Küresel Belirsizliğin Makroekonomik Etkileri: Seçilmiş Ülkeler için Karşılaştırmalı Bir Analiz

Abstract

Dünya ekonomilerinin iktisadi, sosyal ve politik anlamda daha yüksek bir küreselleşme düzeyine ulaşması, ülkeleri küresel gelişmelere daha duyarlı hale getirmektedir. Bu süreç, ülkelerin kendi iç dinamiklerinden kaynaklanan belirsizliklere ek olarak küresel belirsizlik şoklarının yıkıcı etkilerine daha fazla maruz kalmalarına neden olmaktadır. Bu çalışmanın amacı küresel belirsizliğin temel makroekonomik değişkenler üzerindeki etkilerini farklı gelişme düzeyindeki ülkeler için karşılaştırmalı olarak analiz etmektedir. Küresel belirsizliğin makroekonomik etkileri G7, yükselen piyasa ekonomileri ve düşük gelirli ülkeler için araştırılmıştır. Kullanılan veri seti 1990-2019 dönemi yıllık verilerinden oluşmaktadır. CS-ARDL tahmin sonuçlarına göre küresel belirsizlik G7 ülkelerinde yatırım ve ihracatı negatif yönde etkilemektedir. Ancak bu etki kısa dönemlidir ve uzun dönemde anlamlı bir ilişki bulunmamaktadır. Yükselen piyasa ekonomileri ve düşük gelirli ülkelerde ise çıktı düzeyi, yatırım ve ihracat değişkenleri uzun dönemde negatif yönde etkilenmektedir. Tüketim ve fiyat düzeyi üzerinde ise tüm ülke grupları için anlamlı bir etki bulunmamaktadır.

Keywords

• Küresel belirsizlik
• makroekonomik performans
• tersinmezlik
• CS-ARDL yöntemi

Macroeconomic Effects of Global Uncertainty: A Comparative Analysis for Selected Countries

Abstract

The fact that world economies have reached a higher level of globalization in economic, social, and political terms makes countries more sensitive to global events. This process causes countries to be more exposed to the destructive effects of global uncertainty shocks in addition to the uncertainties arising from their own internal dynamics. The aim of this study is to comparatively analyze the effects of global uncertainty on key macroeconomic variables for countries at different levels of development. The macroeconomic effects of global uncertainty are examined for the G7, emerging market economies and low-income countries. The data set used consists of annual data for the period 1990-2019. According to CS-ARDL estimation results, global uncertainty affects investment and export negatively in G7 countries. However, this effect is short-term and there is no significant relationship in the long-term. In emerging market economies and low-income countries, output level, investment and export variables are negatively affected in the long run. There is no significant effect on consumption and price level for all country groups.

Keywords

• Global uncertainty
• macroeconomic performance
• irreversibility
• CS-ARDL method

References

1. Ahiadorme, J. W. (2021). On the aggregate effects of global uncertainty: Evidence from an emerging economy. South African Journal of Economics, 1-18.
2. Akerlof, G. A., & Shiller, R. J. (2009). Animal spirits: How human psychology drives the economy, and why it matters for global capitalism. Princeton University press.
3. Alada, A. D. (2000). İktisat Felsefesi ve Belirsizlik. Ankara: Bağlam Yayıncılık.
4. Alada, A. D. (2012). Keynes'in İktisat Felsefesinde Belirsizlik Kavramının Yeri Üzerine Düşünceler (Ed. Akalın U. S., İncekara, A. & Akalın, G.). Keynes’in Genel Teorisi Üzerine içinde (s. 151-184). İstanbul: Kalkedon Yayınları.
5. Ambashi, M. (2019). Global Uncertainty, Shocks, and Macroeconomic Performance: The Cases of Indonesia, Malaysia, the Philippines, and Thailand (June 5, 2019). Available at SSRN: https://ssrn.com/abstract=3399415
6. Aslan, Ç., & Acikgoz, S. (2021). Analysis of global economic policy uncertainty and export flows for emerging markets with panel VAR modeling. International Journal of Emerging Markets.
7. Bachmann, R., Elstner, S., & Sims, E. R. (2013). Uncertainty and economic activity: Evidence from business survey data. American Economic Journal: Macroeconomics, 5(2), 217-49.
8. Baltagi, B. H., & Hashem Pesaran, M. (2007). Heterogeneity and cross section dependence in panel data models: theory and applications introduction. Journal of Applied Econometrics, 22(2), 229-232.

9. Berger, T., Grabert, S., & Kempa, B. (2017). Global macroeconomic uncertainty. Journal of Macroeconomics, 53, 42-56.
10. Bernanke, B. S. (1983). Irreversibility, uncertainty, and cyclical investment. The quarterly journal of economics, 98(1), 85-106.
11. Bloom, N. (2007). Uncertainty and the Dynamics of R&D. American Economic Review, 97(2), 250-255.
12. Bloom, N. (2014). Fluctuations in uncertainty. Journal of Economic Perspectives, 28(2), 153-176.
13. Bloom, N. (2017). Observations on uncertainty. Australian Economic Review, 50(1), 79-84.
14. Bonciani, D., & M. Ricci (2018). The global effects of global risk and uncertainty. European Central Bank Working Paper No. 2179.
15. Born, B., & Pfeifer, J. (2014). Policy risk and the business cycle. Journal of Monetary Economics, 68, 68-85.
16. Breitung, J. (2005). A parametric approach to the estimation of cointegration vectors in panel data. Econometric Reviews, 24(2), 151-173.
17. Bulutay, T. (1983). İktisat Kuramı ve Belirsizlik. Prof. Fehmi Yavuz’a Armağan içinde (s. 273-314). Ankara: Ankara Üniversitesi Siyasal Bilgiler Fakültesi Yayınları.
18. Caggiano, G., Castelnuovo, E., & Kima, R. (2020). The global effects of Covid-19-induced uncertainty. Economics Letters, 194, 109392.
19. Canh, N. P., Binh, N. T., Thanh, S. D., & Schinckus, C. (2020). Determinants of foreign direct investment inflows: The role of economic policy uncertainty. International Economics, 161, 159-172.
20. Carrière-Swallow, Y., & Céspedes, L. F. (2013). The impact of uncertainty shocks in emerging economies. Journal of International Economics, 90(2), 316-325.
21. Castelnuovo, E. (2019). Domestic and global uncertainty: A survey and some new results. CESifo Working Paper, no. 7900.
22. Chudik, A., & Pesaran, M. H. (2013). Large panel data models with cross-sectional dependence: a survey. CESifo Working Paper Series, No. 4371.
23. Chudik, A., & Pesaran, M. H. (2015). Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors. Journal of econometrics, 188(2), 393-420.
24. Chudik, A., Mohaddes, K., Pesaran, M. H., & Raissi, M. (2016). Long-run effects in large heterogeneous panel data models with cross-sectionally correlated errors. Emerald Group Publishing Limited.
25. Cuaresma, J. C., Huber, F., & Onorante, L. (2019). The macroeconomic effects of international uncertainty. European Central Bank Working Paper Series, No: 2302.
26. Czarnitzki, D., & Toole, A. A. (2011). Patent protection, market uncertainty, and R&D investment. The Review of Economics and Statistics, 93(1), 147-159.
27. Dahlberg, S., Sundström, A., Holmberg, S., Rothstein, B., Alvarado Pachon, N., & Dalli, C. M. (2021). The Quality of Government Basic Dataset, Version Jan21. University of Gothenburg: The Quality of Government Institute, http://www. qog. pol. gu. se doi, 10.
28. Darvas, Z. (2021). Timely measurement of real effective exchange rates. Working Paper 2021/15, Bruegel.
29. Delrio, S. (2016). Estimating the effects of global uncertainty in open economies. Available at SSRN 2832727.
30. Demers, F. S., Demers, M. & Altug, S. (2003). Investment dynamics (Ed. Altug, S., Chadha, J. S., & Nolan, C.). Dynamic macroeconomic analysis: Theory and policy in general equilibrium içinde (s. 34-154). Cambridge University Press.
31. Dequech, D. (1999). Expectations and confidence under uncertainty. Journal of Post Keynesian Economics, 21(3), 415-430.
32. Dhaene, G., & Jochmans, K. (2015). Split-panel jackknife estimation of fixed-effect models. The Review of Economic Studies, 82(3), 991-1030.
33. Dixit, A. K. & Pindyck, R. S. (1994). Investment under uncertainty. Princeton University press.
34. Feenstra, R. C., Inklaar, R., & Timmer, M. P. (2015). The next generation of the Penn World Table. American economic review, 105(10), 3150-82. Available for download at www.ggdc.net/pwt.
35. Hall, B. H., & Lerner, J. (2009). The Financing of R&D and Innovation (No. w15325). National Bureau of Economic Research.
36. IMF (2021). Fiscal Monitor. https://www.imf.org/en/Publications/FM (Erişim tarihi: 30.12.2021).
37. Kang, W., Ratti, R. A., & Vespignani, J. (2020). Impact of global uncertainty on the global economy and large developed and developing economies. Applied Economics, 52(22), 2392-2407.
38. Kazarosian, M. (1997). Precautionary savings—a panel study. Review of Economics and Statistics, 79(2), 241-247.
39. Keynes, J. M. (1964). The General Theory of Employment, Interest, and Money. New York: Harcourt Brace Jovanovich, Inc.
40. Kirchner, S. (2019). State of confusion: Economic policy uncertainty and international trade and investment. Australian Economic Review, 52(2), 178-199.
41. Leduc, S., & Liu, Z. (2012). Uncertainty, unemployment, and inflation. FRBSF Economic Letter, 28.
42. Lucas Jr, R. E. (1988). On the mechanics of economic development. Journal of monetary economics, 22(1), 3-42.
43. Ludvigson, S. C., Ma, S., & Ng, S. (2021). Uncertainty and business cycles: exogenous impulse or endogenous response?. American Economic Journal: Macroeconomics, 13(4), 369-410.
44. Menegatti, M. (2010). Uncertainty and consumption: New evidence in OECD countries. Bulletin of Economic Research, 62(3), 227-242.
45. Miao, J. (2004). A note on consumption and savings under Knightian uncertainty. Annals of Economics and Finance, 5(2), 299-311.
46. Mohaddes, K., & Raissi, M. (2017). Do sovereign wealth funds dampen the negative effects of commodity price volatility?. Journal of Commodity Markets, 8, 18-27.
47. Mumtaz, H., & Musso, A. (2021). The evolving impact of global, region-specific, and country-specific uncertainty. Journal of Business & Economic Statistics, 39(2), 466-481.
48. Pesaran, M. H. (2004). General diagnostic tests for cross section dependence in panels. CESifo Working Paper (No. 1229).
49. Pesaran, M. H. (2006). Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica, 74(4), 967-1012.
50. Pesaran, M. H., & Yamagata, T. (2008). Testing slope homogeneity in large panels. Journal of econometrics, 142(1), 50-93.
51. Policy Uncertainty (2021). World Uncertainty Index. https://www.policyuncertainty.com/wui_quarterly.html (Erişim tarihi: 30.12.2021).
52. Roberts, M. J., & Tybout, J. R. (1997). The decision to export in Colombia: An empirical model of entry with sunk costs. The American Economic Review, 545-564.
53. So, B. S., & Shin, D. W. (1999). Recursive mean adjustment in time-series inferences. Statistics & Probability Letters, 43(1), 65-73.
54. Stokey, N. L. (2016). Wait-and-see: Investment options under policy uncertainty. Review of Economic Dynamics, 21, 246-265.
55. Suh, H., & Yang, J. Y. (2021). Global uncertainty and Global Economic Policy Uncertainty: Different implications for firm investment. Economics Letters, 200, 109767.
56. World Bank (2021). World Development Indicators. https://databank.worldbank.org/source/world-development-indicators (Erişim tarihi: 30.12.2021).