Kamu ve Özel Sektör Yatırımlarının Dinamik Etkileri: Altı Gelişmiş Ülke VAR Örneği

Öz

Bu çalışma Fransa, Almanya, Japonya, Belçika, Birleşik Krallık ve ABD gelişmiş ülkelerinden yola çıkarak kamu ve özel sektör yatırımlar arasındaki ilişkiyi incelemekte, ayrıca kamu ve özel sektör yatırımlarının üretim ve istihdam üzerindeki etkilerini Vektör Otoregresyon (VAR) yöntemi kullanarak analiz etmektedir. Ekonomi literatürü genel olarak kamu yatırımlarının özel sektör yatırımlarına olan katkısını ve ekonomik aktivite üzerindeki etkilerini incelerken, bu çalışma özel sektör yatırımlarının kamu yatırımları ve ekonomik aktivite üzerindeki etkilerini de değerlendirmektedir. Çalışmada elde edilen bulgular, kamu yatırımlarının özel sektör yatırımlarının oluşumunu katkıda bulunabildiğini, ancak bunun tersinin geçerli olmadığını ortaya koymaktadır. Yani, özel sektör kamu sektörü sermaye oluşumuna katkıda bulunmamaktadır. Bunun yanında, özel sektör yatırımlarının üretim ve istihdam üzerindeki etkileri, kamu yatırımlarının aynı değişkenler üzerindeki etkilerinden her zaman daha büyük olmaktadır. Son olarak ise elde edilen sonuçlar, kamu yatırımlarının çalışmada kullanılan diğer değişkenlere göre dışsal olduğu varsayımı altında, değişkenlerin alternatif VAR sıralamalarına karşı duyarlı değildir.

Anahtar Kelimeler

• Kamu Yatırımları,Özel Yatırımlar,Üretim,İstihdam

Dynamic Effects of Public and Private Investments: VAR Evidence from Six Advanced Economies

Öz

This paper investigates the long-term dynamic relationship between public and private investments and evaluates their impacts on economic activity in six advanced economies; France, Germany, Japan, Belgium, the United Kingdom and United States by a VAR framework. The related literature mostly considers the contribution of public investment to the formation of private investment and economic activity. This paper also evaluates the other way around: impacts of private investment on the formation of public investment and economic activity. Orthogonal identification assumptions are imposed to have an interpretable causal impulse-response functions. The empirical results provide evidences that public investment significantly contributes to private investment; however, the reverse is not true. That is, there is no any support for the hypothesis that private capital is also a crucial factor that drives public capital formation. Additionally, private investment always contributes more to output growth and employment than public investment. Finally, the empirical results are not sensitive to the alternative VAR orders of the variables under the assumption that public investment is exogenous with respect to other variables employed in this study.

Anahtar Kelimeler

• Public Investment,Private Investment,Production,Employment

Kaynakça

1. Abiad, A., Furceri, D., and Topalova, P. (2016). The Macroeconomic Effects of Public Investment: Evidence from Advanced Economies. Journal of Macroeconomics, 50, 224-240.
2. Afonso, A., and Aubyn, M.S. (2009). Macroeconomic Rates of Return of Public and Private Investment: Crowding-In and Crowding-Out Effects. The Manchester School Supplement, 77, 21-39.
3. Aschauer, D. (1989), “Is Public Expenditure Productive?. Journal of Monetary Economics, 23, 167-200.
4. Blanchard, O., and Perotti, R. (2002). An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes On Output. The Quarterly Journal of Economics, 117(4), 1329-1368.
5. Bom, P.R.D., and Ligthart, J.E. (2009). How Productive Is Public Capital? A Meta-Regression Analysis. Georgia State University Working Paper 09-12, Atlanta.
6. Dickey, D. A., and Fuller, W. A. (1979). Distribution of The Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74, 427–431.
7. Dreger, C., and Reimers, H.E. (2016). Does Public Investment Stimulate Private Investment? Evidence for The Euro Area. Economic Modelling, 58, 154-158.
8. Evans, P., and Karras, G. (1994). Are Government Activities Productive? Evidence from a Panel of U.S. States. The Review of Economics and Statistics, 76(1),1-11.

9. Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-Spectral Methods. Econometrica, 37, 424–438.
10. Hamilton, J. D. (1994) Time Series Analysis. Princeton: Princeton University Press.
11. Jarque, C. M., and Bera, A. K. (1987). A Test for Normality of Observations and Regression Residuals. International Statistical Review, 55 (2), 163–172.
12. Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12, 231–254.
13. Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59, 1551–1580.
14. Kamps, C. (2005). The Dynamic Effects of Public Capital: VAR Evidence for 22 OECD Countries. International Tax and Public Finance, 12(4), 533–558.
15. Khan, M.S., and Kumar, M.S. (1997). Public and Private Investment and The Growth Process in Developing Countries. Oxford Bulletin of Economics and Statistics, 59(1), 69-88.
16. Kim, H. (2012). Generalized Impulse Response Analysis: General or Extreme?”. Auburn Economics Working Paper Series 2012-04, Department of Economics, Auburn University.
17. Mittnik, S., and Neumann, T. (2001). Dynamic Effects of Public Investment: Vector Autoregression Evidence from Six Industrialized Countries. Empirical Economics, 26, 429-446.
18. Munnell, A.H. (1990). Why Has Productivity Growth Declined? Productivity and Public Investment. New England Economic Review, Jan./Feb, 3-22.
19. Newey, W. K., and West, K. D. (1987). A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica, 55, 703–708.
20. OECD (2018), Harmonised Unemployment Rate (HUR),https://data.oecd.org/unemp/harmonised-unemployment-rate-hur.htm (Accessed on 01 December 2018)
21. Pereira, A. (2000). Is All Public Capital Created Equal?. The Review of Economics and Statistics, 82(3), 513-518.
22. Perreria, A., and Flores De Frutos, R. (1999). Public Capital Accumulation and Private Sector Performance. Journal of Urban Economics, 46, 300-322.
23. Pesaran, M. H., and Shin, Y. (1998). Generalized Impulse Response Analysis in Linear Multivariate Models. Economics Letters, 58, 17-29.
24. Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48, 1–48.
25. Phillips, P. C. B., and Perron, P. (1988). Testing for A Unit Root in Time Series Regression. Biometrika, 75, 335–346.
26. Tatom, J. A. (1991). Public Capital and Private Sector Performance. Federal Reserve Bank of St. Louis Review, May/June, 3-15.
27. Voss, G. (2002). Public and Private Investment in The United States and Canada. Economic Modelling, 19, 641–664.