Abstract
The orthodox economic view regarding the relationship between the free international capital flows and economic growth is clear. Capital flows positively affect growth all around the world. That is, a causal relationship from capital flows to growth is assumed. However, recent empirical findings call the orthodox thinking into question since some authors reported no relationship between the international capital flows and growth and some other authors found causal relationship from growth to capital inflows. Finally, some truly shocking results such as negative relationship between capital inflows and growth are also reported. However, it is shown that a nonlinear relationship structure such as the regime-switching framework might allow for both negative- and positive-impact regimes of capital inflows on growth. Therefore, this paper had three aims. First aim was to find whether there exists any causal relationship between the capital flows and growth. Second aim was to investigate the direction possible causal relationship(s). Third aim was to check for possible nonlinearities in the possible causal relationship(s). We conducted a new nonparametric causality test which has the ability to capture nonlinear causalities on Turkish data. In conclusion, we reported that capital inflows Granger cause growth both linearly and nonlinearly. The causality relationship is unidirectional, i.e. runs only from capital inflows to growth but not the other way round. Hence, capital inflows and growth are not endogenous variables and growth is not a pull factor for international capital.
Keywords
Granger Causality Diks-Panchenko Test Pull Factors for Capital Flows Endogeneity Economic Growth
References
- AIZENMAN, Joshua, JINJARAK, Yothin and PARK, Donghyun (2011), “Capital Flows and Economic Growth in the Era of Financial Integration and Crisis, 1990-2010”, NBER Working Papers 17502.
- ALFARO, Laura, KALEMLİ-Özcan, Şebnem and VOLOSOVYCH, Vadym (2008), “International Capital Allocation, Sovereign Borrowing, and Growth,” Harvard Business School Working Paper.
- DEVEREUX, Michael B and, SUTHERLAND, Alan James (2009), “A Portfolio Model of Capital Flows to Emerging Markets,” Journal of Development Economics, 89(2), pp. 181–93.
- DIKS, Cees and PANCHENKO, Valentyn (2006), “A New Statistic and Practical Guidelines for Nonparametric Granger Causality Testing”, Journal of Economic Dynamics and Control, 30, pp.1647-1669.
- GHOSH, Atish, KIM, Jun, QURESHI, Mahvash S, and ZALDUENDO Juan (2012), “Surges”, IMF Working Paper, 12/22.
- GILES, Dave (2012), “Beware of Tests for Nonlinear Granger Causality”, http://davegiles.blogspot. com/2012/07/beware-of-tests-for-nonlinear-granger.html (03.12.2013).
- GOURINCHAS, Pierre-Olivier and JEANNE, Olivier (2007), “Capital Flows to Developing Countries, The Allocation Puzzle”, NBER Working Papers, 13602.
- HERNANDEZ Manuel and TORERO, Maximo (2010), “Examining the Dynamic Relationship between Spot and Future Prices of Agricultural Commodities”, IFPRI Discussion Paper, 00988.
- HIEMSTRA, Craig and JONES, Jonathan D (1994), “Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation”, Journal of Finance, 49, no. 5,p p.1639–1664.
- KÖSE, Ayhan, PRASAD, Eswar, ROGOFF Kenneth and WEI Shang-Jin (2006), “Financial Globalisation, A Reappraisal”, International Monetary Fund Working Paper, 06/189.
- LIU, Yan and BAHADORI, Mohammad Taha (2012), “A Survey on Granger Causality: A Computational View” University of Southern California, http://www-bcf.usc.edu/~liu32/granger.pdf (12. 03.2013).
- MODY, Ashoka and ANTU, Panini Murshid (2011), “Growth from International Capital Flows: The Role of Volatility Regimes”, IMF Working Paper, 11/90.
- PRASAD, Eswar, RAJAN Raghuram, and SUBRAMANIAN Arvind (2007), “The Paradox of Capital”, Finance and Development, 44(1), pp.16-19.
- SANDRI, Damiano (2010), “Growth and Capital Flows With Risky Entrepreneurship,” IMF Working Paper 10/37.
- SÖYLEMEZ, Arif Orçun and YILMAZ, Ahmet (2013), “Türkiye Ekonomisinde Finansal Serbestleşme Döneminde Uluslararası Sermaye Girişi – Büyüme İlişkisi”, forthcoming in T.C. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi.
TÜRKİYE’DE ULUSLARARASI SERMAYE HAREKETLERİ VE EKONOMİK BÜYÜME ARASINDAKİ DOĞRUSAL OLMAYAN NEDENSELLİK İLİŞKİSİ
Abstract
Serbest uluslararası sermaye hareketleri ile büyüme arasındaki ilişki hakkındaki yerleşik iktisadi
görüş açıktır: Sermaye hareketleri dünyanın her yerinde büyümeyi olumlu etkiler. Yani sermaye hareketlerinden
büyümeye doğru bir nedensellik ilişkisi varsayılır. Ancak bazı yazarlar uluslararası
sermaye akımları ile büyüme arasında hiçbir ilişki raporlamadığı, başka bazı yazarlar ise büyümeden
sermaye akımlarına doğru bir nedensellik saptadığı için yakın zamandaki ampirik bulgular bu
yerleşik düşünüşü sorgulamaya açmaktadır. Nihayet, sermaye girişleri ile büyüme arasında olumsuz
ilişki gibi bazı gerçekten şok edici sonuçlar da raporlanmıştır. Yine de rejim değişikliği gibi
doğrusal olmayan bir yapının, sermaye girişlerinin büyüme üzerindeki etkisinin negatif ve pozitif
olduğu farklı rejimlere izin verebileceği gösterilmiştir. Bu nedenle çalışmanın üç amacı vardır. İlk
hedef, sermaye akımları ile büyüme arasında herhangi bir nedensellik ilişkisinin olup olmadığının
bulunması. İkinci hedef, muhtemel nedensellik ilişkisinin(ya da ilişkilerinin) yönünün araştırılması.
Üçüncü hedef, muhtemel nedensellik ilişkisinde (ya da ilişkilerinde) potansiyel doğrusal olmama
durumlarının kontrol edilmesi. Türkiye verisi üzerinde doğrusal olmayan nedensellik ilişkilerini yakalama
yeteneğine sahip yeni bir parametrik olmayan test uyguladık. Sonuç olarak, sermaye hareketlerinin
büyümenin hem doğrusal hem de doğrusal olmayan Granger nedeni olduğunu raporladık.
Bu nedensellik ilişkisi tek taraflıdır, yani sermaye girişlerinden büyümeye doğrudur ama tersi yönde
gerçekleşmemektedir. Bu nedenle, Türkiye’de sermaye akımları ile büyüme içsel değişkenler değildir
ve büyüme uluslararası sermaye için bir çekim faktörü değildir.
Keywords
Granger Nedenselliği Diks-Panchenko Testi Sermaye Akımlarını Çeken Faktörler İçsellik Ekonomik Büyüme
References
- AIZENMAN, Joshua, JINJARAK, Yothin and PARK, Donghyun (2011), “Capital Flows and Economic Growth in the Era of Financial Integration and Crisis, 1990-2010”, NBER Working Papers 17502.
- ALFARO, Laura, KALEMLİ-Özcan, Şebnem and VOLOSOVYCH, Vadym (2008), “International Capital Allocation, Sovereign Borrowing, and Growth,” Harvard Business School Working Paper.
- DEVEREUX, Michael B and, SUTHERLAND, Alan James (2009), “A Portfolio Model of Capital Flows to Emerging Markets,” Journal of Development Economics, 89(2), pp. 181–93.
- DIKS, Cees and PANCHENKO, Valentyn (2006), “A New Statistic and Practical Guidelines for Nonparametric Granger Causality Testing”, Journal of Economic Dynamics and Control, 30, pp.1647-1669.
- GHOSH, Atish, KIM, Jun, QURESHI, Mahvash S, and ZALDUENDO Juan (2012), “Surges”, IMF Working Paper, 12/22.
- GILES, Dave (2012), “Beware of Tests for Nonlinear Granger Causality”, http://davegiles.blogspot. com/2012/07/beware-of-tests-for-nonlinear-granger.html (03.12.2013).
- GOURINCHAS, Pierre-Olivier and JEANNE, Olivier (2007), “Capital Flows to Developing Countries, The Allocation Puzzle”, NBER Working Papers, 13602.
- HERNANDEZ Manuel and TORERO, Maximo (2010), “Examining the Dynamic Relationship between Spot and Future Prices of Agricultural Commodities”, IFPRI Discussion Paper, 00988.
- HIEMSTRA, Craig and JONES, Jonathan D (1994), “Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation”, Journal of Finance, 49, no. 5,p p.1639–1664.
- KÖSE, Ayhan, PRASAD, Eswar, ROGOFF Kenneth and WEI Shang-Jin (2006), “Financial Globalisation, A Reappraisal”, International Monetary Fund Working Paper, 06/189.
- LIU, Yan and BAHADORI, Mohammad Taha (2012), “A Survey on Granger Causality: A Computational View” University of Southern California, http://www-bcf.usc.edu/~liu32/granger.pdf (12. 03.2013).
- MODY, Ashoka and ANTU, Panini Murshid (2011), “Growth from International Capital Flows: The Role of Volatility Regimes”, IMF Working Paper, 11/90.
- PRASAD, Eswar, RAJAN Raghuram, and SUBRAMANIAN Arvind (2007), “The Paradox of Capital”, Finance and Development, 44(1), pp.16-19.
- SANDRI, Damiano (2010), “Growth and Capital Flows With Risky Entrepreneurship,” IMF Working Paper 10/37.
- SÖYLEMEZ, Arif Orçun and YILMAZ, Ahmet (2013), “Türkiye Ekonomisinde Finansal Serbestleşme Döneminde Uluslararası Sermaye Girişi – Büyüme İlişkisi”, forthcoming in T.C. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi.
Details
| Primary Language | Turkish |
|---|---|
| Journal Section | Makaleler |
| Authors | |
| Publication Date | February 4, 2014 |
| Submission Date | February 4, 2014 |
| Published in Issue | Year 2013 Volume: 4 Issue: 8 |
