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Belirsizlik ve Doğrudan Yabancı Yatırım İlişkisi: Yeni Bir Endeks ile Panel Veri Analizi

Yıl 2022, Cilt: 21 Sayı: 3, 1200 - 1215, 31.07.2022

Mustafa Şit

https://doi.org/10.21547/jss.1049930

Öz

Bu çalışmada seçilmiş Latin Amerika (Brezilya, Meksika, Kolombiya ve Şili) ekonomilerinde DYY ile belirsizlik arasındaki ilişki yeni bir endeks olan Dünya Belirsizlik Endeksi ile araştırılmıştır. Bu ilişkiyi açıklamada Abel’in (1983) belirsizliğin DYY'yi artırması gerektiğini ileri süren, Dixit and Pindyck (1994) ise histerezis ve opsiyon değeri teorileri test edilmiştir. Yöntem olarak Kao ve Pedroni eşbütünleşme testleri ile FMOLS tahmincisi seçilmiştir. Çalışma sonucunda değişkenler arasında uzun dönemli ilişki tespit edilmiştir. Analize konu olan ekonomilerde histerezis ve opsiyon değeri teorilerinin geçerli olduğu görülmektedir

Anahtar Kelimeler

Doğrudan Yabancı Yatırım Latin Amerika Dünya Belirsizlik Endeksi Panel FMOLS

Kaynakça

  • Abel, A. (1983). Optimal Investment under Uncertainty. Am. Econ. Rev. 73, 228–233.
  • Ahir, H., Bloom, N., & Furceri, D. (2020). 60 years of uncertainty. Finance & Development, 57 (001).
  • Aizenman, J. & Marion, N. (2004). The merits of horizontal versus vertical FDI in the presence of uncertainty. Journal of International economics, 62(1), 125-148.
  • Akbaş, Y. & Şentürk, M. (2013). MENA Ülkelerinde Elektrik Tüketimi İle Ekonomik Büyüme Arasindaki Karşilikli İlişkinin Analizi. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, (41), 45-67.
  • Asamoah, M. E. Adjasi, C. K. & Alhassan, A. L. (2016). Macroeconomic uncertainty, foreign direct investment and institutional quality: Evidence from Sub-Saharan Africa. Economic Systems, 40(4), 612-621.
  • Azzimonti, M. (2019). Does partisan conflict deter FDI inflows to the US?. Journal of International Economics, 120, 162-178.
  • Baker, S. Bloom, R., N. & Davis, S. J. (2016). Measuring Economic Policy Uncertainty. Quarterly Journal of Economics 131 (4), 1593–1636.
  • Bloom, N. (2009). The Impact of Uncertainty Shocks. Econometrica 77(3), 623–85.
  • Buchanan, B. G., Le, Q. V., & Rishi, M. (2012). Foreign direct investment and institutional quality: Some empirical evidence. International review of financial analysis, 21, 81-89.
  • Busse, M., & Hefeker, C. (2007). Political risk, institutions and foreign direct investment. European journal of political economy, 23(2), 397-415.
  • Canh, N. P., Binh, N. T., Thanh, S. D., & Schinckus, C. (2020). Determinants of foreign direct investment inflows: The role of economic policy uncertainty. International Economics, 161, 159-172.
  • Clausen, B. (2008). Real effective exchange rate uncertainty, threshold effects, and aggregate investment: Evidence from Latin American countries (No. 2008/2). IWP discussion paper.
  • Çubukcu, F. Türkmen, A. & Emsen, Ö. S. (2021). Doğrudan Yabancı Sermaye Yatırımlarının İhracata Yönelik veya İthal İkameci Etkileri-Türkiye Tekstil Sektörü Üzerine Bir Araştırma. Gaziantep University Journal of Social Sciences , 20 (4) , 1647-1668 . DOI: 10.21547/jss.907372.
  • Dal Bianco, S., & Loan, N. C. T. (2017). FDI inflows, price and exchange rate volatility: New empirical evidence from Latin America. International Journal of Financial Studies, 5(1), 6.
  • Dixit, A. (1989). Entry and Exit Decisions under Uncertainty. Journal of Political Economy 97(31), 620–638.
  • Dixit, A. & Pindyck, R. (1994). Investment under Uncertainty. Princeton, NJ: Princeton University Press.
  • Drukker, D. M. (2003). Testing for serial correlation in linear panel-data models. The stata journal, 3(2), 168-177.
  • Economic Commission for Latin America and the Caribbean (ECLAC), (2020), Foreign direct investment (FDI) inflows into Latin America and the Caribbean.
  • Ghirelli, Corinna and Perez, Javier J. and Urtasun, Alberto, Economic Policy Uncertainty in Latin America: Measurement using Spanish Newspapers and Economic Spillovers (July 27, 2020). Banco de Espana Working Paper No. 2024, Available at SSRN: https://ssrn.com/abstract=3661499 or http://dx.doi.org/10.2139/ssrn.3661499.
  • Gilchrist, S., Sim, J. W., & Zakrajšek, E. (2014). Uncertainty, financial frictions, and investment dynamics (No. w20038). National Bureau of Economic Research.
  • Gutierrez, L. (2003). On the power of panel cointegration tests: a Monte Carlo comparison. Economics Letters, 80(1), 105-111.
  • Hacıevliyagil, N. , Şit, A. & Tuna, İ. (2020). Finansal Krizlerde İçeren Dönemlerde Sermaye Yapısının Finansal Performans Üzerine Etkisi: Türk Bankacılık Sektörü Üzerine Bir Uygulama. Sosyal Bilimler Araştırmaları Dergisi , Autumn Special Issue I/II (en) , 139-148 . Retrieved from https://dergipark.org.tr/en/pub/gopsbad/issue/57502/730303
  • Hadri, K. (2000). Testing for Stationarity in Heterogeneous Panels. Econometrics Journal 3: 148-161.
  • Harris, Richard D.F. & Tzavalis, E. (1999). Inference for Unit Roots in Dynamic Panels Where the Time Dimension is Fixed. Journal of Econometrics, 91, pp.201-226
  • Hsieh, H. C., Boarelli, S., & Vu, T. H. C. (2019). The effects of economic policy uncertainty on outward foreign direct investment. International Review of Economics & Finance, 64, 377-392.
  • Ju, J., & Wei, S. -J. (2007). Domestic institutions and the bypass effect of financial globalization. NBER working paper 13148. Kamacı, A. (2015). Enflasyon ve Döviz Kuru İlişkisi: 25 Avrupa Birliği Ülkesi İçin Panel Eşbütünleşme ve Nedensellik Analizi, Sakarya İktisat Dergisi , 4 (1) , 89-111 . Retrieved from https://dergipark.org.tr/en/pub/sid/issue/30099/324753
  • Kao, C. (1999). Spurious regression and residual-based tests for cointegration in panel data. Journal of econometrics, 90(1), 1-44.
  • Leahy, J., & Whited. T. (1996). The Effect of Uncertainty on Investment: Some Stylized Facts. Journal of Money, Credit and Banking 28 (1): 64–83
  • Lemi, A., & Asefa, S. (2003). Foreign direct investment and uncertainty: Empirical evidence from Africa. African Finance Journal, 5(1), 36-67.
  • Nguyen, C. P., & Lee, G. S. (2021). Uncertainty, financial development, and FDI inflows: Global evidence. Economic Modelling, 99, 105473.
  • Pedroni, P. (1999). Critical values for cointegration tests in heterogeneous panels with multiple regressors. Oxford Bulletin of Economics and statistics, 61(S1), 653-670.
  • Pedroni, P. (2000). Fully Modified OLS for Heterogeneous Cointegrated Panels, Advances in Econometrics, 15, pp. 93–130.
  • Pesaran, M. H. (2004), General Diagnostic Tests For Cross Section Dependence In Panels, University of Cambridge Working Papers in Economics, No. 0435, University of Cambridge, Faculty of Economics: 1-39.
  • Peseran. M. H. (2007). A Simple Panel Unit Root Test in the Presence of Cross Section Dependence. Journal of Applied Econometrics, 22(2), pp. 265-312.
  • Phillips, P.C. ve Hansen, B.E. (1990). Statistical Inference in Instrumental Variables Regression with I (1) Processes. The Review of Economic Studies, 57, 99-125
  • Ruiz, I., & Pozo, S. (2008). Exchange rates and US direct investment into Latin America. Journal of International Trade and Economic Development, 17(3), 411-438.
  • Sánchez-Martín, M. E., De Arce, R., & Escribano, G. (2014). Do changes in the rules of the game affect FDI flows in Latin America? A look at the macroeconomic, institutional and regional integration determinants of FDI. European Journal of Political Economy, 34, 279-299.
  • Solomon, B., & Ruiz, I. (2012). Political risk, macroeconomic uncertainty, and the patterns of foreign direct investment. The International Trade Journal, 26(2), 181-198.
  • Tuman, J. P., & Emmert, C. (2004). The Political Economy of U.S. Foreign Direct Investment in Latin America: A Reappraisal. Latin American Research Review 39(3): 9–28.
  • UNCTAD. (2019). World Investment Report (WIR), Geneva: UNCTAD.
  • Wheeler, D., & Mody, A. (1992). International Investment Location Decisions: The Case of U.S. Firms. Journal of International Economics 33(1): 57–76.
  • Wolf, M. (2008). Fixing global finance: John Hopkins Press.
  • Wooldridge, J. M. (2002). Econometric Analysis of Cross Section and Panel Data. Cambridge, MA: MIT Press.
  • Yalçinkaya, Ö. & Aydin, H. I. (2017). Ekonomik ve Politik Belirsizliğin Ekonomik Büyüme Üzerindeki Etkileri: G-7+ BRC Ülkeleri Üzerine Bir Panel Veri Analizi (1997-2015). Ege Academic Review, 17(3).

The Relationship between Uncertainty and Foreign Direct Investment: Panel Data Analysis with a New Index

Yıl 2022, Cilt: 21 Sayı: 3, 1200 - 1215, 31.07.2022

Mustafa Şit

https://doi.org/10.21547/jss.1049930

Öz

Bu çalışmada seçilmiş Latin Amerika (Brezilya, Meksika, Kolombiya ve Şili) ekonomilerinde DYY ile belirsizlik arasındaki ilişki yeni bir endeks olan Dünya Belirsizlik Endeksi ile araştırılmıştır. Bu ilişkiyi açıklamada Abel’in (1983) belirsizliğin DYY'yi artırması gerektiğini ileri süren, Dixit and Pindyck (1994) ise histerezis ve opsiyon değeri teorileri test edilmiştir. Yöntem olarak Kao ve Pedroni eşbütünleşme testleri ile FMOLS tahmincisi seçilmiştir. Çalışma sonucunda değişkenler arasında uzun dönemli ilişki tespit edilmiştir. Analize konu olan ekonomilerde histerezis ve opsiyon değeri teorilerinin geçerli olduğu görülmektedir.

Anahtar Kelimeler

Foreign Direct Investment Latin America World Uncertainty Index Panel FMOLS

Kaynakça

  • Abel, A. (1983). Optimal Investment under Uncertainty. Am. Econ. Rev. 73, 228–233.
  • Ahir, H., Bloom, N., & Furceri, D. (2020). 60 years of uncertainty. Finance & Development, 57 (001).
  • Aizenman, J. & Marion, N. (2004). The merits of horizontal versus vertical FDI in the presence of uncertainty. Journal of International economics, 62(1), 125-148.
  • Akbaş, Y. & Şentürk, M. (2013). MENA Ülkelerinde Elektrik Tüketimi İle Ekonomik Büyüme Arasindaki Karşilikli İlişkinin Analizi. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, (41), 45-67.
  • Asamoah, M. E. Adjasi, C. K. & Alhassan, A. L. (2016). Macroeconomic uncertainty, foreign direct investment and institutional quality: Evidence from Sub-Saharan Africa. Economic Systems, 40(4), 612-621.
  • Azzimonti, M. (2019). Does partisan conflict deter FDI inflows to the US?. Journal of International Economics, 120, 162-178.
  • Baker, S. Bloom, R., N. & Davis, S. J. (2016). Measuring Economic Policy Uncertainty. Quarterly Journal of Economics 131 (4), 1593–1636.
  • Bloom, N. (2009). The Impact of Uncertainty Shocks. Econometrica 77(3), 623–85.
  • Buchanan, B. G., Le, Q. V., & Rishi, M. (2012). Foreign direct investment and institutional quality: Some empirical evidence. International review of financial analysis, 21, 81-89.
  • Busse, M., & Hefeker, C. (2007). Political risk, institutions and foreign direct investment. European journal of political economy, 23(2), 397-415.
  • Canh, N. P., Binh, N. T., Thanh, S. D., & Schinckus, C. (2020). Determinants of foreign direct investment inflows: The role of economic policy uncertainty. International Economics, 161, 159-172.
  • Clausen, B. (2008). Real effective exchange rate uncertainty, threshold effects, and aggregate investment: Evidence from Latin American countries (No. 2008/2). IWP discussion paper.
  • Çubukcu, F. Türkmen, A. & Emsen, Ö. S. (2021). Doğrudan Yabancı Sermaye Yatırımlarının İhracata Yönelik veya İthal İkameci Etkileri-Türkiye Tekstil Sektörü Üzerine Bir Araştırma. Gaziantep University Journal of Social Sciences , 20 (4) , 1647-1668 . DOI: 10.21547/jss.907372.
  • Dal Bianco, S., & Loan, N. C. T. (2017). FDI inflows, price and exchange rate volatility: New empirical evidence from Latin America. International Journal of Financial Studies, 5(1), 6.
  • Dixit, A. (1989). Entry and Exit Decisions under Uncertainty. Journal of Political Economy 97(31), 620–638.
  • Dixit, A. & Pindyck, R. (1994). Investment under Uncertainty. Princeton, NJ: Princeton University Press.
  • Drukker, D. M. (2003). Testing for serial correlation in linear panel-data models. The stata journal, 3(2), 168-177.
  • Economic Commission for Latin America and the Caribbean (ECLAC), (2020), Foreign direct investment (FDI) inflows into Latin America and the Caribbean.
  • Ghirelli, Corinna and Perez, Javier J. and Urtasun, Alberto, Economic Policy Uncertainty in Latin America: Measurement using Spanish Newspapers and Economic Spillovers (July 27, 2020). Banco de Espana Working Paper No. 2024, Available at SSRN: https://ssrn.com/abstract=3661499 or http://dx.doi.org/10.2139/ssrn.3661499.
  • Gilchrist, S., Sim, J. W., & Zakrajšek, E. (2014). Uncertainty, financial frictions, and investment dynamics (No. w20038). National Bureau of Economic Research.
  • Gutierrez, L. (2003). On the power of panel cointegration tests: a Monte Carlo comparison. Economics Letters, 80(1), 105-111.
  • Hacıevliyagil, N. , Şit, A. & Tuna, İ. (2020). Finansal Krizlerde İçeren Dönemlerde Sermaye Yapısının Finansal Performans Üzerine Etkisi: Türk Bankacılık Sektörü Üzerine Bir Uygulama. Sosyal Bilimler Araştırmaları Dergisi , Autumn Special Issue I/II (en) , 139-148 . Retrieved from https://dergipark.org.tr/en/pub/gopsbad/issue/57502/730303
  • Hadri, K. (2000). Testing for Stationarity in Heterogeneous Panels. Econometrics Journal 3: 148-161.
  • Harris, Richard D.F. & Tzavalis, E. (1999). Inference for Unit Roots in Dynamic Panels Where the Time Dimension is Fixed. Journal of Econometrics, 91, pp.201-226
  • Hsieh, H. C., Boarelli, S., & Vu, T. H. C. (2019). The effects of economic policy uncertainty on outward foreign direct investment. International Review of Economics & Finance, 64, 377-392.
  • Ju, J., & Wei, S. -J. (2007). Domestic institutions and the bypass effect of financial globalization. NBER working paper 13148. Kamacı, A. (2015). Enflasyon ve Döviz Kuru İlişkisi: 25 Avrupa Birliği Ülkesi İçin Panel Eşbütünleşme ve Nedensellik Analizi, Sakarya İktisat Dergisi , 4 (1) , 89-111 . Retrieved from https://dergipark.org.tr/en/pub/sid/issue/30099/324753
  • Kao, C. (1999). Spurious regression and residual-based tests for cointegration in panel data. Journal of econometrics, 90(1), 1-44.
  • Leahy, J., & Whited. T. (1996). The Effect of Uncertainty on Investment: Some Stylized Facts. Journal of Money, Credit and Banking 28 (1): 64–83
  • Lemi, A., & Asefa, S. (2003). Foreign direct investment and uncertainty: Empirical evidence from Africa. African Finance Journal, 5(1), 36-67.
  • Nguyen, C. P., & Lee, G. S. (2021). Uncertainty, financial development, and FDI inflows: Global evidence. Economic Modelling, 99, 105473.
  • Pedroni, P. (1999). Critical values for cointegration tests in heterogeneous panels with multiple regressors. Oxford Bulletin of Economics and statistics, 61(S1), 653-670.
  • Pedroni, P. (2000). Fully Modified OLS for Heterogeneous Cointegrated Panels, Advances in Econometrics, 15, pp. 93–130.
  • Pesaran, M. H. (2004), General Diagnostic Tests For Cross Section Dependence In Panels, University of Cambridge Working Papers in Economics, No. 0435, University of Cambridge, Faculty of Economics: 1-39.
  • Peseran. M. H. (2007). A Simple Panel Unit Root Test in the Presence of Cross Section Dependence. Journal of Applied Econometrics, 22(2), pp. 265-312.
  • Phillips, P.C. ve Hansen, B.E. (1990). Statistical Inference in Instrumental Variables Regression with I (1) Processes. The Review of Economic Studies, 57, 99-125
  • Ruiz, I., & Pozo, S. (2008). Exchange rates and US direct investment into Latin America. Journal of International Trade and Economic Development, 17(3), 411-438.
  • Sánchez-Martín, M. E., De Arce, R., & Escribano, G. (2014). Do changes in the rules of the game affect FDI flows in Latin America? A look at the macroeconomic, institutional and regional integration determinants of FDI. European Journal of Political Economy, 34, 279-299.
  • Solomon, B., & Ruiz, I. (2012). Political risk, macroeconomic uncertainty, and the patterns of foreign direct investment. The International Trade Journal, 26(2), 181-198.
  • Tuman, J. P., & Emmert, C. (2004). The Political Economy of U.S. Foreign Direct Investment in Latin America: A Reappraisal. Latin American Research Review 39(3): 9–28.
  • UNCTAD. (2019). World Investment Report (WIR), Geneva: UNCTAD.
  • Wheeler, D., & Mody, A. (1992). International Investment Location Decisions: The Case of U.S. Firms. Journal of International Economics 33(1): 57–76.
  • Wolf, M. (2008). Fixing global finance: John Hopkins Press.
  • Wooldridge, J. M. (2002). Econometric Analysis of Cross Section and Panel Data. Cambridge, MA: MIT Press.
  • Yalçinkaya, Ö. & Aydin, H. I. (2017). Ekonomik ve Politik Belirsizliğin Ekonomik Büyüme Üzerindeki Etkileri: G-7+ BRC Ülkeleri Üzerine Bir Panel Veri Analizi (1997-2015). Ege Academic Review, 17(3).
Toplam 44 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Ekonomi
Bölüm İktisat
Yazarlar

Mustafa Şit 0000-0001-9694-0547

Yayımlanma Tarihi 31 Temmuz 2022
Gönderilme Tarihi 28 Aralık 2021
Kabul Tarihi 28 Haziran 2022
Yayımlandığı Sayı Yıl 2022 Cilt: 21 Sayı: 3

Kaynak Göster

APA Şit, M. (2022). Belirsizlik ve Doğrudan Yabancı Yatırım İlişkisi: Yeni Bir Endeks ile Panel Veri Analizi. Gaziantep University Journal of Social Sciences, 21(3), 1200-1215. https://doi.org/10.21547/jss.1049930