YATIRIM-TASARRUF İLİŞKİSİ: OECD ÜLKELERİ İÇİN YENİ NESİL PANEL EŞBÜTÜNLEŞME ANALİZİ

Abstract

Bu çalışmanın amacı; yurtiçi yatırımlarla yurtiçi tasarruflar arasındaki ilişkiyi, yeni nesil panel veri analiz yöntemleri yardımıyla incelemektir. Çalışma, kullanılan yöntem ve konu itibariyle güncel olup, Türkiye gibi yurtiçi tasarruf oranlarının düşüklüğü sorunuyla uğraşan ülkeler için, bir politika önerisi niteliği taşımaktadır. Bu yönüyle, ilgili literatüre bir katkı sağlayacağı düşünülmektedir. Bu çalışmada, yurtiçi yatırımlarla yurtiçi tasarruflar arasındaki ilişki, 20 Ekonomik Kalkınma ve İşbirliği Örgütü ülkesi için, Feldstein-Horioka Paradoksu çerçevesinde, 1980-2012 dönemi verileri kullanılarak, yatay kesit bağımlılığı altında çoklu yapısal kırılmalı panel eşbütünleşme yöntemi ile analiz edilmiştir. Analiz sonucunda, söz konusu ülkelerde, analiz döneminde Feldstein-Horioka Paradoksunun geçerli olmadığı tespit edilmiştir. 

Keywords

• Dışa Açıklık,Yatırım,Tasarruf,Çoklu Yapısal Kırılmalı Panel Eşbütünleşme Analizi

RELATIONSHIP BETWEEN INVESTMENT AND SAVING: NEW GENERATION PANEL COINTEGRATION ANALYSIS FOR OECD COUNTRIES

Abstract

The purpose of this study is to examine the relationship between domestic investment and savings by the help of the new generation panel data analysis methods. This study is up-to-date in terms of its method and subject and signifies a policy proposal for countries such as Turkey, dealing with the low levels of domestic savings problem. In this respect, it thought that will provide a contribution to the related literature. In this study relationship between investment and saving was analyzed for 20 Organisation for Economic Co-operation and Development countries within the framework of Feldstein-Horioka Paradox by using 1980-2012 period data via under cross-section dependence panel cointegration method with multiple structural breaks.  As a result of the analysis, it was seen that Feldstein-Horioka Paradox is not valid in these countries.

Keywords

• Openness,Investment,Saving,Panel Cointegration Analysis with Multiple Structural Breaks

References

1. Adebola, S. ve Dahalan, J. (2012). Capital mobility: An Application of Saving Investment Link for Tunisia, International Journal of Economics and Financial Issues, 2(1), 1-11.
2. Agbetsiafa Douglas, K. (2002). Capital Mobility, Saving and Investment Link: Evidence from Sub-Saharan Africa, Journal of African Finance and Economic Development, 5(2), 77-88.
3. Arısoy, İ. ve Uçak, H. (2010). Saving, Investment and Capital Mobility in G-7 Countries: Time Varying Parameters Approach, International Research Journal of Finance and Economics, 58, 65-78.
4. Bai, J. ve Perron, P. (1988). Estimating and Testing Linear Models with Multiple Structural Changes, Econometrica, 66(1), 47-78.
5. Bai, J. ve Ng S. (2004). A Panic Attack on Unit Roots and Cointegration, Econometrica, 72(4), 1127-1177.
6. Basher Syed, A. and Westerlund, J. (2009). Panel Cointegration and The Monetary Exchange Rate Model, Economic Modelling, 26, 506-513.
7. Breuer Janice, B., McNown, R. ve Wallace M. (2002). Series-Specific Unit Root Test with Panel Data, Oxford Bulletin of Economics and Statistics, 64(5), 527-546.
8. Breusch Trevor, S. ve Pagan Adrian, R. (1980). The Lagrange Multiplier Test and Its Applications to Model Specification Tests in Econometrics, Review of Economic Studies, 11(7), 239-253.

9. Carrion-i-Silvestre Josep, L., Del Barrio Castro T. ve Bazo Enrique, L. (2005). Breaking the Panels: An Application to The GDP Per Capita, Econometrics Journal, 8, 159-175.
10. Charemza Wojciech, W. ve Deadman Derek, F. (1997). New Directions in Econometric Practice: General to Specific Modelling, Cointegration and Vector Autoregression, İkinci Baskı, Chelthenham: Edward Elgar Publishing, UK.
11. Coakley, J., Farida, K. ve Ron S. (1996). Current Account Solvency and the Feldstein-Horioka Puzzle, The Economic Journal, 106, 620-627.
12. Coakley, J., Fuertes, A. M. ve Spagnolo, F. (2004). Is the Feldstein-Horioka Puzzle History, The Manchester School, 72(5), 569–590.
13. Esen, E., Yıldırım, S. ve Kostakoğlu, F. (2012). Feldstein-Horioka Hipotezinin Türkiye Ekonomisi İçin Sınaması: ARDL Modeli Uygulaması, Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 7(1), 251-267.
14. Feldstein, M. ve Horioka, C. (1980). Domestic Saving and International Capital Flows, The Economic Journal, 90(158), 314-329.
15. Giannone, D. ve Lenza, M. (2009). The Feldstein-Horioka Fact, NBER Working Paper Series, 15519, 1-20.
16. Grier, K., Lin S. ve Ye H. (2008). Savings and Investment in The USA: Solving the Feldstein-Horioka Puzzle, http://facultystaff.ou.edu/G/Kevin.B.Grier-1/VITA, (Erişim Tarihi: 8 Şubat 2013).
17. Jansen W.J. (2000). International Capital Mobility: Evidence from Panel Data, Journal of International Money and Finance, 9, 507-511.
18. Kaya H. (2010). Saving, Investment Association in Turkey, Independent Research Paper, Topics in Middle Eastern and North African Economies, Middle East Economic Association and Loyola University Chicago, 12, 1-16
19. Kayikci, F. (2012). Saving Investment Correlations and Capital Mobility: Evidence from Transition Economies, International Journal of Social Sciences and Humanity Studies, 4(2), 191-198.
20. Krol, R. (1996). International Capital Mobility: Evidence from Panel Data, Journal of International Money and Finance, 15(3), 467-474.
21. Kumar, S., Webber, D. J. ve Fargher, S. (2012). Testing The Validity of The Feldstein-Horioka Puzzle for Australia, Applied Economics, 44(5), 599-605.
22. Liu, J., Wu, S. ve Zidek, J. V. (1997). On Segmented Multivariate Regression, Statistica Sinica, 7, 497-525.
23. Mangır, F. ve Ertuğrul H. M. (2012). Sermaye Hareketliliği, Tasarruf ve Yatırım İlişkisi: Türkiye Örneği, İktisat İşletme ve Finans, 27(317), 61-79.
24. Pesaran, M. H. (2004). General Diagnostic Tests for Cross Section Dependence in Panels, Cambridge Working Papers in Economics, 435, http://www.dspace.cam.ac.uk/handle/1810/446, (Erişim Tarihi: 11 Mayıs 2013).
25. Pesaran, M. H. (2006). Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure, Econometrica, 74(4), 967-1012.
26. Pesaran, M. H. (2007). A Simple Panel Unit Root Test in The Presence of Crosssection Dependency, Journal of Applied Econometrics, 22(2), 2007, 265-312.
27. Pesaran, M. H., Ullah, A. ve Yamagata T. (2008). A Bias-Adjusted LM Test of Error Cross-Section Independence, Econometrics Journal, 11, 105-127.
28. Saeed, S. ve Khan, M. A. (2012). The Feldstein-Horioka Puzzle and Twin Deficits in Pakistan, Academic Research International, 2(2), 525-532.
29. Sinn, S. (1992). Saving-Investment Correlations and Capital Mobility: On the Evidence from Annual Data, The Economic Journal, 102, 1162-1170.
30. Susam, N. (2004). Feldstein-Horioka Paradoksu: Yatırım, Tasarruf ve Sermaye Hareketleri İlişkisinin Açıklanması, İstanbul Üniversitesi İktisat Fakültesi Maliye Araştırma Merkezi Konferansları, 46, 184-189.
31. Taylor, A., Mark, P. and Sarno, L. (1998). The Behaviour of Real Exchange Rates during the Post-Bretton Woods Period, Journal of International Economics, 46, 281-312.
32. Taylor, A. M. (2002). A century of current account Dynamics, Journal of International Money and Finance, 21(6), 725–748.
33. Uygur, E. (2012). Türkiye’de Cari Açık Tartışması, Türkiye Ekonomi Kurumu Tartışma Metni, 25, 1-15.