Döviz Kuru-Yatırım İlişkisi: OECD Ülkeleri için Sektörel Düzeyde Bulgular

Öz

Bu çalışma, yatırımın döviz kuru hareketlerine verdiği tepkinin sektörler arasında nasıl farklılaştığını incelemektedir. Çalışmada gelişmiş ve gelişmekte olan ekonomileri içeren geniş bir OECD ülke paneli kullanılarak, döviz kuru seviyelerinin ve oynaklığının sektörel yatırımlar üzerindeki etkileri analiz edilmektedir. Bu amaçla iki farklı sektörel veri seti kullanılmıştır: Ekonominin bütününü oluşturan 10 ana sektörü kapsayan Toplam yatırım veriseti ve 10 imalat sanayi alt sektörünü kapsayan imalat sanayi yatırımı veriseti. Çalışmada hem toplam hem de sektörel düzeyde yatırım denklemleri, ülkeler arası heterojenliği dikkate alarak kısa ve uzun dönem etkileri belirlemeyi mümkün kılan Pooled Mean Group yöntemiyle tahmin edilmiştir. Bulgularımız, döviz kuru seviyelerindeki ve oynaklığındaki değişimlerin sektörel yatırımı temel olarak uzun dönemde etkilediğini göstermektedir. Daha yüksek döviz kuru oynaklığı, sektörlerin çoğunda yatırımları azaltmaktadır. Bununla birlikte, döviz kuru seviyelerinin etkisi sektörler arasında belirgin biçimde farklılaşmaktadır. Ülke parasının reel değer kaybı, imalat sanayi ve hizmet sektörleri hariç sektörel yatırımları düşürme eğilimindedir. Daha zayıf bir para birimi toplam imalat sanayi yatırımlarını artırırken, çoğu hizmet sektöründe uzun dönemli anlamlı bir etkisi bulunmamaktadır. İmalat sanayi alt sektörleri için ise ülke parasının reel olarak değer kaybetmesinin, düşük teknolojiye sahip sektörlerde yatırımları azaltırken, orta ve yüksek teknoloji sektörlerinde yatırımları desteklediği yönünde bulgular elde edilmiştir.

Anahtar Kelimeler

• Yatırım
• Döviz Kuru
• Sektörel Analiz
• Panel Veri

Exchange-Rate-Investment Link: Industry-Level Evidence for OECD Countries

Öz

This study investigates whether investment reacts differently to exchange rate movements across industries. Using a broad panel of OECD countries including both advanced and emerging economies, we estimate the impact of exchange rate levels and volatility on sectoral investment. To this end, two disaggregated datasets are employed: Total investment across 10 major industries and manufacturing investment across 10 manufacturing sub-sectors. We estimate investment equations for aggregate investment as well as individual sectors employing Pooled Mean Group method which enables us to identify short and long run effects and account for country heterogeneity. The results show that changes in the level and volatility of exchange rates affect sectoral investment mainly in the long run. Higher exchange rate volatility generally reduces investment in most of the industries. However, the effect of exchange rate levels varies considerably across sectors. Real depreciations tend to lower sectoral investment, except for Manufacturing and Services sectors. While a weaker currency boosts investment in aggregate manufacturing, it has no significant long-run effect on most service industries. Within manufacturing, depreciation reduces investment in low-technology industries but supports investment in medium- and high-technology sectors.

Anahtar Kelimeler

• Investment
• Exchange Rate
• Industrial Analysis
• Panel Data

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