Kamu ve Özel Sektör Yatırımı Arasında Asimetrik ve Zamanla Değişen Nedensellik: Türkiye'den Kanıtlar

Öz

Ekonominin ana odak noktalarından biri, özel sektör ile kamu sektörü arasındaki etkileşimdir. Her iki kesim de birbirlerini olumlu veya olumsuz etkileyebilmektedir. Bu makalede, ilk olarak asimetrik nedensellik testi yapılarak, kamu kesimi yatırımlarının özel kesim yatırımları üzerindeki potansiyel dinamik etkilerinin tespit edilmesi amaçlanmaktadır. Ayrıca, Türkiye'de iki sektör arasındaki yapısal ilişkiyi tespit etmek için doğrusal olmayan ve zamanla değişen nedensellik analizleri kullanılmaktadır. Sonuçlar, kamudan özel sektöre doğru dışlama etkisi olduğunu göstermektedir. Bu sonucun yanında, doğrusal olmayan nedensellik ve zamanla değişen nedensellik testinde nedensel etkiler özel kesim yatırımlarından kamu kesimi yatırımlarına doğru gerçekleşmektedir.

Anahtar Kelimeler

• Nedensellik
• asimetrik nedensellik
• zamanla değişen nedensellik
• dışlama
• içselleme

Asymmetric and Time-Varying Causality Between The Public and Private Sector Investment: Evidence From Turkey

Öz

The interaction between the private and public sectors is one of the main focuses of economics. They affect each other positively or negatively. This paper aims to determine the potential dynamic impacts of the public investments on the private investments in Turkey by running asymmetric causality and to detect a structural relationship of two sectors by using nonlinear and time-varying causality. The result illustrates that there is a crowding-out effect from the public to private investment. On the other side, time-varying and nonlinear causality reach an inverse direction for the causal effects stemming from the private to the public.

Anahtar Kelimeler

• asymmetric causality
• time-varying causality
• crowding-out
• crowding-in

Kaynakça

1. ABIAD, A., FURCERI, D., TOPALOVA, P. (2015), “The macroeconomic effects of public investment: evidence from advanced economies”, Journal of Macroeconomics, 56, 224-240.
2. AFONSO, A., ST. AUBYN, M. (2009), “Macroeconomic rates of return of public and private investment: crowding‐in and crowding‐out effects”, The Manchester School, 77, 21-39.
3. AFONSO, A., SOUSA, R. M. (2011), “The macroeconomic effects of fiscal policy in Portugal: a Bayesian SVAR analysis”, Portuguese Economic Journal, 10(1), 61-82.
4. AKINTUNDE, M. O., OYEKUNLE, J. O., OLALUDE, G. A. (2015), “Detection of non-linearity in the time series using BDS test”, Science Journal of Applied Mathematics and Statistics, 3(4), 184-192.
5. ARI, I., AKKAS, E., ASUTAY, M., KOÇ, M. (2019), “Public and private investment in the hydrocarbon-based rentier economies: A case study for the GCC countries”, Resources Policy, 62, 165-175.
6. BALCERZAK, A.P., ROGALSKA, E. (2014), “Crowding out and crowding in within Keynesian framework. Do we need any new empirical research concerning them?”, Recent Issues in Economic Development, 7(2), 80-93.
7. BAŞAR, S., TEMURLENK, M. S. (2007), “Investigating crowding-out effect of government spending for Turkey: A structural var approach”, Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 21(2), 95-104.
8. BAYAT, T., NAZLIOGLU, S., KAYHAN, S. (2015), “Exchange rate and oil price interactions in transition economies: Czech Republic, Hungary and Poland”, Panoeconomicus, 62(3), 267-285.

9. BİLGİLİ, F. (2003). “Dynamic implications of fiscal policy: Crowding-out or crowding-in?”, Munich Personal RePEc Archive, https://mpra. ub.uni-muenchen.de/24111/, (06.12.2017).
10. BOM, P. R. (2017), “Factor-biased public capital and private capital crowding out”, Journal of Macroeconomics, 52, 100-117.
11. BROOCK, W. A., SCHEINKMAN, J. A., DECHERT, W. D., LEBARON, B. (1996), “A test for independence based on the correlation dimension”, Econometric Reviews, 15(3), 197-235.
12. CARRASCO, M. (1998), “Crowding out and government spending”, University Avenue Undergraduate Journal of Economics, 2(1), 1.
13. CEKİC, S., GRANDJEAN, D., RENAUD, O. (2017), “Time, frequency & time-varying causality measures in neuroscience”, https://arxiv.org/abs/1704.03177, (06.11.2017).
14. CHAKRABORTY, L. S. (2006), “Fiscal deficit, capital formation, and crowding out: Evidence from India”, National Institute of Public Finance and Policy. https://ideas.repec.org/p/npf/ wpaper/06-43.html, (12.02.2017).
15. CHEN, G. S., Yao, Y., & Malizard, J. (2017). Does foreign direct investment crowd in or crowd out private domestic investment in China? The effect of entry mode. Economic Modelling, 61, 409-419.
16. CINER, C. (2011), “Eurocurrency interest rate linkages: A frequency domain analysis, International Review of Economics and Finance, 20, 498-505.
17. DIKS, C., PANCHENKO, V. (2006), “A new statistic and practical guidelines for nonparametric Granger causality testing”, Journal of Economic Dynamics & Control, 30, 1647-1669.
18. DREGER, C., REIMERS, H. E. (2016), “Does public investment stimulate private investment? Evidence for the euro area”, Economic Modelling, 58, 154-158.
19. EDEN, K., KRAAY, A. (2014), ““Crowding-in” and the returns to government investment in low-income countries”, The World Bank Policy Research Working Paper, 6781, 1-32.
20. ENDERS, W. (2010), Applied econometric time series. 3rd ed. United State of America: Wiley.
21. ENGLE, R. F., GRANGER, C. W. (1987), “Co-integration and error correction: representation, estimation, and testing”, Econometrica: journal of the Econometric Society, 251-276.
22. ERENBURG, S. J., WOHAR, M. E. (1995), “Public and private investment: Are there causal linkages?”, Journal of Macroeconomics, 17(1), 1-30.
23. FELICE, G. (2016), “Size and composition of public investment, sectoral composition and growth”, European Journal of Political Economy, 44, 136-158.
24. FUNASHIMA, Y., OHTSUKA, Y. (2019), “Spatial crowding-out and crowding-in effects of government spending on the private sector in Japan”, Regional Science and Urban Economics, 75, 35-48.
25. FURCERI, D., SOUSA, R. M. (2011), “The impact of government spending on the private sector: Crowding‐out versus crowding‐in effects”, Kyklos, 64(4), 516-533.
26. GLASS, A. (2009), “Government expenditure on public order and safety, economic growth and private investment: Empirical evidence from the United States”, International Review of Law and Economics, 29(1), 29-37.
27. GOKMENOGLU, K., KIRIKKALELİ, D., EREN, B. M. (2019), “Time and frequency domain causality Testing: The causal linkage between FDI and economic risk for the case of Turkey”, The Journal of International Trade & Economic Development, 28(6), 649-667.
28. GRANGER, C.W.J. (1969), “Investigating causal relations by econometric models and cross-spectral methods”, Econometrica, 37(3), 424-438.
29. GUJARATI, D.N., PORTER, D.C. (2009), Basic Econometrics, Singapore: Mc Graw Hill.
30. HACKER, R. S., HATEMI-J, A. (2006), “Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application”, Applied Economics, 38(13), 1489-1500.
31. HAFNER, C.M., HERWARTZ, H. (2006), “A Lagrange Multiplier Test for Causality in Variance”, Economics Letters, 93, 137-141.
32. HATANO, T. (2010), “Crowding-in Effect of Public Investment on Private Investment”, Public Policy Review, 6(1), 105-120.
33. HATEMI-J, A., TSANGYAO CHANG, T., CHEN, W., LIN, F., GUPTA, R. (2017), “Asymmetric Causality between Military Expenditures and Economic Growth in Top Six Defense Spenders”, https://link.springer.com/content/pdf/10.1007%2Fs11135-017-0512-9.pdf, (15.11.2017).
34. HATEMI-J, A. (2012), “Asymmetric Causality Tests with an Application”, Empirical Economics, 43(1), 447-456.
35. HATEMI-J, A. (2011), “Asymmetric Panel Causality Tests with an Application to the Impact of Fiscal Policy on Economic Performance in Scandinavia”, https://ideas .repec.org/p/pra/mprapa/55527.html, (15.04.2017).
36. KAYTANCI, U. B. (2017), “Türkiye’de Kamu Harcamalarının Dışlayıcılık ve Tamamlayıcılık Etkilerinin Araştırılması”, Aksaray Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(3), 1-14.
37. KOOP, G. (2005), Analysis of Economic Data, John Wiley & Sons, Ltd., https://pdfs.semanticscholar.org/97b4/919c2d4df2dc21768c91d6b5bf3adc969136.pdf> (15.11.2017).
38. KUŞTEPELİ, Y. (2005), “Effectiveness of Fiscal Spending: Crowding-Out and/or Crowding-In?”, Yönetim ve Ekonomi, 2(1), 185-92.
39. LUNDBERGH, S., TERÄSVIRTA, T. (2002), “Evaluating GARCH Models”, Journal of Econometrics, 110(2), 417-435.
40. MAKI, D. (2016), “Properties of Time-Varying Causality Tests in the Presence of Multivariate Stochastic Volatility”, Open Journal of Statistics, 6(05), 777.
41. MALIZARD, J. (2013), “Opportunity Cost of Defense: An Evaluation in the Case of France”, Defence and Peace Economics, 24(3), 247-259.
42. MALLICK, H., MAHALIK, M. K., SAHOO, M. (2018), “Is Crude Oil Price Detrimental to Domestic Private Investment for an Emerging Economy? The Role of Public Sector Investment and Financial Sector Development in an Era of Globalization”, Energy Economics, 69, 307-324.
43. MENSI, W., SHAHZAD, S. J. H., HAMMOUDEH, S., AL-YAHYAEE, K. H. (2018), “Asymmetric Impacts of Public and Private Investments on the Non-oil GDP of Saudi Arabia”, International Economics, 156, 15-30.
44. MOUNTFORD, A., UHLIG, H. (2005), “What are the Effects of Fiscal Policy Shocks? V. Results from an Agnostic Identification Procedure”, CEPR Discussion Papers, 3338.
45. NAZLIOGLU, S., KAYHAN, S., ADIGUZEL, U. (2014), “Electricity Consumption and Economic Growth in Turkey: Co-Integration, Linear and Nonlinear Granger Causality”, Energy Sources, Part B: Economics Planning, and Policy, 9(4), 315-324.
46. ÖZCAN, C. (2015), “Turizm Gelirleri-Ekonomik Büyüme Ilişkisinin Simetrik ve Asimetrik Nedensellik Yaklaşımı ile Analizi: Türkiye Örneği”, Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, (46), 177-199.
47. PURVIS, D.D. (1980), “Monetarism: a Review”, Canadian Economics Association, 13(1), 96-122.
48. RAMÍREZ, M. D. (1994), “Public and Private Investment in Mexico, 1950-90: An Empirical Analysis”, Southern Economic Journal, 1-17.
49. SAIBU, M. O., OLADEJI, S.I. (2007), “Asymmetric Policy Shocks and Real Output Fluctuation in Nigeria (1960-2004)”, International Journal of Applied Economics and Finance, 1-9.
50. SIX CAUSAL PATTERNS. (2017), “Causal Pattern in Science”, https://www.cfa .harvard.edu/smg/Website/UCP/pdfs/SixCausalPatterns.pdf, (07.07. 2017).
51. ŞEN, H., KAYA, A. (2014), “Crowding-out or Crowding-in? Analyzing the Effects of Government Spending on Private Investment in Turkey”, Panoeconomicus, 6, 631-654.
52. CBRT. (2017), Electronic Data Delivery System. https://evds2.tcmb.gov.tr/index.php? /evds/serieMarket, (24.07.2017).
53. VOSS, G. M. (2002), “Public and Private Investment in the United States and Canada”, Economic Modelling, 19(4), 641-664.
54. YAVUZ, N. Ç. (2001), “Türkiye’de Kamu Harcamalarının Özel Sektör Yatırım Harcamalarını Dışlama Etkisi Üzerine Ekonometrik Bir Analiz (1990-1\2000-IV)”, Kamu-İş, 6(2), 47-64.
55. ZOU, C., LADROUE, C., GUO, S., FENG, J. (2010), “Identifying Interactions in the Time and Frequency Domains in Local and Global Networks-A Granger Causality Approach”, BMC bioinformatics, 11(1), 337