Makroekonomik Belirsizlik ve Faiz Oranlarının Yatırım Harcamaları Üzerindeki Etkileri: ARDL Eşbütünleşim Yaklaşımı

Öz

Bu çalışmanın amacı Türkiye ekonomisi için makroekonomik belirsizlik ve faiz oranlarının yatırım harcamaları üzerindeki etkilerini test etmektir. Çalışma üçer aylık 2003-2016 dönemini kapsamaktadır. Çalışmada üç önemli ekonometrik aşama kullanılmaktadır. İlk aşamada, Atta-Mensah (2014) yaklaşımı temel alınarak makroekonomik belirsizlik endeksi oluşturulmuştur. Bu amaçla borsa endeksi, fiyatlar genel düzeyi, ekonomik aktivite ve dolar kuru oynaklıkları hareketli standart sapma yöntemi ile elde edilmiştir. İkinci aşamada, makroekonomik belirsizlik endeksi üretilmiştir. Üçüncü aşamada, makroekonomik belirsizlik endeksi ve faiz oranları ile yatırım harcamaları arasındaki uzun dönemli dinamik ilişkiler analiz edilmiştir. Bu çalışmada, endeksin ve faiz oranlarının yatırım harcamaları üzerindeki etkileri ARDL ko-entegrasyon testi kullanılarak test edilmiştir.

Anahtar Kelimeler

• Makroekonomik Belirsizlik, Yatırım Harcamaları, ARDL.

The Impacts of Macroeconomic Uncertainty and Interest Rates on the Investment Spending: ARDL Co-integration Approach

Öz

The purpose of this study is to test the effects of macroeconomic uncertainty and interest rates on investment spending for Turkish economy. We have used quarterly data for the period of 2003-2016. The study uses three important econometric steps. In the first step, the macroeconomic uncertainty index is formed based on the Atta-Mensah (2004) approach. For this aim, moving standard deviation technique is used to calculate the volatilities of the stock market, general price level, economic activity and exchange rate. In the second step, macroeconomic uncertainty index is produced. In the third step, the long-run dynamic relationships are analyzed among macroeconomic uncertainty index, interest rates and investment spending and the effects of uncertainty index and interest rates on investment spending are tested using the ARDL co-integration test.

Anahtar Kelimeler

• Macroeconomic Uncertainty, Investment Spending, ARDL.

Kaynakça

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