The Validity Of Feldstein-Horioka Hypothesis For Turkish Economy: Cointegration And Markov Regime Switching Approach

Year 2017, Volume: 17 Issue: 1, 89 - 104, 01.02.2017

Caner Demir , Raif Cergibozan

Abstract

This study examines the Feldstein-Horioka hypothesis for Turkish Economy by using several time series techniques. Feldstein and Horioka (1980) have built and estimated a basic equation that shows the relationship between domestic savings and domestic investments to investigate whether domestic savings are retained for domestic investment or flows to international capital mobility. In the present study, this hypothesis has been tested for the period 1962-2015 of Turkish Economy. To be able to observe the periodical changes and breakpoints, the analysis contains different sub periods and estimation methods. Our findings show that while a very strong relationship has been observed between domestic savings and domestic investments for the period 1962-1990; after 1990, a lower coefficient has been estimated. Moreover, the period 1990-2015 has been also estimated via the Markov Regime Switching Model. The evidences obtained from this model show that pre and post 2001 periods give different results. It is observed that the international capital mobility of Turkish Economy has risen in the post 2001 period as against the previous years. Within the context of the Feldstein-Horioka hypothesis, all the obtained evidences reveal that the tendency for international capital mobility of Turkish Economy increases in time

Keywords

Feldstein-Horioka Hypothesis, Cointegration, ARDL, Markov Regime Switching Model

TÜRKİYE EKONOMİSİ İÇİN FELDSTEIN-HORIOKA HİPOTEZİNİN GEÇERLİLİĞİ: EŞBÜTÜNLEŞME VE MARKOV REJİM DEĞİŞİM YAKLAŞIMI

Abstract

Bu çalışma, Feldstein-Horioka hipotezini Türkiye Ekonomisi için çeşitli zaman serisi yöntemlerini kullanarak incelemektedir. Feldstein-Horioka (1980), yurtiçi tasarruflar ile yurtiçi yatırımlar arasında bir denklem tasarlamış ve bu denklemde yer alan parametrenin aldığı değere göre tasarrufların yurtiçinde mi yoksa küresel piyasalarda mı yatırıma dönüştüğünü tahmin etmiştir. Bu çalışmada ise, söz konusu hipotez Türkiye Ekonomisinin 1962-2015 dönemi için ele alınmıştır. Sermaye hareketliliğinde meydana gelen dönemsel değişim ve kırılmaları da gözleyebilmek amacıyla, analiz farklı alt dönemler ve tahmin yöntemlerini içermektedir. Elde edilen bulgulara göre, 1990 yılına kadar yurtiçi tasarruflar ile yurtiçi yatırımlar arasında oldukça güçlü bir ilişki gözlenirken, 1990 yılından sonra bu ilişkinin zayıfladığı sonucuna ulaşılmıştır. Bunun yanı sıra, 1990-2015 dönemi ayrıca Markov Rejim Değişim Modeli ile de test edilmiş ve 2001 sonrası dönemde Türkiye’de küresel sermaye hareketliliğinin daha önceki dönemlere kıyasla oldukça arttığı ve bu açıdan bir kırılma yaşandığı gözlenmiştir. Tüm bu sonuçlar, Feldstein-Horioka Hipotezi bağlamında, Türkiye Ekonomisinin aradan geçen yıllar itibariyle dışa açılma eğiliminin arttığı şeklinde yorumlanabilir

Keywords

Feldstein-Horioka Hipotezi, Eşbütünleşme, ARDL, Markov Rejim Değişim Modeli

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