FIELDSTEIN-HORIOKA YAKLAŞIMINA GÖRE TÜRKİYE'DE TASARRUF YATIRIM İLİŞKİSİ VE HATA DÜZELTME ANALİZİ (1962-2003)

Öz

Bu çalışmada Türkiye için Feldstein-Horioka yaklaşımına göre tasarruf yatırım ilişkisi araştırılmaktadır. 1962-2003 dönemini kapsayan çalışmada, hem Feldstein-Horioka’nın kullandığı model hem de Jansen-Schulze ve Jansen tarafından geliştirilmiş hata düzeltme modeli tahmin edilmiştir. Geleneksel regresyon modelinin sonucuna göre tasarruf tutum katsayının değerinin bire yakın olduğu saptanmıştır. Bu sonuç Feldstein-Horioka yaklaşımına göre, sermaye hareketliliğinin düşük olduğunun işaretidir. Hata düzeltme modelinin tahmin sonucuna göre tasarruf ile yatırımlar arasında istatistiksel açıdan anlamlı kısa ve uzun dönem ilişkisi tespit edilmiştir. Her iki modelin sonucu birbiri ile tutarlıdır ve Türkiye’de tam bir sermaye hareketliliğinin bahsedilemez.

References

1. Baxter, M., Crucini, M.J. (1993). “Explaining Saving-Investment Correlations”, The American Economic Review 83, pp.416-436.
2. Davidson, J.E.H., Hendry, D.F., Srba, F., Yeo, S. (1978). “Econometric modelling of the aggregate time- series relationship between consumers’ expenditure and income in the United Kingdom”, Economic Journal 88, pp.661-692.
3. Dickey, D. A., Fuller, W. A. (1979), “Distribution of The Estimators for Autoregressive Time Series With a Unit Rcot”, Journal of the American Statistical Association 74, pp 427- 431
4. Enders W. (1995). Applied Econometric Time Series, John Wiley and Sons, New York.
5. Engle, R.F., Granger, C.W.J. (1987). “Cointegration and error correction: representation estimation and testing”, Econometrica 55, pp.251-276.
6. Engle,R., Granger, C.W.J. (1987). “Cointegration and Error-Correction: Representation Estimation and Testing.” Econometrica 55(2), pp. 251-276.
7. Feldstein, M.S. (1983). “Domestic Saving and Internatinal Capital Movementsin the Long Run and Short Run”, European Economic Review 21, pp.129-151.
8. Feldstein, M.S., (1983). “Domestic Saving and International Capital Movements in the Long Run”, European Economic Review 21, pp.129-151.

9. Feldstein, M.S., Bacchetta, P.. (1991). National Saving and International Investment, “In National Saving and Economic Performance ”, Editörler: B. Douglas Bernheim and John B. Shoven. Chicago, University of Chicago Press, pp. 201-226.
10. Feldstein, M.S., Horioka, C.Y. (1980), “Domestic Saving and International Capital Flows.” Economic Journal 90, pp.314-329.
11. Ho, T-w., Chiu R-L. (2001). “Country Sıze and Investment-Saving Correlation: A Panel Threshold Error Correction model”. Eastern Economic Journal 27, pp. 481-491.
12. Jansen, W.J.(1996), “Estimating Saving-Investment Correlations: Evidence for OECD Countries Based on an Error Correction Model.” Journal of International Money and Finance 15, pp.749-781.
13. Jansen, W.J., Schulze G.G. (1996),“Theory-based mesaurement of the savings- invesment correlation with and application to Norway.” Economic Inquiry 34, pp.116-132.
14. Kremers, J.,Ericsson, N., Dolado,J. (1992), “The power of cointegration tests.” Oxford Bulletin of Economics and Statistics 54, pp.219-238.
15. Krol, R. (1996). “International Capital Mobility: Evidence from Panal Data”, Journal of International Money and Finance 15, pp.467-474.
16. Murphy, R.G. (1984). “Capital Mobility and Relationship between Saving and Investment in OECD Countries”, Journal of International Money and Finance 3, pp. 327-342.
17. Murphy, R.G., Navajas,F.(1998). “Domestic Savings, Public Savings and Expenditures on Consumer Durable Goods in Argentina”, Journal of Development Economics 57, pp.97-116.
18. Özmen, E., Parmaksız, K. (2003). “Policy Regime Change and The Feldstein-Horioka Puzzle: The UK Evidence”, Journal of Policy Modeling 25, pp.137-149.
19. Pelagidis, T., Mastroyiannis, T. (2003), “The saving-investment correlation in Geece, 1960-1997: implications for capital mobility.” Journal of Policy Modeling 25, pp.609-616.
20. Perron, P.(1989). “The Great Crash, the Oil Shock and Unit Root Hypothesis”, Econometrica 57, 1361-1402.
21. Phillips, P., Perron P. (1988) “Testing for a unit root in the time series regression”, Biometrica 75, pp. 335-346.
22. Sinha, T., Sinha, D., (2004). “The mother of all puzzles would not go away.” Economics Letters 82, pp.259-267.
23. Sinn, S. (1992). “Saving-Investment Correlation and Capital Mobility: On the Evidence from Annual Data.”Economic Journal 102, pp.1162-1170.
24. Van-Rensselaer, K.N., Copeland, J.B. (2000). “Saving and Investment Rates in Latin America: An Error Correction Analysis”, Journal of Economics and Finance 24, pp.195-205.
25. Vita, G.D., Abbott, A. (2002). “Are Saving and Investment Cointegrated? An ARDL Bounds Testing Approach”, Economics Letters 77, pp.293-299.