The Testing Feldstein-Horioka Hypothesis For EU-15 and Turkey: Structural Break Dynamic Panel Data Analysis Under Cross Section Dependency

Year 2014, Volume: 14 Issue: 2, 231 - 246, 01.05.2014

Mehmet Mercan

Abstract

Investments and savings are significant macroeconomic determiners for countries to maintain their sustainable economic growth. Although investment-saving relationship is subject to many studies, Feldstein-Horioka (1980) explain the investment-saving relationship with international capital mobility. They suggest that investments will be financed with domestic savings and investment-saving relationship will be strong, otherwise there will be no relationship or the relationship will be in the low level in the case of restrictions on capital movements.In this study Feldstein-Horioka (F-H) hypothesis was tested with the new generation dynamic panel data analysis considering the structural breaks in EU-15 countries and Turkey. Unit root and cointegration tests considering the hypothesis that a macroeconomic shock in a country would affect the other countries, in other words the cross sectional dependency were implemented in this analysis. As a result of the analysis , for the countries overall a weak cointegration relationship between investment-saving series was obtained and it was found that F-H hypothesis is valid for these countries. However, it was found that the level of savings to meet investments was lower in the short term analysis

Keywords

Feldstein-Horioka hypothesis, saving rate, investment, capital movement, cross section dependency

Feldstein-Horioka Hipotezinin AB-15 ve Türkiye Ekonomisi için Sınanması: Yatay Kesit Bağımlılığı Altında Yapısal Kırılmalı Dinamik Panel Veri Analizi

Abstract

Yatırım ve tasarruflar ülkelerin sürdürülebilir ekonomik büyümeyi sağlayabilmelerinde önemli makroekonomik belirleyicilerdir. Yatırım-tasarruf ilişkisi birçok çalışmaya konu olmakla birlikte Feldstein-Horioka (1980), yatırım-tasarruf ilişkisini uluslararası sermaye hareketliliği ile izah etmektedir. Sermaye hareketleri üzerinde kısıtlamaların olduğu durumda, yatırımların yurt içi tasarruflarla finanse edileceğini ve yatırımtasarruf ilişkisinin güçlü olacağını, aksi takdirde ilişkinin olmayacağını ya da düşük düzeyde olacağı savını öne sürmektedir. Bu çalışmada; Feldstein-Horioka (F-H) hipotezi, AB ülkeleri ve Türkiye Ekonomisi örneğinde yapısal kırılmaları dikkate alan yeni nesil dinamik panel veri analizi ile sınanmıştır. Analizde, herhangi bir ülkede meydana gelen bir makroekonomik şokun diğer ülkeleri de etkileyeceği varsayımını yani yatay kesit bağımlılığını dikkate alan birim kök ve eş-bütünleşme testleri uygulanmıştır. Analiz sonucunda ülkelerin geneli için yatırım-tasarruf serileri arasında zayıf eş-bütünleşme ilişkisi elde edilmiş ve bu ülkelerde F-H hipotezinin geçerli olduğu bulgusu elde edilmiştir. Kısa dönem analizinde ise tasarrufların yatırımları karşılama düzeyinin daha düşük olduğu görülmüştür

Keywords

Feldstein-Horioka hipotezi, tasarruf oranları, yatırımlar, sermaye hareketleri, yatay kesit bağımlılığı

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