Investment Decisions under Macroeconomic Uncertainty and Risk: The Case of Turkey

Abstract

In this study, the impacts of uncertainty and risk factors on fixed asset and financial investment decisions of the firms in real sector in Turkey have been investigated for the period of 2003-2012. For this aim, inflation, exchange and growth rate uncertainties having been obtained by ARCH-GARCH method and economic, political, financial and country risk indicators have been used in this study. Their impact on investment is assessed by using investment equation that is generated by portfolio choice model, in accordance with the dynamic panel data analysis. The results show that risk factors and uncertainty have a negative and significant impact on investment decisions.

Keywords

• Uncertainty,Risk,Investment Decisions,Dynamic Panel Data Analysis

Makroekonomik Belirsizlik ve Risk Altında Yatırım Kararları: Türkiye Örneği

Öz

Bu çalışmada belirsizlik ve risk faktörlerinin, Türkiye’de reel sektörde faaliyet gösteren firmaların sabit sermaye ve finansal yatırım kararları üzerindeki etkileri 2003-2012 dönemi itibariyle araştırılmıştır. Bu amaçla çalışmada, ARCH-GARCH yöntemi ile elde edilen enflasyon, döviz kuru ve büyüme hızı belirsizlikleri ile ekonomik, politik, finansal ve ülke risk göstergeleri kullanılmıştır. Bu faktörlerin yatırımlar üzerindeki etkileri dinamik panel veri analiz yönteminden hareketle portföy seçim modeli kullanılarak oluşturulan yatırım denklemi çerçevesinde değerlendirilmiştir. Araştırma sonuçlarına göre risk faktörleri ve belirsizliklerin yatırım kararları üzerinde negatif ve anlamlı bir etkisi olduğu tespit edilmiştir.

Anahtar Kelimeler

• Belirsizlik,Risk,Yatırım Kararları,Dinamik Panel Veri Analizi

Kaynakça

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