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DÖVİZ KURUNDAKİ DALGALANMANIN DOĞRUDAN YABANCI SERMAYE YATIRIMLARI ÜZERİNDEKİ ETKİSİ: TÜRKİYE ÜZERİNE BİR UYGULAMA

Year 2017, Volume: 16 Issue: 60, 1 - 18, 25.01.2017

Hacı Mehmet Taşcı Recep Düzgün

https://doi.org/10.17755/esosder.289647
Cited By: 2

Abstract

ÖZ

Çalışmada, döviz kuru dalgalanmasının doğrudan yabancı sermaye yatırımları üzerindeki etkisi 1970-2014 dönemine ait veriler kullanılarak incelenmiştir. Çalışmanın amacı, söz konusu iki değişken arasındaki ilişkiyi Türkiye bağlamında test etmek ve ampirik literatüre katkı sağlamaktır. Ampirik analizde, reel döviz kuru, enflasyon ve kişi başına düşen gayri safi yurtiçi hasıladan oluşan kontrol değişkenlerine yer verilmiştir. Çalışmada, sırasıyla döviz kuru için volatilite analizi, serilere ait durağanlık testleri ve kurulan modele ait eş-bütünleşme testlerinden sonra modelin uzun dönem katsayıları yapısal kırılmaları da dikkate alarak Dinamik OLS yaklaşımı kullanılarak elde edilmiştir. Tahmin sonuçlarına göre, döviz kuru dalgalanmasının, reel döviz kurunun ve kişi başına düşen gayri safi yurtiçi hasılanın doğrudan yabancı yatırımlar üzerindeki etkisi, kırılmaya bağlı olarak alt dönemlerde farklılık arz etmektedir. Söz konusu değişkenlerin etkisi, kimi dönemde pozitif kimi dönemde ise negatif çıkmıştır. 

References

  • Altıntaş, H. (2009). Türkiye’de Doğrudan Yabancı Sermaye Girişi ve Dış Ticaret Arasındaki İlişkinin Ekonometrik Analizi: 1996-2007. Ankara Üniversitesi Siyasal Bilgiler Fakültesi Dergisi, 64(2), 1-30.
  • Amuedo, C. and Pozo, D. S. (2010). Foreign Exchange Rates and Foreign Direct Investment ın The United States. The International Trade Journal, XV(3), 323-343.
  • Bal, H. ve Göz, D. (2010). Doğrudan Yabancı Sermaye Yatırımları ve Türkiye. Ç.Ü. Sosyal Bilimler Enstitüsü Dergisi, 19(2), 450-467.
  • Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics (31), 307–327
  • Brzozowski, M. (2006). Exchange Rate Variability and Foreign Direct Investment: Consequences of EMU Enlargement. Eastern European Ecenomics, (44), 5-24.
  • BRUEGEL, (2016), http://www.bruegel.org/datasets, (Erişim Tarihi: 25.05.2016).
  • Carrion-i-Silvestre, J. L., Kim, D., & Perron, P. (2009). GLS-Based Unit Root Tests with Multiple Structural Breaks Under Both the Null and the Alternative Hypotheses. Econometric Theory, (25), 1754-1792.
  • Cavallari, L. and d’Addona, S. (2013). Nominal and Real Volatility as Determinants of FDI. Applied Economics, (45), 2603-2610.
  • Chakrabarti, R. and Scholnick, B. (2002). Exchange Rate Expectations and Foreign Direct Investment Flows. Review of World Economics, (138), 1-21.
  • Cushman, D. O. (1985). Real Exchange Rate Risk, Expectations, and the Level of Direct Investment. The Review of Economics and Statistics, 67(2), 297-308.
  • Dursun, G. (2015). Türkiye’de Reel Döviz Kuru Belirsizliği ve Yurtiçi Yatırımlar. Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 10(1), 99-118.
  • Engle, R. F. and Granger, C. W. J. (1987). Co-integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55 (2), 251-276.
  • Erçakar, M. E. ve Karagöl, E. T. (2011). Türkiye’de Doğrudan Yabancı Yatırımlar. SETA Analiz, Sayı. 33.
  • http://arsiv.setav.org/ups/dosya/65109.pdf, (Erişim Tarihi: 22.02.2016).
  • Erdal, F. and Tataoğlu, E. (2002). Locational Determinants of Foreign Direct Investment in an Emerging Market Economy: Evidence from Turkey. Multinational Business Review, 10(1), 21-27.
  • Eşiyok, B. (2011). Determinants of Foreign Direct Investment ın Turkey: A Panel Study Approach, MPRA Paper, No. 36568, https://mpra.ub.uni-muenchen.de/36568/1/MPRA_paper_36568.pdf, (Erişim Tarihi: 22.02.2016).
  • Enders, W. (2015). Applied Econometric Time Series, 4.baskı, John Wiley & Son Ltd.
  • Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, (50), 987–1007.
  • Engle, R. F. (1990). Discussion: Stock Market Volatility and the Crash of ’87. Review of Financial Studies, (3), 103-106.
  • Gregory, A. W. and Bruce E. H. (1996a). Residual-Based Tests for Cointegration in Models with Regime Shifts. Journal of Econometrics 70(1), 99-126.
  • Gregory, A. W. and Bruce E. H. (1996b). Tests for Cointegration in Models with Regime and Trend Shifts. Oxford Bulletin of Economics and Statistics 58(3), 555-60.
  • Goldberg, L. S. and Kolstad, C. D. (1995). Foreign Direct Investment, Exchange Rate Variability and Demand Uncertainty. International Economic Review, 36(4), 855-873.
  • Hatemi-J. A. (2008). Tests for Cointegration with Two Unknown Regime Shifts with an Application to Financial Market Integration. Empirical Economics, 135(3), 497-505.
  • Higgins, M. L. and Bera, A. K. (1992). A class of Non-Linear ARCH Models. International Economic Review, (33), 137–158.
  • Khraiche, M. and Gaudette, J. (2013). FDI, Exchange Rate Volatility and Financial Development: Regional Differences ın Emerging Economies. Economics Bulletin, 33(4), 3143-3156.
  • Kinda, T. (2013). Beyond Natural Resources: Horizontal and Vertical Diversification in Sub-Saharan Africa. Applied Economics. (45), 3587-3598.
  • Kiyato, K. and Urata, S. (2004). Exchange Rate, Exchange Rate Volatility and Foreign Direct Investment. The World Economy, 27(10), 1501-1536.
  • Lee, J. & Strazicich, M. C. (2003). Minimum Lagrange Multiplier Unit Root Test With Two Structural Breaks. The Review of Economics and Statistics, 85(4), 1082-1089.
  • Lizardo, R. (2009). Exchange Rate Volatility in Latin American and The Caribbean Region: Evidence from 1985-2005. The Journal of International Trade & Economic Development, 18(2), 255-273.
  • Lumsadaine, R. L. and Papel, D. H. (1997). Multiple trend breaks and the unit-root hypothesis. The Review of Economics and Statistics, 79(2), 212-218.
  • Mills, T. C. and Markellos, R. N. (2008). The Econometric Modelling of Financial Time Series. 3.Baskı. Cambridge University Press.
  • Ng, S. and Perron, P. (1995). Unit Root Tests in ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag. Journal of the American Statistical Association, (90), 268-281.
  • OECD (2016), http://stats.oecd.org, (Erişim Tarihi: 20.04.2016).
  • Phillips, P. C. B. and Hansen, B. E. (1990). Statistical Inference in Instrumental Variables Regression with I(1) Processes. Review of Economic Studies, (57), 99-125.
  • Polat, B. and Payaslıoğlu, C. (2016). Exchange Rate Uncertainty and FDI Inflow: The Case of Turkey. Asia-Pacific Journal of Accounting & Economics, 23(1), 112-129.
  • Stock, J. H. and Watson, M. W. (1993). A Simple Estimator of Cointegration Vectors in Higher Order Integrated Systems. Econometrica, (61), 783–820.
  • TCMB, (2015). Ödemeler Dengesi ile İlgili İstatistikler, www.tcmb.gov.tr, (Erişim Tarihi: 25.02.2016).
  • UNTACD, (2015). World Investment Report 2015, www.untacd.org, (Erişim Tarihi: 25.02.2016).
  • Yakupoğlu, A. (2011). Dalgalı Kur Rejiminin Merkez Bankası’nın Döviz Varlık ve Yükümlülüklerine Etkisi: 2002-2010. Maliye Finans Yazıları, 25(91), 21-45.
  • YASED, (2015). Uluslararası Doğrudan Yatırımlar Değerlendirme Raporu. www.yased.org, (Erişim Tarihi: 25.02.2016).
  • Zivot, E. & Andrews, D. (1992). Further Evidence on the Great Crash, the Oil-Price Shock and the Unit-Root Hypothesis. Journal of Business Economic Statistics, 10(3), 251-270.

Year 2017, Volume: 16 Issue: 60, 1 - 18, 25.01.2017

Hacı Mehmet Taşcı Recep Düzgün

https://doi.org/10.17755/esosder.289647
Cited By: 2

Abstract

References

  • Altıntaş, H. (2009). Türkiye’de Doğrudan Yabancı Sermaye Girişi ve Dış Ticaret Arasındaki İlişkinin Ekonometrik Analizi: 1996-2007. Ankara Üniversitesi Siyasal Bilgiler Fakültesi Dergisi, 64(2), 1-30.
  • Amuedo, C. and Pozo, D. S. (2010). Foreign Exchange Rates and Foreign Direct Investment ın The United States. The International Trade Journal, XV(3), 323-343.
  • Bal, H. ve Göz, D. (2010). Doğrudan Yabancı Sermaye Yatırımları ve Türkiye. Ç.Ü. Sosyal Bilimler Enstitüsü Dergisi, 19(2), 450-467.
  • Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics (31), 307–327
  • Brzozowski, M. (2006). Exchange Rate Variability and Foreign Direct Investment: Consequences of EMU Enlargement. Eastern European Ecenomics, (44), 5-24.
  • BRUEGEL, (2016), http://www.bruegel.org/datasets, (Erişim Tarihi: 25.05.2016).
  • Carrion-i-Silvestre, J. L., Kim, D., & Perron, P. (2009). GLS-Based Unit Root Tests with Multiple Structural Breaks Under Both the Null and the Alternative Hypotheses. Econometric Theory, (25), 1754-1792.
  • Cavallari, L. and d’Addona, S. (2013). Nominal and Real Volatility as Determinants of FDI. Applied Economics, (45), 2603-2610.
  • Chakrabarti, R. and Scholnick, B. (2002). Exchange Rate Expectations and Foreign Direct Investment Flows. Review of World Economics, (138), 1-21.
  • Cushman, D. O. (1985). Real Exchange Rate Risk, Expectations, and the Level of Direct Investment. The Review of Economics and Statistics, 67(2), 297-308.
  • Dursun, G. (2015). Türkiye’de Reel Döviz Kuru Belirsizliği ve Yurtiçi Yatırımlar. Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 10(1), 99-118.
  • Engle, R. F. and Granger, C. W. J. (1987). Co-integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55 (2), 251-276.
  • Erçakar, M. E. ve Karagöl, E. T. (2011). Türkiye’de Doğrudan Yabancı Yatırımlar. SETA Analiz, Sayı. 33.
  • http://arsiv.setav.org/ups/dosya/65109.pdf, (Erişim Tarihi: 22.02.2016).
  • Erdal, F. and Tataoğlu, E. (2002). Locational Determinants of Foreign Direct Investment in an Emerging Market Economy: Evidence from Turkey. Multinational Business Review, 10(1), 21-27.
  • Eşiyok, B. (2011). Determinants of Foreign Direct Investment ın Turkey: A Panel Study Approach, MPRA Paper, No. 36568, https://mpra.ub.uni-muenchen.de/36568/1/MPRA_paper_36568.pdf, (Erişim Tarihi: 22.02.2016).
  • Enders, W. (2015). Applied Econometric Time Series, 4.baskı, John Wiley & Son Ltd.
  • Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, (50), 987–1007.
  • Engle, R. F. (1990). Discussion: Stock Market Volatility and the Crash of ’87. Review of Financial Studies, (3), 103-106.
  • Gregory, A. W. and Bruce E. H. (1996a). Residual-Based Tests for Cointegration in Models with Regime Shifts. Journal of Econometrics 70(1), 99-126.
  • Gregory, A. W. and Bruce E. H. (1996b). Tests for Cointegration in Models with Regime and Trend Shifts. Oxford Bulletin of Economics and Statistics 58(3), 555-60.
  • Goldberg, L. S. and Kolstad, C. D. (1995). Foreign Direct Investment, Exchange Rate Variability and Demand Uncertainty. International Economic Review, 36(4), 855-873.
  • Hatemi-J. A. (2008). Tests for Cointegration with Two Unknown Regime Shifts with an Application to Financial Market Integration. Empirical Economics, 135(3), 497-505.
  • Higgins, M. L. and Bera, A. K. (1992). A class of Non-Linear ARCH Models. International Economic Review, (33), 137–158.
  • Khraiche, M. and Gaudette, J. (2013). FDI, Exchange Rate Volatility and Financial Development: Regional Differences ın Emerging Economies. Economics Bulletin, 33(4), 3143-3156.
  • Kinda, T. (2013). Beyond Natural Resources: Horizontal and Vertical Diversification in Sub-Saharan Africa. Applied Economics. (45), 3587-3598.
  • Kiyato, K. and Urata, S. (2004). Exchange Rate, Exchange Rate Volatility and Foreign Direct Investment. The World Economy, 27(10), 1501-1536.
  • Lee, J. & Strazicich, M. C. (2003). Minimum Lagrange Multiplier Unit Root Test With Two Structural Breaks. The Review of Economics and Statistics, 85(4), 1082-1089.
  • Lizardo, R. (2009). Exchange Rate Volatility in Latin American and The Caribbean Region: Evidence from 1985-2005. The Journal of International Trade & Economic Development, 18(2), 255-273.
  • Lumsadaine, R. L. and Papel, D. H. (1997). Multiple trend breaks and the unit-root hypothesis. The Review of Economics and Statistics, 79(2), 212-218.
  • Mills, T. C. and Markellos, R. N. (2008). The Econometric Modelling of Financial Time Series. 3.Baskı. Cambridge University Press.
  • Ng, S. and Perron, P. (1995). Unit Root Tests in ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag. Journal of the American Statistical Association, (90), 268-281.
  • OECD (2016), http://stats.oecd.org, (Erişim Tarihi: 20.04.2016).
  • Phillips, P. C. B. and Hansen, B. E. (1990). Statistical Inference in Instrumental Variables Regression with I(1) Processes. Review of Economic Studies, (57), 99-125.
  • Polat, B. and Payaslıoğlu, C. (2016). Exchange Rate Uncertainty and FDI Inflow: The Case of Turkey. Asia-Pacific Journal of Accounting & Economics, 23(1), 112-129.
  • Stock, J. H. and Watson, M. W. (1993). A Simple Estimator of Cointegration Vectors in Higher Order Integrated Systems. Econometrica, (61), 783–820.
  • TCMB, (2015). Ödemeler Dengesi ile İlgili İstatistikler, www.tcmb.gov.tr, (Erişim Tarihi: 25.02.2016).
  • UNTACD, (2015). World Investment Report 2015, www.untacd.org, (Erişim Tarihi: 25.02.2016).
  • Yakupoğlu, A. (2011). Dalgalı Kur Rejiminin Merkez Bankası’nın Döviz Varlık ve Yükümlülüklerine Etkisi: 2002-2010. Maliye Finans Yazıları, 25(91), 21-45.
  • YASED, (2015). Uluslararası Doğrudan Yatırımlar Değerlendirme Raporu. www.yased.org, (Erişim Tarihi: 25.02.2016).
  • Zivot, E. & Andrews, D. (1992). Further Evidence on the Great Crash, the Oil-Price Shock and the Unit-Root Hypothesis. Journal of Business Economic Statistics, 10(3), 251-270.
There are 41 citations in total.

Details

Journal Section Articles
Authors

Hacı Mehmet Taşcı

Recep Düzgün This is me

Publication Date January 25, 2017
Submission Date June 6, 2016
Published in Issue Year 2017 Volume: 16 Issue: 60

Cite

APA Taşcı, H. M., & Düzgün, R. (2017). DÖVİZ KURUNDAKİ DALGALANMANIN DOĞRUDAN YABANCI SERMAYE YATIRIMLARI ÜZERİNDEKİ ETKİSİ: TÜRKİYE ÜZERİNE BİR UYGULAMA. Elektronik Sosyal Bilimler Dergisi, 16(60), 1-18. https://doi.org/10.17755/esosder.289647

Cited By

DÖVİZ KURU İLE PETROL FİYATLARI VE DOĞRUDAN YABANCI SERMAYE YATIRIMLARI ARASINDAKİ İLİŞKİ: G7 ÜLKELERİ ÜZERİNE BİR ANALİZ
Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
https://doi.org/10.18070/erciyesiibd.1209724
Türkiye’de Doğrudan Yabancı Yatırımlar ve Döviz Kuru Oynaklıkları Arasındaki İlişkiler: Simetrik ve Asimetrik Nedensellik Analizi (2001:M1-2020:M2)
Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi
Muharrem Akın DOĞANAY
https://doi.org/10.17153/oguiibf.887429

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