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Ekonomik Politika Belirsizliği ve Portföy Yatırımları İlişkisinin Panel ARDL Analizi

Year 2021, Volume: 8 Issue: 2, 291 - 306, 01.07.2021
https://doi.org/10.17541/optimum.889912

Abstract

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.

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References

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  • Baker S.R, N. Bloom ve S.J. Davis (2016). Measuring economic policy uncertainty. Q. J. Econ., 131 (4) pp. 1593-1636.
  • Bonaime, A., H. Gulen, ve M. Ion. (2018). Does policy uncertainty affect mergers and acquisitions? Journal of Financial Economics 129. pp. 513–558.
  • Bordo M.D., J.V. Duca, C. Koch. (2016). Economic policy uncertainty and the credit channel: aggregate and bank level US evidence over several decades. J. Financial Stab. 26 (2016), pp. 90-106.
  • Breusch, T. S. and Pagan, A. R. (1980). The lagrange multiplier test and its applications to model specificationin econometrics. Review of Economic Studies, 47: 239–253.
  • Broner, F., A. Martin, ve J. Ventura. (2010). Sovereign Risk and Secondary Markets. American Economic Review. 100 (4). pp.1523-1555.
  • Byrne, J. P. ve Fiess, N. (2016). International capital flows to emerging markets: National and global determinants. Journal of International Money and Finance. Elsevier, vol. 61(C), pp 82-100.
  • Calvo, G. A. , Leiderman, L. ve Reinhart, C. M. (1993). Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors. International Monetary Fund Staff Papers, 40, 1, pp. 108 - 151.
  • Caggiano, G., E. Castelnuovo, ve G. Pellegrino. (2017). Estimating the Real Effects of Uncertainty at the Zero Lower Bound. European Economic Review. 100 (November). Pp. 257-272.
  • Calvo, G. A., Leiderman, L. ve Reinhart, C. M. (1996). Inflows of Capital to Developing Countries in the 1990s. Journal of Economic Perspectives. 10, 2, pp.123 - 139.
  • Cerda, R., A. Silva ve J. T. Valente. (2016). Economic Policy Uncertainty Indices for Chile. working paper.
  • Chang, D. Gunnell, J.A.C. Sterne ve T.-H. Lu, A.T.A. Cheng (2009).Was the economic crisis 1997–1998 responsible for rising suicide rates in East/Southeast Asia? A time–trend analysis for Japan, Hong Kong, South Korea, Taiwan, Singapore and Thailand Soc. Sci. Med., 68, pp. 1322-1331
  • Chen X.. Sun X., Li J. (2019). How does economic policy uncertainty react to oil price shocks? A multi-scale perspective. Appl. Econ. Lett. 1-6.
  • Choudhry T. (2018). Economic policy uncertainty and house prices: evidence from geographical regions of England and Wales Real Estate Econ. Pp.1540-1569.
  • Drobetz, W., El Ghoul, S., Guedhami, O., Janzen, M. (2018). Policy uncertainty, investment, and the cost of capital. J. Financ. Stab. 39, pp.28–45.
  • Fratzscher M. (2012). Capital flows, push versus pull factors and the global financial crisis J. Int. Econ. 88 (2) pp. 341-356.
  • Gelos R., Gaston, ve S.-J. Wei. (2005). Transparency and International Portfolio Holdings. Journal of Finance. Vol. 60. No. 6, pp. 2987–3020.
  • Gerber J. (2017). International Economics, 7th Edition.San Diego State University.
  • Gulen, H., Ion, M., 2015. Policy uncertainty and corporate investment. Rev. Financ. Stud. 29 (3), 523–564.
  • Gulen, H. ve M. Ion. (2016). Policy uncertainty and corporate investment. Review of Financial Studies, 29, no. 3 (March), pp. 523-56.
  • Hermes, N. ve R. Lensink. (2001). Fiscal Policy and Private Investment in Less Developed Countries, WDP 2001/32, World Institute for Development Economics Research.
  • Hu, S., Gong, D. (2018). Economic policy uncertainty, prudential regulation and bank lending. Financ. Res. Lett.
  • Ji Q., Liu B.Y., Nehler H. ve G.S. Uddin. (2018). Uncertainties and extreme risk spillover in the energy markets: a time-varying copula-based CoVaR approach. Energy Econ., 76 pp. 115-126.
  • Kaminsky, G. ve Reinhart C. (2000). On crises, contagion, and confusion. J. Int. Econ., 51 (1) pp. 136-145.
  • Kang W., Gracia F.P. de ve R.A. Ratti. (2017). Oil price shocks, policy uncertainty, and stock returns of oil and gas corporations. J. Int. Money Finance, 70 pp. 344-359.
  • Karnizova , L., Li, J., (2014). Economic policy uncertainty,financial markets and probability of US recessions. Econ. Lett. 125 (2), 261–265.
  • Keynes, J. M. (1936). The General Theory of Employment. Interest and Money ( McMillan, London).
  • Koepke R. (2019). What drives capital flows to emerging markets? a survey of the empirical literature. J Econ Surv Apr 33(2):516–540.
  • Krugman, P. and Obstfeld, M. (2009). International Economics: Theory and Policy, 8th, Boston: Addison Wesley.
  • Li Z.H., Dong H., Huang Z.H., ve P. Failler. (2018). Asymmetric effects on risks of virtual financial assets (VFAs) in different regimes: a case of bitcoin. Quant. Finance Econ., 2 (4) pp. 860-883.
  • Milesi‐Ferretti, G. M., and C. Tille. (2011). The great retrenchment: International capital flows during the global financial crisis, Economic Policy, 26, 289-346.
  • Nguyen T. B., Strobel J. ve G. Lee. (2018). A new measure of real estate uncertainty shocks Real Estate Econ.
  • Pastor, L., Veronesi, P. (2012). Uncertainty about government policy and stock prices. J. Financ. 67 (4), 1219–1264.
  • Pesaran, M.H. (2004). General Diagnostic Tests for Cross Section Dependence in Panels.Pesaran, M.H., 2007. A simple panel unit root test in the presence of cross-section dependence. J. Appl. Econom. 22 (2), 265–312.
  • Schmidt T. ve Zwick L. (2015). Uncertainty and episodes of extreme capital flows in the Euro area. Econ. Model., 48 (C) pp. 343-356.
  • Shin, H. (2010). “Macroprudential Policies Beyond Basel III,” Princeton University memo.
  • Sun X., Chen X., Wang J.ve J. Li. (2018). Multi-scale interactions between economic policy uncertainty and oil prices in time-frequency domains. North Am. J. Econ. Finance
  • Zhang D., L. Lei, Q. Ji, A.M. Kutan. (2019). Economic policy uncertainty in the US and China and their impact on the global markets, Econ. Model., 79, pp. 47-56.

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

Year 2021, Volume: 8 Issue: 2, 291 - 306, 01.07.2021
https://doi.org/10.17541/optimum.889912

Abstract

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.

Project Number

yok

References

  • Arouri, M., Estay, C., Rault, C., Roubaud, D. (2016). Economic policy uncertainty and stock markets: long-run evidence from the US. Financ. Res. Lett.18, pp. 136-141.
  • Baker S.R, N. Bloom ve S.J. Davis (2016). Measuring economic policy uncertainty. Q. J. Econ., 131 (4) pp. 1593-1636.
  • Bonaime, A., H. Gulen, ve M. Ion. (2018). Does policy uncertainty affect mergers and acquisitions? Journal of Financial Economics 129. pp. 513–558.
  • Bordo M.D., J.V. Duca, C. Koch. (2016). Economic policy uncertainty and the credit channel: aggregate and bank level US evidence over several decades. J. Financial Stab. 26 (2016), pp. 90-106.
  • Breusch, T. S. and Pagan, A. R. (1980). The lagrange multiplier test and its applications to model specificationin econometrics. Review of Economic Studies, 47: 239–253.
  • Broner, F., A. Martin, ve J. Ventura. (2010). Sovereign Risk and Secondary Markets. American Economic Review. 100 (4). pp.1523-1555.
  • Byrne, J. P. ve Fiess, N. (2016). International capital flows to emerging markets: National and global determinants. Journal of International Money and Finance. Elsevier, vol. 61(C), pp 82-100.
  • Calvo, G. A. , Leiderman, L. ve Reinhart, C. M. (1993). Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors. International Monetary Fund Staff Papers, 40, 1, pp. 108 - 151.
  • Caggiano, G., E. Castelnuovo, ve G. Pellegrino. (2017). Estimating the Real Effects of Uncertainty at the Zero Lower Bound. European Economic Review. 100 (November). Pp. 257-272.
  • Calvo, G. A., Leiderman, L. ve Reinhart, C. M. (1996). Inflows of Capital to Developing Countries in the 1990s. Journal of Economic Perspectives. 10, 2, pp.123 - 139.
  • Cerda, R., A. Silva ve J. T. Valente. (2016). Economic Policy Uncertainty Indices for Chile. working paper.
  • Chang, D. Gunnell, J.A.C. Sterne ve T.-H. Lu, A.T.A. Cheng (2009).Was the economic crisis 1997–1998 responsible for rising suicide rates in East/Southeast Asia? A time–trend analysis for Japan, Hong Kong, South Korea, Taiwan, Singapore and Thailand Soc. Sci. Med., 68, pp. 1322-1331
  • Chen X.. Sun X., Li J. (2019). How does economic policy uncertainty react to oil price shocks? A multi-scale perspective. Appl. Econ. Lett. 1-6.
  • Choudhry T. (2018). Economic policy uncertainty and house prices: evidence from geographical regions of England and Wales Real Estate Econ. Pp.1540-1569.
  • Drobetz, W., El Ghoul, S., Guedhami, O., Janzen, M. (2018). Policy uncertainty, investment, and the cost of capital. J. Financ. Stab. 39, pp.28–45.
  • Fratzscher M. (2012). Capital flows, push versus pull factors and the global financial crisis J. Int. Econ. 88 (2) pp. 341-356.
  • Gelos R., Gaston, ve S.-J. Wei. (2005). Transparency and International Portfolio Holdings. Journal of Finance. Vol. 60. No. 6, pp. 2987–3020.
  • Gerber J. (2017). International Economics, 7th Edition.San Diego State University.
  • Gulen, H., Ion, M., 2015. Policy uncertainty and corporate investment. Rev. Financ. Stud. 29 (3), 523–564.
  • Gulen, H. ve M. Ion. (2016). Policy uncertainty and corporate investment. Review of Financial Studies, 29, no. 3 (March), pp. 523-56.
  • Hermes, N. ve R. Lensink. (2001). Fiscal Policy and Private Investment in Less Developed Countries, WDP 2001/32, World Institute for Development Economics Research.
  • Hu, S., Gong, D. (2018). Economic policy uncertainty, prudential regulation and bank lending. Financ. Res. Lett.
  • Ji Q., Liu B.Y., Nehler H. ve G.S. Uddin. (2018). Uncertainties and extreme risk spillover in the energy markets: a time-varying copula-based CoVaR approach. Energy Econ., 76 pp. 115-126.
  • Kaminsky, G. ve Reinhart C. (2000). On crises, contagion, and confusion. J. Int. Econ., 51 (1) pp. 136-145.
  • Kang W., Gracia F.P. de ve R.A. Ratti. (2017). Oil price shocks, policy uncertainty, and stock returns of oil and gas corporations. J. Int. Money Finance, 70 pp. 344-359.
  • Karnizova , L., Li, J., (2014). Economic policy uncertainty,financial markets and probability of US recessions. Econ. Lett. 125 (2), 261–265.
  • Keynes, J. M. (1936). The General Theory of Employment. Interest and Money ( McMillan, London).
  • Koepke R. (2019). What drives capital flows to emerging markets? a survey of the empirical literature. J Econ Surv Apr 33(2):516–540.
  • Krugman, P. and Obstfeld, M. (2009). International Economics: Theory and Policy, 8th, Boston: Addison Wesley.
  • Li Z.H., Dong H., Huang Z.H., ve P. Failler. (2018). Asymmetric effects on risks of virtual financial assets (VFAs) in different regimes: a case of bitcoin. Quant. Finance Econ., 2 (4) pp. 860-883.
  • Milesi‐Ferretti, G. M., and C. Tille. (2011). The great retrenchment: International capital flows during the global financial crisis, Economic Policy, 26, 289-346.
  • Nguyen T. B., Strobel J. ve G. Lee. (2018). A new measure of real estate uncertainty shocks Real Estate Econ.
  • Pastor, L., Veronesi, P. (2012). Uncertainty about government policy and stock prices. J. Financ. 67 (4), 1219–1264.
  • Pesaran, M.H. (2004). General Diagnostic Tests for Cross Section Dependence in Panels.Pesaran, M.H., 2007. A simple panel unit root test in the presence of cross-section dependence. J. Appl. Econom. 22 (2), 265–312.
  • Schmidt T. ve Zwick L. (2015). Uncertainty and episodes of extreme capital flows in the Euro area. Econ. Model., 48 (C) pp. 343-356.
  • Shin, H. (2010). “Macroprudential Policies Beyond Basel III,” Princeton University memo.
  • Sun X., Chen X., Wang J.ve J. Li. (2018). Multi-scale interactions between economic policy uncertainty and oil prices in time-frequency domains. North Am. J. Econ. Finance
  • Zhang D., L. Lei, Q. Ji, A.M. Kutan. (2019). Economic policy uncertainty in the US and China and their impact on the global markets, Econ. Model., 79, pp. 47-56.
There are 38 citations in total.

Details

Primary Language Turkish
Subjects Economics
Journal Section Articles
Authors

Sevilay Küçüksakarya 0000-0002-4224-6100

Project Number yok
Publication Date July 1, 2021
Submission Date March 2, 2021
Published in Issue Year 2021 Volume: 8 Issue: 2

Cite

APA Küçüksakarya, S. (2021). Ekonomik Politika Belirsizliği ve Portföy Yatırımları İlişkisinin Panel ARDL Analizi. Optimum Ekonomi Ve Yönetim Bilimleri Dergisi, 8(2), 291-306. https://doi.org/10.17541/optimum.889912
AMA Küçüksakarya S. Ekonomik Politika Belirsizliği ve Portföy Yatırımları İlişkisinin Panel ARDL Analizi. OJEMS. July 2021;8(2):291-306. doi:10.17541/optimum.889912
Chicago Küçüksakarya, Sevilay. “Ekonomik Politika Belirsizliği Ve Portföy Yatırımları İlişkisinin Panel ARDL Analizi”. Optimum Ekonomi Ve Yönetim Bilimleri Dergisi 8, no. 2 (July 2021): 291-306. https://doi.org/10.17541/optimum.889912.
EndNote Küçüksakarya S (July 1, 2021) Ekonomik Politika Belirsizliği ve Portföy Yatırımları İlişkisinin Panel ARDL Analizi. Optimum Ekonomi ve Yönetim Bilimleri Dergisi 8 2 291–306.
IEEE S. Küçüksakarya, “Ekonomik Politika Belirsizliği ve Portföy Yatırımları İlişkisinin Panel ARDL Analizi”, OJEMS, vol. 8, no. 2, pp. 291–306, 2021, doi: 10.17541/optimum.889912.
ISNAD Küçüksakarya, Sevilay. “Ekonomik Politika Belirsizliği Ve Portföy Yatırımları İlişkisinin Panel ARDL Analizi”. Optimum Ekonomi ve Yönetim Bilimleri Dergisi 8/2 (July 2021), 291-306. https://doi.org/10.17541/optimum.889912.
JAMA Küçüksakarya S. Ekonomik Politika Belirsizliği ve Portföy Yatırımları İlişkisinin Panel ARDL Analizi. OJEMS. 2021;8:291–306.
MLA Küçüksakarya, Sevilay. “Ekonomik Politika Belirsizliği Ve Portföy Yatırımları İlişkisinin Panel ARDL Analizi”. Optimum Ekonomi Ve Yönetim Bilimleri Dergisi, vol. 8, no. 2, 2021, pp. 291-06, doi:10.17541/optimum.889912.
Vancouver Küçüksakarya S. Ekonomik Politika Belirsizliği ve Portföy Yatırımları İlişkisinin Panel ARDL Analizi. OJEMS. 2021;8(2):291-306.

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