G7 Ülkelerinde Feldstein–Horioka Hipotezinin Sınanması: Zamanla Değişen Bulgular

Öz

Bu çalışma, 1970–2023 döneminde G7 ekonomileri için Feldstein–Horioka (FH) hipotezini, tasarruf–yatırım ilişkilerinin zamanla değişen ve ülkeye özgü dinamiklerini dikkate alarak yeniden incelemektedir. Geleneksel olarak tasarrufların ülkede tutulma katsayısına dayanan yaklaşımlardan farklı olarak, analizde heterojenliği, yatay kesit bağımlılığını ve zamansal istikrarsızlığı yakalayabilmek amacıyla Kónya (2006) bootstrap panel nedensellik yöntemi ve kayan pencere (rolling window) çerçevesi birlikte kullanılmıştır. Tam örneklem sonuçları, yurtiçi tasarruflar ile yatırımlar arasında istikrarlı nedensel ilişkilerin sınırlı olduğunu göstermekte ve statik panel tahminlerinin yetersizliklerine işaret etmektedir. Buna karşılık, kayan pencere bulguları; ülkelere ve dönemlere göre değişen, zaman zaman çift yönlü nedensellik ilişkilerinin ortaya çıktığını ve katsayı işaretleri ile anlamlılık düzeylerinin ekonomik koşullara bağlı olarak farklılaştığını göstermektedir. Bu sonuçlar, G7 ekonomilerinde tasarruf–yatırım etkileşiminin homojen ya da sabit olmadığını, aksine bağlama duyarlı bir yapı sergilediğini ortaya koymaktadır. Genel olarak bulgular, küresel sermaye hareketliliğinin artmasına rağmen FH tipi dinamiklerin belirli dönemlerde varlığını sürdürdüğüne dair dolaylı ve zaman-duyarlı kanıtlar sunmaktadır. Çalışma, zamansal değişimi ve ülke-özgül davranışları ön plana çıkararak gelişmiş ekonomilerde sermaye hareketliliği tartışmasına daha nüanslı bir katkı sağlamaktadır.

Anahtar Kelimeler

• Yurtiçi Tasarruf
• Sermaye Hareketliliği
• Finansal Entegrasyon
• Bootstrap Panel Nedensellik

Is the Feldstein–Horioka Puzzle Valid in the G7 Countries? Evidence from Rolling Window Analysis

Öz

This study re-examines the Feldstein–Horioka (FH) hypothesis for the G7 economies over the period 1970–2023 by focusing on the time-varying and country-specific dynamics of the savings–investment relationship. Departing from the traditional reliance on savings-retention coefficients, the analysis employs the Kónya (2006) bootstrap panel causality approach combined with a rolling-window framework to capture heterogeneity, cross-sectional dependence, and temporal instability. Full-sample results provide limited evidence of stable causal linkages between domestic savings and investment, underscoring the potential shortcomings of static panel estimates. In contrast, rolling-window findings reveal episodic and bidirectional causality patterns that vary across countries and over time, with coefficient signs and significance levels shifting in response to changing economic conditions. These results suggest that savings–investment interactions in G7 economies are neither uniform nor constant, but evolve in a context-dependent manner. Overall, the findings provide indirect, time-sensitive evidence relevant to the FH framework, indicating that FH-type dynamics persist intermittently despite increased global capital mobility. By highlighting the importance of temporal variation and country-specific behavior, the study contributes to the literature with a more nuanced assessment of capital mobility and macroeconomic interdependence in advanced economies.

Anahtar Kelimeler

• Domestic Savings
• Capital Mobility
• Financial Integration
• Bootstrap Panel Causality

Kaynakça

1. Ansar, A., Flyvbjerg, B., Budzier, A., & Lunn, D. (2016). Does infrastructure investment lead to economic growth or economic fragility? Evidence from China. Oxford Review of Economic Policy, 32(3), 360–390. https://doi.org/10.1093/oxrep/grw022
2. Apergis, N., & Tsoumas, C. (2009). A survey of the Feldstein-Horioka puzzle: What has been done and where we stand. Research in Economics, 63(2), 64–76. https://doi.org/10.1016/j.rie.2009.05.001
3. Breusch, T. S., & Pagan, A. R. (1980). The Lagrange multiplier test and its applications to model selection in econometrics. Review of Economic Studies, 47, 239–253. https://doi.org/10.2307/2297111
4. Brooks, C., & Hinich, M. J. (1998). Episodic nonstationarity in exchange rates. Applied Economics Letters, 5(11), 719–722. https://doi.org/10.1080/135048598354203
5. Cadoret, I. (2001). The saving-investment relation: A panel data approach. Applied Economics Letters, 8, 517–520. https://doi.org/10.1080/13504850010023107
6. Camarero, M., Muñoz, A., & Tamarit, C. (2022). 50 years of capital mobility in the Eurozone: Breaking the Feldstein–Horioka puzzle. Empirical Economics, 63(3), 1573–1604. https://doi.org/10.1007/s11079-021-09655-1
7. Caspi, I. (2017). Rtadf: Testing for bubbles with Eviews. Journal of Statistical Software, 81, 1–16. https://doi.org/10.18637/jss.v081.c01
8. Chang, Y., & Smith, R. T. (2014). Feldstein-Horioka puzzles. European Economic Review, 72, 98–112. https://doi.org/10.1016/j.euroecorev.2014.09.001

9. Colecchia, A., & Schreyer, P. (2002). ICT investment and economic growth in the 1990s: Is the United States a unique case? A comparative study of nine OECD countries. Review of Economic Dynamics, 5(2), 408–442. https://doi.org/10.1006/redy.2002.0170
10. Coakley, J., Hasan, F., & Smith, R. (1999). Saving, investment, and capital mobility in LDCs. Review of International Economics, 7(4), 632–640. https://doi.org/10.1111/1467-9396.00188
11. De Long, J. B., & Summers, L. H. (1991). Equipment investment and economic growth. The Quarterly Journal of Economics, 106(2), 445–502. https://doi.org/10.2307/2937944
12. Dlamini, J., Balcilar, M., Gupta, R., & Inglesi-Lotz, R. (2015). Revisiting the causality between electricity consumption and economic growth in South Africa: A bootstrap rolling-window approach. International Journal of Economic Policy in Emerging Economies, 8(2), 169–190.
13. Dornbusch, R. (1991). Comment to Feldstein and Bacchetta. In B. D. Bernheim & J. B. Shoven (Eds.), National saving and economic performance (pp. 201–226). University of Chicago Press.
14. Dooley, M., Frankel, J. A., & Mathieson, D. (1987). International capital mobility in developing countries vs. industrial countries: What do the savings-investment correlations tell us? International Monetary Fund (IMF) Staff Papers, 34, 503–529.
15. Drakos, A. A., & Kouretas, G. P. & Vlamis, P. (2018). Saving, investment and capital mobility in EU member countries: A panel data analysis of the Feldstein–Horioka puzzle. Applied Economics, 1-14. https://doi.org/10.1080/00036846.2018.1436150
16. Duran, H. E., & Ferreira-Lopes, A. (2022). The revival of the Feldstein–Horioka puzzle and moderation of capital flows after the global financial crisis. Research in International Business and Finance, 60, 101580. https://doi.org/10.1016/j.ribaf.2021.101580
17. Dzhumashev, R., & Cooray, A. (2017). The Feldstein-Horioka hypothesis revisited. The Berkeley Electronic (B.E.) Journal of Macroeconomics, 17(1), 1–30. https://doi.org/10.1515/bejm-2016-0009
18. Eyuboglu, S., & Uzar, U. (2020). Is the Feldstein–Horioka puzzle valid in Lucky Seven countries? The Journal of International Trade & Economic Development, 29(4), 399–419. https://doi.org/10.1080/09638199.2019.1694965
19. Feldstein, M. (1983). Domestic saving and international capital movements in the long run and the short run. European Economic Review, 21(1–2), 129–151. https://doi.org/10.1016/S0014-2921(83)80012-9
20. Feldstein, M., & Bacchetta, P. (1991). National saving and international investment. In National saving and economic performance (pp. 201–226). University of Chicago Press.
21. Feldstein, M., & Horioka, C. (1980). Domestic saving and international capital flows. The Economic Journal, 90(358), 314–329. https://doi.org/10.2307/2231790
22. Foon, T. (2008). A re-examination of the role of foreign direct investment and exports in Malaysia's economic growth: A time series analysis, 1970-2006. International Journal of Management Studies, 15, 47–67.
23. Ford, N., & Horioka, C. Y. (2016). The "real" explanation of the Feldstein–Horioka puzzle. The National Bureau of Economic Research (NBER) Working Paper No. 22081. https://doi.org/10.3386/w22081
24. Fry, M. J. (1980). Saving, investment, growth and the cost of financial repression. World Development, 8(4), 317–327. https://doi.org/10.1016/0305-750X(80)90030-3
25. Ghosh, D., & 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.
26. Giannone, D., & Lenza, M. (2008). The Feldstein-Horioka fact. European Central Bank Working Paper Series No. 873. https://doi.org/10.2139/ssrn.1091122
27. Golub, S. S. (1990). International capital mobility: Net vs. gross stocks and flows. Journal of International Money and Finance, 9, 424–439. https://doi.org/10.1016/0261-5606(90)90020-Z
28. Gregorio, J., & Guidotti, P. E. (1995). Financial development and economic growth. World Development, 23(3), 433–448. https://doi.org/10.1016/0305-750X(94)00132-I
29. 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.
30. Johnson, M. A., & Lamdin, D. J. (2014). Investment and saving and the Euro crisis: A new look at Feldstein-Horioka. Journal of Economics and Business, 76, 101–114. https://doi.org/10.1016/j.jeconbus.2014.05.002
31. Ketenci, N. (2013). The Feldstein–Horioka puzzle in groupings of OECD members: A panel approach. Research in Economics, 67, 76-87. https://doi.org/10.1016/j.rie.2012.09.002
32. Khan, M. S., & Reinhart, C. M. (1990). Private investment and economic growth in developing countries. World Development, 18(1), 19–27. https://doi.org/10.1016/0305-750X(90)90100-C
33. Kızıltan, M. & A. Golovko & A.B. Yereli (2019). Feldstein-Horioka bulmacası: İkinci nesil panel eşbütünleşme analizi, Doğuş Üniversitesi Dergisi, 20(1), 61-79
34. Kim, W. Y., & Jeon, B. N. (2013). Has international capital mobility increased in Asia? Evidence from the post-1997 financial crisis period. Contemporary Economic Policy, 31(2), 345–365. https://doi.org/10.1111/j.1465-7287.2011.00294.x
35. Kónya, L. (2006). Exports and growth: Granger causality analysis on OECD countries with a panel data approach. Economic Modelling, 23(6), 978–992. https://doi.org/10.1016/j.econmod.2006.04.008
36. Kumar, S. D., Webber, J., & Fargher, S. (2012). Testing the validity of the Feldstein–Horioka puzzle for Australia. Applied Economics, 44(5), 599–605. https://doi.org/10.1080/00036846.2010.511993
37. Ma, W. ve Li, H. (2016). Time-varying saving–investment relationship and the Feldstein–Horioka puzzle. Economic Modelling, 53, 166-178. https://doi.org/10.1016/j.econmod.2015.11.013
38. Martins, A. (2024). Macro fundamentals and the resurgence of the Feldstein–Horioka puzzle in Europe. Journal of International Financial Markets, Institutions and Money, 93, 102006. https://doi.org/10.1016/j.intfin.2024.102006
39. Mastroyiannis, A. (2007). Current account dynamics and the Feldstein and Horioka puzzle: The case of Greece. The European Journal of Comparative Economics, 4(1), 91–99.
40. McKinnon, R. I. (1973). Money and capital in economic development. The Brookings Institution.
41. Murthy, N. V. (2009). The Feldstein–Horioka puzzle in Latin American and Caribbean countries: a panel cointegration analysis. Journal of Economics and Finance, 33(2), 176. https://doi.org/10.1007/s12197-008-9051-5
42. Narayan, P. K. (2005). The saving and investment nexus for China: Evidence from cointegration tests. Applied Economics, 37(17), 1979–1990. https://doi.org/10.1080/00036840500278103
43. Nakhli, M. S., Dhaoui, A., & Chevallier, J. (2022). Bootstrap rolling-window Granger causality dynamics between momentum and sentiment: Implications for investors. Annals of Finance, 18(2), 267–283.
44. Obstfeld, M. (1986). Capital mobility in the world economy: Theory and measurement. Carnegie-Rochester Conference Series on Public Policy, 24(1), 55–103. https://doi.org/10.1016/0167-2231(86)90005-9
45. Obstfeld, M., & Rogoff, K. (2000). The six major puzzles in international macroeconomics: Is there a common cause? The National Bureau of Economic Research (NBER) Macroeconomics Annual, 15, 339–390. Özcan, B., Apergis, N., & Shahbaz, M. (2018). A revisit of the environmental Kuznets curve hypothesis for Turkey: New evidence from bootstrap rolling window causality. Environmental Science and Pollution Research, 25(32), 32381–32394. https://doi.org/10.1007/s11356-018-3165-x
46. Özdemir, O. (2022). High-Income Countries and the Feldstein–Horioka puzzle: Econometric evidence from dynamic common correlated effects model. Romanian Journal of Economic Forecasting, 25(1), 45–67.
47. Özdemir, Z.A. ve Olgun, H. (2009). The Feldstein–Hoiroka puzzle across countries. Applied Economics, 41(2), 237-247. https://doi.org/10.1080/00036840600994245
48. Özmen, E., & Parmaksız, K. (2003). Policy regime change and the Feldstein-Horioka puzzle: The UK evidence. Journal of Policy Modeling, 25(2), 137–149. https://doi.org/10.1016/S0161-8938(02)00208-9
49. Padhan, R., Bhat, J. A., & Prabheesh, K. P. (2022). The Feldstein–Horioka puzzle in India: Some asymmetric evidence. Asian Economic Letters, 3(1), 37188. https://doi.org/10.46557/001c.37188
50. Pata, U. K. (2018). The Feldstein-Horioka puzzle in E7 countries: Evidence from panel cointegration and asymmetric causality analysis. The Journal of International Trade & Economic Development, 27(8), 968–984. https://doi.org/10.1080/09638199.2018.1480053
51. Pesaran, M. H. (2004). General diagnostic tests for cross-section dependence in panels. Center for Economic Studies Institute (CESifo) Working Paper No. 1229.
52. Pesaran, M. H., Ullah, A., & Yamagata, T. (2008). A bias-adjusted LM test of error cross-section independence. The Econometrics Journal, 11(1), 105–127. https://doi.org/10.1111/j.1368-423X.2007.00227.x
53. Pesaran, M. H., & Yamagata, T. (2008). Testing slope homogeneity in large panels. Journal of Econometrics, 142(1), 50–93. https://doi.org/10.1016/j.jeconom.2007.05.010
54. Petreska, D. ve Mojsoska-Blazevski, N. (2013). The Feldstein-Horioka Puzzle and Transition Economies. Economic Annals, LVIII: 197, 23-45. https://doi.org/10.2298/EKA1397023P
55. Rao, B.B., Tamazian, A. ve Kumar, S. (2010). Systems GMM estimates of the Feldstein–Horioka puzzle for the OECD countries and tests for structural breaks. Economic Modelling, 27, 1269–1273. https://doi.org/10.1016/j.econmod.2010.02.002
56. Shaw, E. (1973). Financial deepening in economic development. Oxford University Press.
57. Shibata, A., & Shintani, M. (1998). Capital mobility in the world economy: An alternative test. Journal of International Money and Finance, 17, 741–756.
58. Sinn, S. (1992). Saving-investment correlations and capital mobility: On the evidence from annual data. The Economic Journal, 102, 1162–1170. https://doi.org/10.2307/2234383
59. Swamy, P. A. (1970). Efficient inference in a random coefficient regression model. Econometrica, 38(2), 311–323. https://doi.org/10.2307/1913012
60. Tesar, L. L. (1991). Savings, investment and international capital flows. Journal of International Economics, 31(1), 55–78. https://doi.org/10.1016/0022-1996(91)90056-C
61. Tumanoska, D., Mojsoska-Blazevski, N., & Petreski, M. (2016). To what extent are small economies exposed to foreign capital? Insight into the Feldstein-Horioka puzzle in Macedonia. Ekonomski Pregled, 67(2), 116–134.
62. Yalçınkaya, Ö. ve Hüseyni, İ. (2016). Tasarruf-yatırım ilişkisi: Feldstein-Horioka Hipotezinin OECD ülkeleri açısından değerlendirilmesi (1980-2013). Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 31(1), 343-369. https://doi.org/10.24988/deuiibf.2016311479
63. Yenturk, N., Ulengin, B. ve Cimenoglu, A. (2009). An analysis of the interaction among savings, investments and growth in Turkey. Applied Economics, 41(6), 739-751. https://doi.org/10.1080/00036840601019000
64. Yilanci, V., & Kilci, E. N. (2021). The Feldstein-Horioka puzzle for the Next Eleven countries: A panel data analysis with Fourier functions. The Journal of International Trade & Economic Development, 30(3), 341–364. https://doi.org/10.1080/09638199.2021.1879901
65. Yilanci, V., & Ozgur, O. (2019). Testing the environmental Kuznets curve for G7 countries: Evidence from a bootstrap panel causality test in rolling windows. Environmental Science and Pollution Research, 26, 24795–24805. https://doi.org/10.1007/s11356-019-05745-3
66. Younas, J., & Chakraborty, D. (2011). Globalization and the Feldstein-Horioka puzzle. Applied Economics, 43(16), 2089–2096. https://doi.org/10.1080/00036840903035985
67. Zellner, A. (1962). An efficient method of estimating seemingly unrelated regressions and tests for aggregation bias. Journal of the American Statistical Association, 57(298), 348–368. https://doi.org/10.2307/2281644