Investment Decisions under Macroeconomic Uncertainty and Risk: The Case of Turkey

Abstract

In this study, the impacts of uncertainty and risk factors on fixed asset and financial investment decisions of the firms in real sector in Turkey have been investigated for the period of 2003-2012. For this aim, inflation, exchange and growth rate uncertainties having been obtained by ARCH-GARCH method and economic, political, financial and country risk indicators have been used in this study. Their impact on investment is assessed by using investment equation that is generated by portfolio choice model, in accordance with the dynamic panel data analysis. The results show that risk factors and uncertainty have a negative and significant impact on investment decisions.

Keywords

• Uncertainty,Risk,Investment Decisions,Dynamic Panel Data Analysis

Makroekonomik Belirsizlik ve Risk Altında Yatırım Kararları: Türkiye Örneği

Öz

Bu çalışmada belirsizlik ve risk faktörlerinin, Türkiye’de reel sektörde faaliyet gösteren firmaların sabit sermaye ve finansal yatırım kararları üzerindeki etkileri 2003-2012 dönemi itibariyle araştırılmıştır. Bu amaçla çalışmada, ARCH-GARCH yöntemi ile elde edilen enflasyon, döviz kuru ve büyüme hızı belirsizlikleri ile ekonomik, politik, finansal ve ülke risk göstergeleri kullanılmıştır. Bu faktörlerin yatırımlar üzerindeki etkileri dinamik panel veri analiz yönteminden hareketle portföy seçim modeli kullanılarak oluşturulan yatırım denklemi çerçevesinde değerlendirilmiştir. Araştırma sonuçlarına göre risk faktörleri ve belirsizliklerin yatırım kararları üzerinde negatif ve anlamlı bir etkisi olduğu tespit edilmiştir.

Anahtar Kelimeler

• Belirsizlik,Risk,Yatırım Kararları,Dinamik Panel Veri Analizi

References

1. Aizenman, J., & Marion, N. P. (1993). Macroeconomic Uncertainty and Private Investment. Economics Letters, 41(2), 207-210. doi:10.1016/0165-1765(93)90198-L
2. Alesina, A., & Perotti, R. (1996). Income Distribution, Political Instability, and Investment. European Economic Review, 40(6), 1203-1228. doi:10.1016/0014-2921(95)00030-5
3. Arellano, M., & Bond, S. (1991). Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations. The Review of Economic Studies, 58(2), 277-297. doi: 10.2307/2297968
4. Arestis, P., González, A. R., & Dejuán, Ó. (2012). Investment, Financial Markets, and Uncertainty. Levy Economics Institute Economics Working Paper Archive. WP. No. 743.
5. Arslan, Y., Demirhan, A. A., Hulagu, T., & Sahinoz, S. (2012). Belirsizlik Altında Yatırım Planları. CBT Research Notes in Economics, No. 2012-13. Ankara: Central Bank of the Republic of Turkey.
6. Baltagi, B. (2005). Econometric Analysis of Panel Data. Canada: John Wiley & Sons.
7. Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327. doi:10.1016/0304-4076(86)90063-1
8. Campos, N. F., & Nugent, J. B. (2003). Aggregate Investment and Political Instability: An Econometric Investigation. Economica, 70(279), 533-549. doi: 10.1111/1468-0335.01081

9. Demir, F. (2005). Financial Liberalization, Private Investment and Low Growth Traps in Argentina, Mexico and Turkey: Limits of Growth without Investment. IN: University of Notre Dame.
10. Demir, F. (2009a). Macroeconomic Uncertainty and Private Investment in Argentina, Mexico and Turkey. Applied Economics Letters, 16(6), 567-571. doi: 10.1080/13504850701206528
11. Demir, F. (2009b). Financial Liberalization, Private Investment and Portfolio Choice: Financialization of Real Sectors in Emerging Markets. Journal of Development Economics, 88(2), 314-324. doi: 10.1016/j.jdeveco.2008.04.002
12. Duch, R. (2008). Longitudinal/Panel Data Analysis: Lecture 3 and 4. (Erişim: 27.11.2014), http://www.raymondduch.com/class/panel%20data.
13. Enders, W. (2004). Applied Econometric Time Series. New York: John Willey and Sons.
14. Engle, R. (2001). GARCH 101: GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics. The Journal of Economic Perspectives, 15(4), 157-168.
15. Engle, R. F. (1982). A General Approach to Lagrange Multiplier Model Diagnostics. Journal of Econometrics, 20(1), 83-104. doi:10.1016/0304-4076(82)90104-X
16. Escaleras, M., & Kottaridi, C. (2014). The Joint Effect of Macroeconomic Uncertainty, Sociopolitical Instability, and Public Provision on Private Investment. The Journal of Developing Areas, 48(1), 227-251. doi: 10.1353/jda.2014.0019
17. Günçavdi, Ö., & McKay, A. (2003). Macroeconomic Adjustment and Private Manufacturing Investment in Turkey: A Time-Series Analysis. Applied Economics, 35(18), 1901-1909. doi: 10.1080/00036840310001628099
18. Gürsakal, S. (2009). Varyans Kırılması Gözlemlenen Serilerde Garch Modelleri: Döviz Kuru Oynaklığı Örneği. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 32, 319-337.
19. Huang, C. F., & Litzenberger, R. H. (1988). Foundations for Financial Economics. Netherlands: North-Holland.
20. Karapınar, G. (2008). Uncertainty and Investment: Evidence from the Panel Data of Turkish Manufacturing Firms. Yayınlanmamış Yüksek Lisans Tezi. İstanbul: Marmara Üniversitesi.
21. Koç, H., & Değer, M. K. (2010). Döviz Kuru Belirsizliği ve Yurtiçi Yatırımlar: Türkiye Ekonomisi Üzerine Nedensellik Testleri (1988-2007). Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 24(3), 79-93.
22. Le, Q. V. (2004). Political and Economic Determinants of Private Investment. Journal of International Development, 16(4), 589-604. doi: 10.1002/jid.1109
23. Le, Q. V., & Zak, P. J. (2006). Political Risk and Capital Flight. Journal of International Money and Finance, 25(2), 308-329. doi: 10.1016/j.jimonfin.2005.11.001
24. LeRoy, S. F., & Singell, L. D. (1987). Knight on Risk and Uncertainty. Journal of political economy, 95(2), 394-406.
25. Luintel, K. B., & Mavrotas, G. (2005). Examining Private Investment Heterogeneity. Evidence from a Dynamic Panel. World Institute for Development Economic Research (UNU-WIDER). WP. No. 2005/11.
26. Mairesse, J., Hall, B. H., & Mulkay, B. (1999). Firm-Level Investment in France and the United States: An Exploration of What We Have Learned in Twenty Years. NBER Working Paper Series. WP. No. 7437.
27. Özçiçek, Ö. (2007). Nominal Kur Oynaklığı ve Türkiye’de Sermaye Yatırımı Üzerindeki Etkisi. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 7(2), 73-84.
28. Özman, M. (1996). Türkiye Ekonomisinde Belirsizliğin Özel Yatırım Harcamalarına Etkisi. Yayınlanmamış Yüksek Lisans Tezi. Ankara: Orta Doğu Teknik Üniversitesi.
29. Poon, S. H., & Granger, C. W. (2003). Forecasting Volatility in Financial Markets: A Review. Journal of economic literature, 41(2), 478-539. doi: 10.1257/002205103765762743
30. Pradhan, G., Schuster, Z., & Upadhyaya, K. P. (2004). Exchange Rate Uncertainty and the Level of Investment in Selected South-East Asian Countries. Applied Economics, 36(19), 2161-2165. doi: 10.1080/0003684042000282498
31. Sile, A. E. (2003). The Effects of Macroeconomic Uncertainty on Irreversible Investment. PhD Thesis. Georgetown University.
32. Tobin, J. (1965). Money and Economic Growth. Econometrica, 33(4), 671-684. doi: 10.2307/1910352
33. Tornell, A. (1990). Real vs. Financial Investment: Can Tobin Taxes Eliminate the Irreversibility Distortion?. Journal of Development Economics, 32(2), 419-444. doi:10.1016/0304-3878(90)90045-D