TASARRUF-YATIRIM VE SERMAYE HAREKETLİLİĞİNİN ANALİZİ: YÜKSELEN PİYASA EKONOMİLERİ ÜZERİNDE BİR UYGULAMA (1992-2014)

Year 2017, Issue: 18, 1 - 22, 01.01.2017

İbrahim Hüseyni , Ömer Yalçınkaya

https://doi.org/10.18092/ulikidince.279888

Cited By: 2

Abstract

ÖZ

Ülkelerin sürdürülebilir bir ekonomik büyüme ivmesini yakalayabilmeleri üzerinde yurtiçi tasarruflar ile yurtiçi yatırımlar arasındaki ilişkilerin varlığı/nasıllığı son derece belirleyici bir rol oynamaktadır. Nitekim ekonomik büyüme verimlilik artışlarından bağımsız olarak yatırımlarla gerçekleşmekte, yatırımlar ise ancak tasarruflarla karşılanabilmektedir. Bu noktada, yurtiçi tasarrufların yurtiçi yatırımları karşılama oranının ya da yurtiçi yatırımların yabancı tasarruflara olan bağımlılığının belirlenmesi gerekmektedir. Bu doğrultuda çalışmada, yurtiçi tasarruflar ile yurtiçi yatırımlar arasındaki ilişkilerin uluslararası arenada BRICS, MINT ve Kırılgan Beşli olarak lanse edilen yükselen piyasa ekonomilerinde Feldstein-Horioka Hipotezi çerçevesinde, 1992-2014 dönemine ait verilerle ve yatay kesit bağımlılığını dikkate alan yeni nesil panel veri analizi metodolojisi ile incelenmesi amaçlanmıştır. Çalışma sonucunda, tanımlanan ülke gruplarında yurtiçi tasarrufların yurtiçi yatırımları karşılama oranlarının, yani sermaye hareketliliğinin derecesinin ülke gruplarına göre önemli ölçüde değiştiği belirlenmiştir. Bununla birlikte, çalışmada BRICS, MINT ve Kırılgan Beşli ülke grupları üzerinde Feldstein-Horioka Hipotezinin geçerli olmadığı, aksine bu ülkelerde Feldstein-Horioka Paradoksunun nispeten sürmekte olduğu sonucuna ulaşılmıştır.

Anahtar Kelimeler: Yurtiçi Tasarruf-Yatırım, Feldstein-Horioka Hipotezi, Yeni Nesil Panel Veri Analizi.

JEL Sınıflandırması: C5, C23, E20, F43.

Keywords

tasarruf, yatırım

References

• Adedeji, O., and Thornton, J. (2008). “International Capital Mobility: Evidence From Panel Cointegration Tests”. Economics Letters, 99, 349-352.
• Apergis, N., and Tsoumas, C. (2009). “A Survey of The Feldstein-Horioka Puzzle: What Has Been Done and Where We Stand”. Research in Economics, 63, 64-76.
• Argimon, I., and Roldan, J. M. (1994). “Saving, Investment and International Capital Mobility in EC Countries”. European Economic Review, 38, 59-67.
• Ayaydın, H., ve Baltacı, N. (2012). “Finansal Açıklık, Sermaye Hareketliliği, Tasarruf ve Yatırım İlişkisi: BRICS Ülkeleri Örneği”. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 14(2), 51-44.
• Bahmani-Oskooee, M., and Chakrabarti, A. (2005). “Openness, Size and The Saving-Investment Relationship”. Economic Systems, 29, 283-293.
• Baltagi, B. (2008). Econometric Analysis of Panel Data. (1. Bs): John Wiley & Sons.
• Baxter, M., and Crucini, M. J. (1993). “Explaining Saving-Investrnent Correlations”. American Economic Review, 83, 360-387.
• Bayoumi, T. (1989). “Saving-Investment Correlations. Immobile Capital, Government Policy or Endogenous Behavior?”. IMF Working Paper, No:89/66.
• Blanchard, O., and Giavazzi, F. (2002). “Current Account Deficits in The Euro Area: The End of the Feldstein_Horioka Puzzle?”. Brookings Papers on Economic Activity, 2, 147-209.
• Bolatoğlu, N. (2005). “Türkiye'de Yurtiçi Yatırım ve Yurtiçi Tasarruf Oranları Arasındaki İlişki”. Ekonomik Yaklaşım, 16(56). 19-32.
• Breitung, J. (2005). “A Parametric Approach to The Estimation of
• Cointegration Vectors in Panel Data”. Econometric Reviews, 24(2), 151-173.
• Breuer, J. B., Mcnown, R., and Wallace, M. (2002). “Series‐specific Unit Root Tests with Panel Data”. Oxford Bulletin of Economics and Statistics, 64(5), 527-546.
• Caporale, G. M., Panopoulou, E., and Pittis, N. (2005). “The Feldstein-Horioka Puzzle Revisited: A Monte Carlo Study”. Journal of International Money and Finance, 24, 1143-1149.
• Chakrabarti, A. (2006). “The Saving-Investment Relationship Revisited: New Evidence from Multivariate Heterogeneous Panel Co-Integration Analyses”. Journal of Comparative Economics, 34, 402-419
• Christopoulos, D. K. (2007). “A Reassesment of The Feldstein-Horioka Hypothesis of Perfect Capital Mobility: Evidence from Historical Data”. Empirica, 34, 273-280.
• Coakley, J., and Kulasi, F. (1997). Cointegration of Long Run Saving and Investment. Economics Letters, 54, 1-6.
• Coakley, J., Fuertes, A. M., and Spagnolo, F. (2001). “The Feldstein-Horioka Puzzle Is Not As Bad As You Think”. Birkbeck College Discussion Paper in Economics, 10-01.
• Coakley, J., Kulasi, F., and Smith, R. (1996). “Current Account Solvency and The Feldstein-Horioka Puzzle”. The Economic Journal, 106, 620-627.
• Coakley, J., Kulasi, F., and Smith, R. (1998). “The Feldstein-Horioka Puzzle and Capital Mobility: A Review”. International Journal of Finance and Economics, 3, 169-188.
• Corbin, A. (2001). “Country Specific Effect in The Feldstein-Horioka Paradox: A Panel Data Analysis”. Economics Letters, 72(3), 297-302.
• De Vita, G., and Abbott A .(2002). “Are Saving and Investment Cointegrated? An ARDL Bounds Testing Approach.” Economics Letters, 77(2), (293-299.
• Di Iorio, F., and Fachin, S. (2007). “Testing for Breaks in Cointegrated Panels-With an Application to The Feldstein-Horioka Puzzle”. Economics: The Open-Access, Open-Assessment E-Journal, 1(14), 1-23
• Dooley, M., Frankel, J. A., Mathieson, D. J. (1987). “International Capital Mobility: What Do Saving-Investment Correlations Tell Us?” International Monetary Fund Staff Papers, 34, 503-530.
• Esen, E., Yıldırım, S., ve Kostakoğlu, F. (2012). Feldstein-Horioka Hipotezinin Türkiye Ekonomisi İçin Sınaması: ARDL Modeli Uygulaması, Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 7(1), 251-267.
• Eslamloueyan, K., and Jafari, M. (2010). “Capital Mobility, Openness, and Saving-Investment Relationship in Asia,”Economic Modelling, 27(5), 1246-1252.
• Feldstien, M. (1983). “Domestic Saving and International Capital Movements in the Long Run and The Short Run”. NBER Working Paper Series, Paper No: 947.
• Feldstien, M., and Bacchetta, P. (1989). “National Saving and International Investment”. NBER Working Paper Series, Paper No: 3164.
• Feldstien, M., and Horioka, C. (1980). “Domestic Saving and International Capital Flows”. Economic Journal, 90: 314-29.
• Fouquau, J., Hurlin, C., and Rabaud, I. (2008). “The Feldstein-Horioka Puzzle: A Panel Smooth Transition Regression Approach”. Economic Modelling, 25, 284-299.
• Georgopoulos, G., and Hejazi, W. (2009). “The Feldstein–Horioka Puzzle Revisited: is The Home-Bias Much Less?”. International Review of Economics and Finance, 18(2), 341-350.
• Ghosh, D., and Dutt, S. (2011). “International Capital Mobility and The Feldstein-Horioka Puzzle: An Empirical Examination for The G5 Nations”. Southwestern Economic Review, 38(1), 27-36.
• Golub, S. S. (1990). “International Capital Mobility: Net vs Gross Stocks and Flows” Journal of International Money and Finance, 9, 424-439
• Göçer, İ., Alataş, S., ve Peker, O. (2013). “Yatırım-Tasarruf İlişkisi: OECD Ülkeleri İçin Yeni Nesil Panel Eşbütünleşme Analizi”. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, EYİ 2013 Özel Sayısı, 59-78.
• Göçer, İ., Gerede, C., ve Kutbay, H. (2014). “Dış Ticarette Rekabet Gücünün Belirleyicisi Olarak Ar-Ge ve İnovasyon: Ekonometrik Bir Analiz” 15th International Symposium on Econometrics, Operations Research and Statistics 22-25 May 2014 Suleyman Demirel University, Isparta, Turkey.
• Göçer, İ., Mercan, M., ve Hotunluoğlu, H. (2012). “Seçilmiş OECD Ülkelerinde Cari İşlemler Açığının Sürdürülebilirliği: Yatay Kesit Bağımlılığı Altında Çoklu Yapısal Kırılmalı Panel Veri Analizi”. Maliye dergisi, 163, 449-470.
• Hadri, K. (2000). “Testing for Stationarity in Heterogeneous Panel Data”. The Econometrics Journal, 3(2), 148-161.
• Hadri, K., and Kurozumi, E. (2012). “A Simple Panel Stationarity Test in The Presence of Serial Correlation And a Common Factor”. Economics Letters, 115(1), 31-34.
• Harberger, A. (1980). “Vignettes on The World Capital Market”. American Economic Review, 70, 331-337.
• Herwartz, H., and Xu, F. (2010). “A Functional Coefficient Model View of The Feldstein-Horioka Puzzle”. Journal of International Money and Finance, 29(1), 37-54.
• Ho, T. W. (2002). “The Feldstein–Horioka Puzzle Revisited”. Journal of International Money and Finance, 21, 555-564.
• Hussein, K. A. (1998). “International Capital Mobility in OECD Countries: The Feldstein-Horioka ‘Puzzle’ Revisited”. Economics Letters, 59, 237-242.
• Husted, S. (1992). “The Emergent US Current Account Deficit in The 1980s: A Cointegration Analysis”. The Review of Economics and Statistics, 74(1), 159-166.
• Im, K. S., Pesaran, M. H., and Shin, Y. (2003). “Testing for Unit Roots in Heterogeneous Panels”. Journal of Econometrics, 115(1), 53-74.
• İyidoğan, P. V., ve Balıkçıoğlu, E. (2010). “The Feldstein-Horioka Relation in Turkey: An ARDL Bounds Testing Approach”. Problems and Perspectives in Management, 8(4), 29-36.
• 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, 749-781.
• Johansen, S. (1988). “Statistical Analysis of Cointegration Vectors”. Journal of Economic Dynamics and Control, 12(2), 231-254.
• Kalkınma Bakanlığı, (2014). Onuncu Kalkınma Planı 2014-2018. Yurtiçi Tasarruflar Özel İhtisas Komisyonu Raporu 2014, Ankara.
• Kao, C. (1999). “Spurious Regression and Residual-Based Tests for Cointegration in Panel Data”. Journal Of Econometrics, 90(1), 1-44.
• Ketenci, N. (2012). “The Feldstein-Horioka Puzzle and Structural Breaks: Evidence from EU Members” Economic Modelling, 29(2), 262-270.
• Ketenci, N. (2013). “The Feldstein-Horioka Puzzle in Groupings of OECD Members: A Panel Approach”. Research in Economics, 67(1), 76-87.
• Kibritçioğlu, A., ve Ninjbat, U. (2006). Uluslararası Sermeye Hareketliliğinin Derecesi ve Feldstein-Horioka Bilmecesi. Ankara Üniversitesi Sosyal Bilimler Enstitüsü, İktisat Yüksek Lisans Programı Seminer Çalışması.
• Kim, H., Oh, K., and Jeong, C. (2005). “Panel Cointegration Results on International Capital Mobility in Asian Economies”. Journal of International Money and Finance, 24, 71-82.
• Kollias, C., Mylonidis, N., and Paleologou, S. M. (2008). “The Feldstein-Horioka Puzzle Across EU Members: Evidence From The ARDL Bounds Approach And Panel Data”. International Review of Economics and Finance, 17, 380-387.
• Krol, R. (1996). “International Capital Mobility: Evidence from Panel Data”. Journal of International Money and Finance, 15(3), 467-474.
• Kumar, S., and Rao, B. B. (2009). “A Time Series Approach to The Feldstein-Horioka Puzzle with Panel Data from the OECD Countries”. MPRA Paper, University Library of Munich, Germany.
• Levin, A., Lin, C. F., and Chu, C. S. J. (2002). “Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties”. Journal of Econometrics, 108(1), 1-24.
• Mercan, M. (2014). “Feldstein-Horioka Hipotezinin AB-15 ve Türkiye Ekonomisi için Sınanması: Yatay Kesit Bağımlılığı Altında Yapısal Kırılmalı Dinamik Panel Veri Analizi” Ege Akademik Bakış, 14(2), 231-245.
• Miller, S. M. (1988). “Are Saving and Investment Cointegrated?”. Economics Letters, 27, 31-34.
• Moreno, R. (1997). “Saving-Investment Dynamics and Capital Mobility in the US and Japan”. Journal of International Money and Finance, 16, 837-863.
• Murphy, R. G. (1984). “Capital Mobility and The Relationship Between Saving and Investment ın OECD Countries”. Journal of International Money and Finance, 3, 327-342.
• Murthy, V. N. R. (2009). “The Feldstein–Horioka Puzzle in Latin American and Caribbean Countries: A Panel Cointegration Analysis”. Journal of Economics and Finance, 33(2), 176-188.
• Narayan, P. K., and Narayan, S. (2010). “Testing for Capital Mobility: New Evidence From a Panel of G7 Countries”. Research in International Business and Finance 24(1), 15-23.
• Narayan, Paresh K. (2005). “The Relationship between Saving and Investment for Japan." Japan and The World Economy, 17(3), 293-309.
• Nazlıoğlu, Ş. (2010). Makro İktisat Politikalarının Tarım Sektörü Üzerindeki Etkileri: Gelişmiş ve Gelişmekte Olan Ülkeler İçin Bir Karşılaştırma. Yayımlanmamış Doktora Tezi, Erciyes Üniversitesi, Sosyal Bilimler Enstitüsü.
• Obstfeld, M. (1985). “Capital Mobility in The World Economy: Theory and Measurement”. NBER Working Paper Series, Paper No: 4851.
• Obstfeld, M. (1986). “How Integrated Are World Capital Markets? Some New Tests”. NBER Working Paper Series, Paper No: 2075.
• Obstfeld, M., and Rogoff, K. (2000). “The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?”. Institute of Business and Economic Research, University of California, Berkley, Working Paper, No: c00-112
• Pedroni, P. (1999). “Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors”. Oxford Bulletin of Economics and Statistics, 61(1), 653-670.
• Pelagidis, T., and Mastroyiannis, T. (2003). “The Saving-Investment Correlation in Greece, 1960-1997: Implications for Capital Mobility”. Journal of Policy Modeling, 25, 609-616.
• Penati, A., and Dooley, M. (1984). “Current Account Imbalances and Capital Formation in Industrial Countries 1949-1981”. International Monetary Fund Staff Papers, 31, 1-24.
• Pesaran, M. H. (2007). “A Simple Panel Unit Root Test in The Presence of Cross‐Section Dependence”. Journal of Applied Econometrics, 22(2), 265-312.
• Pesaran, M. H., Ullah, A., and Yamagata, T. (2008). “A Bias‐Adjusted LM Test of Error Cross‐Section Independence”. The Econometrics Journal, 11(1), 105-127.
• Rao, B. B., Tamazian, A., and Kumar, S. (2010). “Systems GMM Estimates of The Feldstein-Horioka Puzzle for the OECD Countries and Tests for Structural Breaks”. Economic Modelling, 27(5), 1269-1273.
• Sachs, J. D. (1983). “Aspects of The Current Account Behavior of OECD Countries”. In: Claassen, E., Salin, P. (Eds.), Recent Issues in the Theory of Flexible Exchange Rates. North-Holland, Amsterdam.
• Sachsida, A., and Caetano, M. (2000). “The Feldstein-Horioka Puzzle Revisited”. Economics Letters, 68, 85-88.
• Sinha, T., and Sinha, D. (2004). “The Mother of All Puzzles Would not Go Away”. Economic Letters, 82, 259-267.
• Sinn, S. (1992). “Saving-Investment Correlations and Capital Mobility: on The Evidence from Annual Data”. The Economic Journal, 102, 1162-1170.
• Tarı, R. (2010). Ekonometri. (6. Baskı), Kocaeli: Umuttepe Yayınları.
• Tatoğlu, F. Y. (2012). Panel veri Ekonometrisi-Stata Uygulamalı. İstanbul: Beta Basım Yayım.
• Tatoğlu, F. Y. (2013). İleri Panel Veri Analizi-Stata Uygulamalı. (2. Baskı), İstanbul: Beta Basım Yayım.
• Taylor, M. P., and Sarno, L. (1998). “The Behavior of Real Exchange Rates During The Post-Bretton Woods Period”. Journal of International Economics, 46(2), 281-312.
• Tesar, L. (1991). “Saving, Investment and International Capital Flows”. Journal of International Economics, 31, 55-78.
• Uygur, E. (2012).“Türkiye’de Tasarrufların Seyri ve Etkileyen Bazı Unsurlar” Türkiye Ekonomi Kurumu Tartışma Metni: 2012/108.
• Vamvakidis, A., and Wacziarg, R. (1998). “Developing Countries and the Feldstein-Horioka Puzzle”. IMF Working Paper, No: 98/2.
• Westerlund, J. (2007). “Testing for Error Correction in Panel Data” Oxford Bulletin of Economics and Statistics, 69(6), 709-748.
• Westerlund, J. (2008). “Panel Cointegration Tests of the Fisher Effect". Journal of Applied Econometrics, 23(2), 193-233.
• Westerlund, J., and Edgerton, D. L. (2007). “A Panel Bootstrap Cointegration Test”. Economics Letters, 97(3), 185-190.
• Yalçınkaya, Ö., ve Hüseyni, İ. (2016). “Tasarruf-Yatırım İlişkisi: Feldstein-Horioka Hipotezinin OECD Ülkeleri Açısından Değerlendirilmesi (1980-2013)”. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 31(1), 343-369.
• Yükseler, Z. (2013). “Yatırım-Tasarruf Dengesi: Türkiye Uygulaması ve Sorunlar”. http://www.researchgate.net/publication/258808662. (Erişim