Küresel Finansal Krizin AB Üyelerinde Sermaye Hareketliliğine Olan Etkisi

Öz

Bu çalışma Avrupa Birliği üyeleri arasında sermaye hareketliliği ile küresel finansal krizin sermaye hareketliliğine olan etkisini incelemektedir.  Çalışmada Hansen (1982)’de geliştirilen Genelleştirilmiş Momentler Metodu (GMM) kullanılmıştır. GMM zaman serileri için geliştirilmiş, sonrasında dışsal açıklayıcı değişkenlerdeki sapmanın düzeltilmesi için kullanılmıştır. GMM ağırlık matrisi, bilinmeyen değişken varyansın yarattığı seri korelasyonun değerlendirilmesinde kullanılır. Bu çalışmada, finansal kriz dönemlerinde Feldstein-Horioka probleminin geçerliliği sınanmıştır. Çalışmada 27 Avrupa ülkesinin 1995-2013 dönemi üçer aylık veri seti kullanılmıştır. Sonuçlar araştırmaya konu olan 27 AB üyesi ülke arasında yüksek sermaye hareketliliği olduğunu destekler niteliktedir, ancak, küresel finansal kriz döneminde model sermaye hareketliliğinde bir azalma tespit etmiştir. GMM modeli, tahminlerin yürütüldüğü 27 AB üyesi için Feldstein-Horioka probleminin geçerliğini destekler nitelikte sonuçlar üretmemiştir.

Anahtar Kelimeler

• Sermaye hareketliliği,Feldstein-Horioka problemi,tasarruf-yatırım ilişkisi,Genelleştirilmiş Momentler Metodu (GMM),AB

Impact of the Global Financial Crisis on the Level of Capital Mobility in EU Members

Abstract

This study investigates the level of capital mobility in European Union members and the impact of the global financial crisis. This study employs the standard generalized method of moments (GMM) estimation technique, developed by Hansen (1982). The GMM was first introduced for time series data and is generally used to correct for bias caused by endogenous explanatory variables. The GMM weighting matrix accounts for serial correlation of unknown form and for heteroskedasticity. The validity of the Feldstein-Horioka puzzle is investigated in this study in the presence of the global financial crisis. This study estimates quarterly data for 27 European countries for the period of 1995-2013. High capital mobility is supported by results; however, consideration of the global financial crisis in the model revealed decline in capital mobility. The application of the GMM framework provides results that do not support the validity of the Feldstein-Horioka puzzle in most of the estimated countries in the EU.

Keywords

• Capital mobility,Feldstein-Horioka puzzle,saving-investment association,generalized method of moments (GMM),EU

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