling, 20(2), 141-161.
  • Johansen, S. (1995). Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, Oxford: Oxford University Press.
  • Katsimi, M. & Zoega, G. (2016). European Integration and the Feldstein-Horioka Puzzle. Oxford Bulletin of Economics and Statistics, 78(6), 834-852.
  • Ma, W. & Li, H. (2016). Time – Varying Saving – Investment Relationship and the Feldstein – Horioka Puzzle. Economic Modelling, 53, 166-178.
  • Narayan, P.K. (2005). The Relationship Between Saving and Investment for Japan. Japan and the World Economy, 17, 293-309.
  • Osterwald – Lenum, M. (1992). A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics. Oxford Bulletin of Economics and Statistics, 54, 461-72.
  • Özdemir, Z.A. & Olgun, H. (2009). The Feldstein – Horioka Puzzle Across Countries. Applied Economics, 41(2), 237-247.
  • Özmen, E. & Parmaksız, K. (2003). Policy Regime Change and the Feldstein – Horioka Puzzle: The UK Evidence, Journal of Policy Modeling, 25, 137-149.
  • Sinha, D. & Sinha, T. (2004). The Mother of All Puzzles Would Not Go Away, Economics Letters, 82, 259-267.
  • Taylor, A.M. (2002). A Century of Current Account Dynamics, Journal of International Money and Finance, 21(6), 725-748.
  • Telatar, E., Telatar, F. & Ratti, R.A. (2007). A Regime Switching Approach to the Feldstein – Horioka Puzzle: Evidence from Some European Countries. Journal of Policy Modeling, 29(3), 523-533.
  • Vogelsang, T.J. & Perron, P. (1998). Additional Test for Unit Root Allowing for a Break in the Trend Function at An Unknown Time, International Economic Review, 39, 1073-1100.
  • www.sbb.gov.tr/ekonomik-ve-sosyal-göstergeler/, date of access: 15.02.2021.
  • Yentürk, N., Ülengin, B. & Çimenoğlu, A. (2009). An Analysis of the Interaction among Savings and Investment and Growth in Turkey. Applied Economics, 41(6), 739-751.

An Empirical Research on the Saving–Investment Relationship for the Turkish Economy

Year 2023, Volume: 25 Issue: 1, 182 - 192, 30.06.2023

Abstract

For the research field of international macroeconomics, one of the stylized facts that researchers often observe empirically is the strong dependency of domestic investments to national savings. Feldstein and Horioka (1980) accept such a relationship as an indicator of capital mobility and try to examine how an increase in the national saving level finances domestic investments. The authors perceive this as a puzzle for the assumption that world capital markets are well-integrated. The paper aims to test the validity of such a relationship for the case of the Turkish economy. Not only does this study take account of the estimation result that there exists evidence of a cointegration as an estimation methodology between domestic investments and national savings for the time span 1975 - 2015, but it also enlarges the research area to the sensitivity of findings to the endogenous breaks, and then estimates some regime changes. This study finds a Feldstein – Horioka (FH) coefficient highly smaller than a unity value, and observes some structural breaks associated with policy transformation or macroeconomic crises periods of the economy.

References

  • Adedeji, O. & Thornton, J. (2008). International Capital Mobility: Evidence from Panel Cointegration Tests. Economic Letters, 99(2), 349-352.
  • Corbin, A. (2001). Country Specific Effect in the Feldstein – Horioka Paradox: A Panel Data Analysis. Economics Letters, 72, 297-302.
  • De Vita, G. & Abbott, A. (2002). Are Saving and Investment Cointegrated? An ARDL Bounds Testing Approach. Economics Letters, 77, 293-299.
  • Dickey, D. & Fuller, W.A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica, 49, 1057-1072.
  • Dzhumashev, R. and Cooray, A. (2016). The Feldstein – Horioka Hypothesis Revisited. The B.E. Journal of Macroeconomics, 17(1), 1-30.
  • Enders, W. (2004). Applied Econometric Time Series, USA: John Wiley & Sons, Inc.
  • Engle, R.F. & Granger, C.W.J. (1987). Co – integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55, 251-276.
  • Feldstein, M. & Bacchetta, P. (1991). National Saving and International Investment. D.Bernheim and J. Shoven (Eds.), National Saving and Economic Performance, In: (pp. 201-226), Chicago: University of Chicago Press.
  • Feldstein, M. & Horioka, C. (1980). Domestic Saving and International Capital Flows. Economic Journal, 90(358), 314-329.
  • Gregory, A.W. & Hansen, B.E. (1996). Residual – Based Tests for Cointegration in Models with Regime Shifts. Journal of Econometrics, 70, 99-126.
  • Hansen, B.E. (1992). Tests for Parameter Instability in Regressions with I(1) Processes. Journal of Business and Economic Statistics, 10, 321-335.
  • Hatemi – J., A. (2008). Tests for Cointegration with Two Unknown Regime Shifts with An Application to Financial Market Integration. Empirical Economics, 35, 497-505.
  • Hogendorn, C. (1998). Capital Mobility in Historical Perspective. Journal of Policy Modeling, 20(2), 141-161.
  • Johansen, S. (1995). Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, Oxford: Oxford University Press.
  • Katsimi, M. & Zoega, G. (2016). European Integration and the Feldstein-Horioka Puzzle. Oxford Bulletin of Economics and Statistics, 78(6), 834-852.
  • Ma, W. & Li, H. (2016). Time – Varying Saving – Investment Relationship and the Feldstein – Horioka Puzzle. Economic Modelling, 53, 166-178.
  • Narayan, P.K. (2005). The Relationship Between Saving and Investment for Japan. Japan and the World Economy, 17, 293-309.
  • Osterwald – Lenum, M. (1992). A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics. Oxford Bulletin of Economics and Statistics, 54, 461-72.
  • Özdemir, Z.A. & Olgun, H. (2009). The Feldstein – Horioka Puzzle Across Countries. Applied Economics, 41(2), 237-247.
  • Özmen, E. & Parmaksız, K. (2003). Policy Regime Change and the Feldstein – Horioka Puzzle: The UK Evidence, Journal of Policy Modeling, 25, 137-149.
  • Sinha, D. & Sinha, T. (2004). The Mother of All Puzzles Would Not Go Away, Economics Letters, 82, 259-267.
  • Taylor, A.M. (2002). A Century of Current Account Dynamics, Journal of International Money and Finance, 21(6), 725-748.
  • Telatar, E., Telatar, F. & Ratti, R.A. (2007). A Regime Switching Approach to the Feldstein – Horioka Puzzle: Evidence from Some European Countries. Journal of Policy Modeling, 29(3), 523-533.
  • Vogelsang, T.J. & Perron, P. (1998). Additional Test for Unit Root Allowing for a Break in the Trend Function at An Unknown Time, International Economic Review, 39, 1073-1100.
  • www.sbb.gov.tr/ekonomik-ve-sosyal-göstergeler/, date of access: 15.02.2021.
  • Yentürk, N., Ülengin, B. & Çimenoğlu, A. (2009). An Analysis of the Interaction among Savings and Investment and Growth in Turkey. Applied Economics, 41(6), 739-751.
There are 26 citations in total.

Details

Primary Language English
Subjects Economic Models and Forecasting
Journal Section Research Article
Authors

Levent Korap 0000-0001-6216-5941

Publication Date June 30, 2023
Submission Date May 27, 2021
Published in Issue Year 2023 Volume: 25 Issue: 1

Cite

APA Korap, L. (2023). An Empirical Research on the Saving–Investment Relationship for the Turkish Economy. Kastamonu Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 25(1), 182-192. https://doi.org/10.21180/iibfdkastamonu.943508