Döviz Kuru Doğrudan Yabancı Yatırım Girişini Gerçekten Tetikler mi? Türkiye Örneği

Yıl 2018, Cilt: 26 Sayı: 37, 257 - 273, 31.07.2018

Zeynep Erünlü

https://doi.org/10.17233/sosyoekonomi.2018.03.15

Cited By: 1

Öz

Bu çalışmada, reel döviz kuru ile doğrudan yabancı yatırımlar arasında ilişkinin varlığı, Lojistik Yumuşak Geçişli - Otoregresif Dağıtılmış Gecikme Modeli (LST-ARDL) modeli kullanılarak incelenmiştir. Reel döviz kuru değişikliklerinin doğrudan yabancı yatırımlar üzerindeki etkisi özellikle Türkiye gibi yüksek miktarda yabancı borç stoku olan gelişmekte olan ülkeler için çok önemlidir. Tahmin sonuçları, Türk Lirasının Amerikan Doları karşısında reel olarak değer kazanmasının yabancı sermaye girişini arttırdığını ve bu etkinin özellikle yüksek sermaye girişinin olduğu dönemlerde daha yüksek olduğunu göstermiştir. Bu nedenle, Türkiye’nin istikrarsız kısa vadeli portföy akımlarından ziyade üretken sermaye akımlarını çekmesi için Amerikan dolarına karşı güçlü para birimini sürdürmesi gerekmektedir.

Anahtar Kelimeler

Döviz kuru, Doğrudan Yabancı Yatırım, Yumuşak Geçişli Regresyon Modeli, Eşik Etkisi

Do Depreciations Really Trigger an Inflow of Foreign Direct Investment? The Case of Turkey

Öz

In this study, the relationship between real exchange rate and foreign direct investment is examined using the Logistic Smooth Transition - Autoregressive Distributed Lag (LST-ARDL) model. Analyzing the effect of real exchange rate changes on foreign direct investment is very crucial for a developing country like Turkey which has a relatively large foreign debt stock. The estimation results show that foreign direct investment inflows to Turkey increase when Turkish Lira appreciates against the US dollar. This effect is especially strong during periods of high investment inflows. Thus, for Turkey to attract productive capital flows rather than short-term rather unstable portfolio flows it has to maintain a strong currency against the US dollar.

Anahtar Kelimeler

Exchange Rate, Foreign Direct Investment, Smooth Transition Regression Model, Threshold Effect

Kaynakça

• Baek, I. M., & Okawa, T. (2001). ‘‘Foreign Exchange Rates and Japanese Foreign Direct Investment in Asia’’, Journal of Economics and Business, 53(1), 69–84.
• Bayoumi, T., & Lipworth, G. (1998). ‘‘Japanese foreign direct investment and regional trade’’, Journal of Asian Economics, 9(4), 581-607.
• Benassy-Quere, A., Fontagne, L., & Lahreche-Revil, A. (2000). Exchange rate strategies in the competition for attracting FDI(No. 2000.07). Université Panthé on-Sorbonne (Paris 1).
• Blonigen, B. A. (1997). ‘‘Firm-specific assets and the link between exchange rates and foreign direct ınvestment’’, The American Economic Review, 87(3), 447–465.
• Cambazoğlu, B., & Günes, S. (2016). ‘‘The relationship between foreign exchange rate and foreign direct investment in Turkey’’, Economics, Management and Financial Markets, 11(1), 284.
• Caves, Richard E. (1989). "Exchange-rate movements and foreign direct ınvestment in the United States," in David B. Audretsch and Michael P. Claudon, eds., The internationalization of U.S. markets. New York: New York University Press.
• Central Bank of the Republic of Turkey (2013), Monetary transmission mechanism, <http://www.tcmb.gov.tr/wps/wcm/connect/4e99834e-179b-4a08-820c-f2b259032afd/ParasalAktarim.pdf?MOD=AJPERES&CVID=> , 20.02.2018.
• Chakrabarti, A. (2003). ‘‘A theory of the spatial distribution of foreign direct ınvestment’’, International Review of Economics and Finance, 12(2), 149-169.
• Çorakcı, A., Omay, T., & Emirmahmutoğlu, F. (2017). “Re-examing the real interest rate parity hypothesis (RIPH) using panel unit root tests with asymmetry and cross-section dependence”, Empirica: Journal of European Economics, 44(1), 91-120.
• Dewenter, K. L. (1995). ‘‘Do exchange rate changes drive foreign direct investment?’’, Journal of Business, 405-433.
• Eitrheim, Ø., & Teräsvirta, T. (1996). ‘‘Testing the adequacy of smooth transition autoregressive models’’, Journal of Econometrics, 74(1), 59-75.
• Enders, W. (2008). Applied econometric time series. John Wiley & Sons Inc., 3rd edition.
• Froot, K., & Stein, J. (1991). ‘‘Exchange rates and foreign direct ınvestment: an ımperfect capital markets approach’’, Quarterly Journal of Economics, 106(4), 1191–1217.
• Goldberg, L. S., & Klein, M. W. (1999). ‘‘International trade and factor mobility: an empirical investigation’’, National Bureau of Economic Research Discussion Paper, no. w7196 .
• Harris, R. S., & Ravenscraft, D. (1991). ‘‘The role of acquisitions in foreign direct investment: evidence from the US stock market’’, The Journal of Finance, 46(3), 825-844.
• Hasanov, M., & Omay, T. (2008). ‘‘Nonlinearities in emerging stock markets: evidence from Europe's two largest emerging markets’’, Applied Economics, 40(20), 2645-2658.
• Ito, T. 2000. Capital flows in Asia, in S. Edwards (ed.), Capital Flows and the Emerging Economies: Theories, Evidence and Controversies. Chicago: University of Chicago Press. pp. 255-296.
• Karagöz, K. (2007). ‘‘Türkiye’de doğrudan yabancı yatırım girişlerini belirleyen faktörler: 1970-2005’’, Journal of Yasar University, 2(8), 927-948.
• Kiyota, K., & Urata, S. (2004). ‘‘Exchange rate, exchange rate volatility and foreign direct investment’’, The world economy, 27(10), 1501-1536.
• Klein, M. W., & Rosengren, E. (1994). ‘‘The real exchange rate and foreign direct investment in the United States: relative wealth vs. relative wage effects’’, Journal of International Economics, 36(3-4), 373-389.
• Lin, C. F. J., & Teräsvirta, T. (1994). ‘‘Testing the constancy of regression parameters against continuous structural change’’, Journal of Econometrics, 62(2), 211-228.
• Omay, T., & Hasanov, M. (2010). ‘‘Türkiye için reaksiyon fonksiyonunun doğrusal olmayan modelle tahmin edilmesi’’, Çankaya University Journal of Humanities and Social Sciences, 7(2), 467–490.
• Omay, T., Araz-Takay, B., Eruygur, A., & Kılıç, İ. (2013). ‘‘The effects of terrorist activities on foreign direct investment: nonlinear evidence from Turkey’’, Review of Economics, 64(2), 139-158.
• Omay, T., Çorakcı, A., & Emirmahmutoğlu, F. (2017). “Real interest rates: nonlinearity and structural breaks”, Empirical Economics, 52(1), 283-307.
• Sazanami, Y., Yoshimura, S., & Kiyota, K. (2003). ‘‘Japanese foreign direct investment to East Asia and exchange rate policies: some longer term policy implications after the crisis’’, Keio economic studies, 40(1), 1-26.
• Sollis, R. (2009). ‘‘A simple unit root test against asymmetric STAR nonlinearity with and application to real exchange rates in Nordic countries’’, Economic Modelling, 26, 118-125.
• State Planing Organization (2000). Doğrudan yabancı sermaye yatırımları özel ihtisas komisyonu raporu, Ankara.
• Stevens, G. V. G. (1998). ‘‘Exchange rates and foreign direct ınvestment: a note’’, Journal of Policy Modeling 20 (3), 393-401.
• Swenson, D. (1994). ‘‘Impact of US Tax Reform on Foreign Direct Investment in the United States‘‘, Journal of Public Economics 54(2), 243-266.
• Takagi, S., & Shi, Z. (2011). ‘‘Exchange rate movements and foreign direct investment (FDI): Japanese investment in Asia, 1987–2008’’, Japan and the World Economy, 23(4), 265-272.
• Teräsvirta, T. (1994). ‘‘Specification, estimation, and evaluation of smooth transition autoregressive models’’, Journal of the American Statistical Association, 89(425), 208-218.
• van Dijk, D. (1999). Smooth Transition Models: Extensions and Outlier Robust Inference.
• van Dijk, D., Teräsvirta, T., & Franses, P. H. (2000). ‘‘Smooth transition autoregressive models-a survey of recent developments’’, Econometric Reviews, 21(1), 1-47.
• Yapraklı, S. (2006). ‘‘Türkiye’de doğrudan yabancı yatırımların ekonomik belirleyicileri üzerine ekonometrik bir analiz’’, Dokuz Eylül Üniversitesi İİBF Dergisi, 21(2), 23-48.
• Yılgör, M., Serel, A., & Erçakar, M.E. (2011). ‘‘Doğrudan yabancı yatırımların gelişini etkileyen faktörler: Türkiye üzerine bir model’’, Balıkesir Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 14 (26), 119-131.