TÜRKİYE’DE FELDSTEIN-HORIOKA SORUNSALI

Year 2014, Volume: 15 Issue: 1 , 45 - 63 , 01.01.2014

Gülten Dursun Tezcan Abasız

https://izlik.org/JA74HP58NM

Abstract

Bu çalışmada Hansen-Seo, Gregory-Hansen ve Hatemi-J modelleri kullanılarak Türkiye’de Feldstein-Horioka hipotezi 1968-2008 dönemi için test edilmiştir. Öncelikle Feldstein-Horioka hipotezi Hansen-Seo yöntemiyle araştırılmış, değişkenlerin uzun dönemde doğrusal olmayan bir yapı izlemediği bulgusuna ulaşılmıştır. Daha sonra Gregory-Hansen ve Hatemi-J modelleri çerçevesinde tasarruf tutma katsayısı sırasıyla 1’e yakın ve 0.426 olarak elde edilmiş FeldsteinHorioka sorunsalının devam ettiği gözlenmiştir. Elde edilen sonuçlar F-H hipotezinin test edilmesinde sabit bir parametre varsayımı yerine endojen yapısal kırılmaları dikkate alan test tekniklerinin uygulanmasının daha güvenilir sonuçlar verebileceğini göstermiştir

Keywords

Feldstein-Horioka Sorunsalı , Eşik Eşbütünleşme , GregoryHansen , Hatemi-J Modeli

Feldstein-Horioka Puzzle in Turkey

https://izlik.org/JA74HP58NM

Abstract

In this study, Feldstein-Horioka hypothesis on saving-investment relationship was tested for the period 1968-2008 in Turkey using Hansen-Seo, Gregory-Hansen and Hatemi-J models. First of all, when Feldstein-Horioka hypothesis was researched by Hansen-Seo method, the variables did not exhibit a nonlinear structure. Then, with Gregory-Hansen and Hatemi-J models, it was found that the saving-retention coefficient got a value close to 1 and 0.426 respectively. It was understood that the Feldstein-Horioka puzzle continued. The results obtained show that in testing Feldstein-Horioka hypothesis, instead of a fixed parameter assumption, applying test techniques that take endogenous structural breaks into consideration would give more reliable results.

Keywords

Feldstein-Horioka Puzzle , Threshold Cointegration Model , Gregory Hansen , Hatemi-J Model

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