Küresel Finansal Krizin AB Üyelerinde Sermaye Hareketliliğine Olan Etkisi

Year 2018, Volume: 2 Issue: 2, 255 - 280, 02.12.2018

Natalya Ketenci

Abstract

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.

Keywords

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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