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The Validity Of Feldstein-Horioka Hypothesis For Turkish Economy: Cointegration And Markov Regime Switching Approach

Year 2017, Volume: 17 Issue: 1, 89 - 104, 01.02.2017

Abstract

This study examines the Feldstein-Horioka hypothesis for Turkish Economy by using several time series techniques. Feldstein and Horioka (1980) have built and estimated a basic equation that shows the relationship between domestic savings and domestic investments to investigate whether domestic savings are retained for domestic investment or flows to international capital mobility. In the present study, this hypothesis has been tested for the period 1962-2015 of Turkish Economy. To be able to observe the periodical changes and breakpoints, the analysis contains different sub periods and estimation methods. Our findings show that while a very strong relationship has been observed between domestic savings and domestic investments for the period 1962-1990; after 1990, a lower coefficient has been estimated. Moreover, the period 1990-2015 has been also estimated via the Markov Regime Switching Model. The evidences obtained from this model show that pre and post 2001 periods give different results. It is observed that the international capital mobility of Turkish Economy has risen in the post 2001 period as against the previous years. Within the context of the Feldstein-Horioka hypothesis, all the obtained evidences reveal that the tendency for international capital mobility of Turkish Economy increases in time

References

  • Alvarez-Plata, P., and Schrooten, M. (2006), The Argentinean Currency Crisis: A Markov Switching Model Estimation, The Developing Economies, XLIV1, 79-91.
  • Arısoy, İ., (2013), “Türkiye’de Yatırım, Tasarruf ve Sermaye Akışkanlığının Analizi”, C.Ü. İktisadi ve İdari Bilimler Dergisi, Cilt:14, Sayı:1, ss.69-80.
  • Baek, J ve Kim, H.S., (2013) Is economic growth good or bad for the environment? Empirical evidence from Korea, Energy Economics, Volume 36, March 2013, Pages 744-749
  • Bolatoğlu, N. (2005), “Türkiye’de Yurtiçi Yatırım ve Yurtiçi Tasarruf Oranları Arasındaki İlişki”, Ekonomik Yaklaşım, Cilt:16, Sayı:56, ss.19-32.
  • Chakrabarti, A., (2006), “The saving–investment relationship revisited: New evidence from multivariate heterogeneous panel cointegration analyses”, Journal of Comparative Economics, 34, pp.402–419.
  • Chen, Shyh-Wei ve Chung-Hua, Shen, (2015), “Revisiting the Feldstein–Horioka puzzle with regime switching: New evidence from European countries”, Economic Modelling, 49, pp.260–269.
  • Coakley, J., A. Fuertes ve F. Spagnolo, (2004), “Is Feldstein-Horioka Puzzle History?”, The Manchester School, Vol. 72, No. 5, 1463–6786, pp.569–590
  • De Vita, G. ve A. Abbott, (2002), “Are saving and investment cointegrated? An ARDL bounds testing approach”, Economics Letters, 77, pp.293–299.
  • 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, Volume 74, Issue 366, 427-431.
  • Dursun, G. ve T. Abasız, (2014), “Feldstein-Horioka Puzzle in Turkey”, Doğuş Üniversitesi Dergisi, 15, (1), 2014, ss.45-63.
  • Engle, R.F., Granger, C.W.J., 1987. Co-integration and error correction: representation, estimation, and testing. Econometrica 55, 251–276.
  • Esen, E., S. Yıldırım ve F. Kostakoğlu, (2012), “FeldsteinHorioka Hipotezinin Türkiye Ekonomisi için Sınanması: ARDL Modeli Uygulaması”, Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 7(1), ss.251-267.
  • Feldstein, M. ve C. Horioka, (1980), “Domestic Saving and International Capital Flows”, The Economic Journal, Vol. 90, No. 358, pp.314-329.
  • Feldstein, M., (1983), “Domestic Saving and International Movements in the Long Run and the Short Run”, European Economic Review, (21). NorthHolland. Feldstein, M. ve P. Bacchetta, (1991), “National Saving and International Investment”, NBER Working Paper Series, Working Paper No: 3164.
  • Fratzscher, M. (2002). On Currency Crises and Contagion. European Central Bank Working Paper no. 139. Frankfurt: European Central Bank. Available from: http://www.ecb.int/pub/pdf/scpwps/ecbwp139.pdf. Friedman, Thomas, (2006), “Dünya Düzdür”, Boyner Yayınları, İstanbul.
  • Granger, C. W. J., and Newbold, P. (1974), Spurious Regressions in Econometrics, Journal of Econometrics, 2, 111-120.
  • Güriş, B., (2013), Türkiye’de Feldstein-Horioka Hipotezinin Geçerliliğinin Sınanması: ADL Eşik Değerli Koentegrasyon Testi”, Trakya Üniversitesi İktisadi ve İdari Bilimler Fakültesi E-Dergi, Haziran, Cilt 2, Sayı 2, ss.47-55.
  • Hamilton, J. D. (1994), Time Series Analysis, Princeton University Press, Princeton, New Jersey. Harris, R., and Sollis, R. (2003), Applied Time Series Modelling and Forecasting, Wiley, England.
  • Johansen, S. (1988), Statistical Analysis of Cointegration Vectors, Journal of Economic Dynamics and Control, Volume 12, Issues 2-3, pp 231-254.
  • Johansen, S., and Juselius, K. (1990), Maximum Likelihood Estimation and Inference on Cointegration – with Applications to The Demand of Money, Oxford Bulletin of Economics and Statistics, Volume 52, Issue 2, pp 169-210.
  • Johansen, S. (1995), Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, Oxford University Press.
  • Kwiatkowski, D., Phillips, P., Schmidt, P., and Shin, Y. (1992), Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?, Journal of Econometrics, vol. 54, issue 1-3, pp 159-178.
  • Narayan, P., K., (2005), “The saving and investment nexus for China: evidence from cointegration tests”, Applied Economics, 37:17, 1979-1990, DOI: 10.1080/00036840500278103
  • Obstfeld, M., (1986), “Capital Mobility in the World Economy: Theory and Measurement”, Carnegie Rochester Conference S eries on Public Policy, 24,pp.55–104.
  • Obstfeld, M., (1995), “International Capital Mobility in the 1990s”, in P.B. Kenen (Ed.), Understanding Interdependence: The Macroeconomics of the Open Economy, Princeton: Princeton University Press.
  • Obstfeld, M. ve K. Rogoff, (2000), "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?", in Bernanke, Ben; Rogoff, Kenneth, NBER Macroeconomics Annual 2000 15, The MIT Press, pp.339–390.
  • Özmen, E., Parmaksiz, K., (2003), Policy regime change and the Feldstein–Horioka puzzle: the UK evidence. Journal of Policy Modelling, 25, pp.137–149.
  • Panopoulou, E., Pittis, N., 2004. A composition of autoregressive distributed lag and dynamic OLS cointegration estimators in the case of serially correlated cointegarion error. Econometrics 7, 585– 617.
  • Pesaran, M.H., Smith, R.P., Akiyama, T., 1998. Energy Demand in Asian Developing Economies, A World Bank Study. Oxford University Press.
  • Pesaran, M. H. and Shin, Y. (1999), An autoregressive distributed lag modelling approach to cointegration analysis. Chapter 11 in S. Strom (ed.), Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium. Cambridge University Press, Cambridge.
  • Peseran, M. H., Shin, Y., and Smith, R. J. (2001), Bounds Testing Approaches to The Analysis of Level Relationships, Journal of Applied Econometrics, 16: 289-326.
  • Phillips, P. C. B., and Perron, P. (1988), Testing for a Unit Root in Time Series Regression, Biometrika, Vol. 75, No.2, pp. 335-346.
  • Telatar, E., F. Telatar ve N. Bolatoglu, (2007), “A regime switching approach to the Feldstein-Horioka puzzle: evidence from some European countries”, Journal of Policy Modelling, 29, pp.523–533.
  • Tesar, L. L., (1991), “Savings, Investment and International Capital Flows”, Journal of International Economics, 31, pp.55-78.
  • Yavuz N., (2005), "Feldstein-Horioka Yaklaşımına Göre Türkiye’De Tasarruf Yatırım İlişkisi Ve Hata Düzeltme Analizi(1962-2003)", Maliye Araştırma Merkezi Konferansları, cilt.47, ss.107-123.
  • 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.

TÜRKİYE EKONOMİSİ İÇİN FELDSTEIN-HORIOKA HİPOTEZİNİN GEÇERLİLİĞİ: EŞBÜTÜNLEŞME VE MARKOV REJİM DEĞİŞİM YAKLAŞIMI

Year 2017, Volume: 17 Issue: 1, 89 - 104, 01.02.2017

Abstract

Bu çalışma, Feldstein-Horioka hipotezini Türkiye Ekonomisi için çeşitli zaman serisi yöntemlerini kullanarak incelemektedir. Feldstein-Horioka (1980), yurtiçi tasarruflar ile yurtiçi yatırımlar arasında bir denklem tasarlamış ve bu denklemde yer alan parametrenin aldığı değere göre tasarrufların yurtiçinde mi yoksa küresel piyasalarda mı yatırıma dönüştüğünü tahmin etmiştir. Bu çalışmada ise, söz konusu hipotez Türkiye Ekonomisinin 1962-2015 dönemi için ele alınmıştır. Sermaye hareketliliğinde meydana gelen dönemsel değişim ve kırılmaları da gözleyebilmek amacıyla, analiz farklı alt dönemler ve tahmin yöntemlerini içermektedir. Elde edilen bulgulara göre, 1990 yılına kadar yurtiçi tasarruflar ile yurtiçi yatırımlar arasında oldukça güçlü bir ilişki gözlenirken, 1990 yılından sonra bu ilişkinin zayıfladığı sonucuna ulaşılmıştır. Bunun yanı sıra, 1990-2015 dönemi ayrıca Markov Rejim Değişim Modeli ile de test edilmiş ve 2001 sonrası dönemde Türkiye’de küresel sermaye hareketliliğinin daha önceki dönemlere kıyasla oldukça arttığı ve bu açıdan bir kırılma yaşandığı gözlenmiştir. Tüm bu sonuçlar, Feldstein-Horioka Hipotezi bağlamında, Türkiye Ekonomisinin aradan geçen yıllar itibariyle dışa açılma eğiliminin arttığı şeklinde yorumlanabilir

References

  • Alvarez-Plata, P., and Schrooten, M. (2006), The Argentinean Currency Crisis: A Markov Switching Model Estimation, The Developing Economies, XLIV1, 79-91.
  • Arısoy, İ., (2013), “Türkiye’de Yatırım, Tasarruf ve Sermaye Akışkanlığının Analizi”, C.Ü. İktisadi ve İdari Bilimler Dergisi, Cilt:14, Sayı:1, ss.69-80.
  • Baek, J ve Kim, H.S., (2013) Is economic growth good or bad for the environment? Empirical evidence from Korea, Energy Economics, Volume 36, March 2013, Pages 744-749
  • Bolatoğlu, N. (2005), “Türkiye’de Yurtiçi Yatırım ve Yurtiçi Tasarruf Oranları Arasındaki İlişki”, Ekonomik Yaklaşım, Cilt:16, Sayı:56, ss.19-32.
  • Chakrabarti, A., (2006), “The saving–investment relationship revisited: New evidence from multivariate heterogeneous panel cointegration analyses”, Journal of Comparative Economics, 34, pp.402–419.
  • Chen, Shyh-Wei ve Chung-Hua, Shen, (2015), “Revisiting the Feldstein–Horioka puzzle with regime switching: New evidence from European countries”, Economic Modelling, 49, pp.260–269.
  • Coakley, J., A. Fuertes ve F. Spagnolo, (2004), “Is Feldstein-Horioka Puzzle History?”, The Manchester School, Vol. 72, No. 5, 1463–6786, pp.569–590
  • De Vita, G. ve A. Abbott, (2002), “Are saving and investment cointegrated? An ARDL bounds testing approach”, Economics Letters, 77, pp.293–299.
  • 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, Volume 74, Issue 366, 427-431.
  • Dursun, G. ve T. Abasız, (2014), “Feldstein-Horioka Puzzle in Turkey”, Doğuş Üniversitesi Dergisi, 15, (1), 2014, ss.45-63.
  • Engle, R.F., Granger, C.W.J., 1987. Co-integration and error correction: representation, estimation, and testing. Econometrica 55, 251–276.
  • Esen, E., S. Yıldırım ve F. Kostakoğlu, (2012), “FeldsteinHorioka Hipotezinin Türkiye Ekonomisi için Sınanması: ARDL Modeli Uygulaması”, Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 7(1), ss.251-267.
  • Feldstein, M. ve C. Horioka, (1980), “Domestic Saving and International Capital Flows”, The Economic Journal, Vol. 90, No. 358, pp.314-329.
  • Feldstein, M., (1983), “Domestic Saving and International Movements in the Long Run and the Short Run”, European Economic Review, (21). NorthHolland. Feldstein, M. ve P. Bacchetta, (1991), “National Saving and International Investment”, NBER Working Paper Series, Working Paper No: 3164.
  • Fratzscher, M. (2002). On Currency Crises and Contagion. European Central Bank Working Paper no. 139. Frankfurt: European Central Bank. Available from: http://www.ecb.int/pub/pdf/scpwps/ecbwp139.pdf. Friedman, Thomas, (2006), “Dünya Düzdür”, Boyner Yayınları, İstanbul.
  • Granger, C. W. J., and Newbold, P. (1974), Spurious Regressions in Econometrics, Journal of Econometrics, 2, 111-120.
  • Güriş, B., (2013), Türkiye’de Feldstein-Horioka Hipotezinin Geçerliliğinin Sınanması: ADL Eşik Değerli Koentegrasyon Testi”, Trakya Üniversitesi İktisadi ve İdari Bilimler Fakültesi E-Dergi, Haziran, Cilt 2, Sayı 2, ss.47-55.
  • Hamilton, J. D. (1994), Time Series Analysis, Princeton University Press, Princeton, New Jersey. Harris, R., and Sollis, R. (2003), Applied Time Series Modelling and Forecasting, Wiley, England.
  • Johansen, S. (1988), Statistical Analysis of Cointegration Vectors, Journal of Economic Dynamics and Control, Volume 12, Issues 2-3, pp 231-254.
  • Johansen, S., and Juselius, K. (1990), Maximum Likelihood Estimation and Inference on Cointegration – with Applications to The Demand of Money, Oxford Bulletin of Economics and Statistics, Volume 52, Issue 2, pp 169-210.
  • Johansen, S. (1995), Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, Oxford University Press.
  • Kwiatkowski, D., Phillips, P., Schmidt, P., and Shin, Y. (1992), Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?, Journal of Econometrics, vol. 54, issue 1-3, pp 159-178.
  • Narayan, P., K., (2005), “The saving and investment nexus for China: evidence from cointegration tests”, Applied Economics, 37:17, 1979-1990, DOI: 10.1080/00036840500278103
  • Obstfeld, M., (1986), “Capital Mobility in the World Economy: Theory and Measurement”, Carnegie Rochester Conference S eries on Public Policy, 24,pp.55–104.
  • Obstfeld, M., (1995), “International Capital Mobility in the 1990s”, in P.B. Kenen (Ed.), Understanding Interdependence: The Macroeconomics of the Open Economy, Princeton: Princeton University Press.
  • Obstfeld, M. ve K. Rogoff, (2000), "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?", in Bernanke, Ben; Rogoff, Kenneth, NBER Macroeconomics Annual 2000 15, The MIT Press, pp.339–390.
  • Özmen, E., Parmaksiz, K., (2003), Policy regime change and the Feldstein–Horioka puzzle: the UK evidence. Journal of Policy Modelling, 25, pp.137–149.
  • Panopoulou, E., Pittis, N., 2004. A composition of autoregressive distributed lag and dynamic OLS cointegration estimators in the case of serially correlated cointegarion error. Econometrics 7, 585– 617.
  • Pesaran, M.H., Smith, R.P., Akiyama, T., 1998. Energy Demand in Asian Developing Economies, A World Bank Study. Oxford University Press.
  • Pesaran, M. H. and Shin, Y. (1999), An autoregressive distributed lag modelling approach to cointegration analysis. Chapter 11 in S. Strom (ed.), Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium. Cambridge University Press, Cambridge.
  • Peseran, M. H., Shin, Y., and Smith, R. J. (2001), Bounds Testing Approaches to The Analysis of Level Relationships, Journal of Applied Econometrics, 16: 289-326.
  • Phillips, P. C. B., and Perron, P. (1988), Testing for a Unit Root in Time Series Regression, Biometrika, Vol. 75, No.2, pp. 335-346.
  • Telatar, E., F. Telatar ve N. Bolatoglu, (2007), “A regime switching approach to the Feldstein-Horioka puzzle: evidence from some European countries”, Journal of Policy Modelling, 29, pp.523–533.
  • Tesar, L. L., (1991), “Savings, Investment and International Capital Flows”, Journal of International Economics, 31, pp.55-78.
  • Yavuz N., (2005), "Feldstein-Horioka Yaklaşımına Göre Türkiye’De Tasarruf Yatırım İlişkisi Ve Hata Düzeltme Analizi(1962-2003)", Maliye Araştırma Merkezi Konferansları, cilt.47, ss.107-123.
  • 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.
There are 36 citations in total.

Details

Other ID JA56KC44ZN
Journal Section Research Article
Authors

Caner Demir

Raif Cergibozan This is me

Publication Date February 1, 2017
Published in Issue Year 2017 Volume: 17 Issue: 1

Cite

APA Demir, C., & Cergibozan, R. (2017). The Validity Of Feldstein-Horioka Hypothesis For Turkish Economy: Cointegration And Markov Regime Switching Approach. Ege Academic Review, 17(1), 89-104.
AMA Demir C, Cergibozan R. The Validity Of Feldstein-Horioka Hypothesis For Turkish Economy: Cointegration And Markov Regime Switching Approach. ear. February 2017;17(1):89-104.
Chicago Demir, Caner, and Raif Cergibozan. “The Validity Of Feldstein-Horioka Hypothesis For Turkish Economy: Cointegration And Markov Regime Switching Approach”. Ege Academic Review 17, no. 1 (February 2017): 89-104.
EndNote Demir C, Cergibozan R (February 1, 2017) The Validity Of Feldstein-Horioka Hypothesis For Turkish Economy: Cointegration And Markov Regime Switching Approach. Ege Academic Review 17 1 89–104.
IEEE C. Demir and R. Cergibozan, “The Validity Of Feldstein-Horioka Hypothesis For Turkish Economy: Cointegration And Markov Regime Switching Approach”, ear, vol. 17, no. 1, pp. 89–104, 2017.
ISNAD Demir, Caner - Cergibozan, Raif. “The Validity Of Feldstein-Horioka Hypothesis For Turkish Economy: Cointegration And Markov Regime Switching Approach”. Ege Academic Review 17/1 (February 2017), 89-104.
JAMA Demir C, Cergibozan R. The Validity Of Feldstein-Horioka Hypothesis For Turkish Economy: Cointegration And Markov Regime Switching Approach. ear. 2017;17:89–104.
MLA Demir, Caner and Raif Cergibozan. “The Validity Of Feldstein-Horioka Hypothesis For Turkish Economy: Cointegration And Markov Regime Switching Approach”. Ege Academic Review, vol. 17, no. 1, 2017, pp. 89-104.
Vancouver Demir C, Cergibozan R. The Validity Of Feldstein-Horioka Hypothesis For Turkish Economy: Cointegration And Markov Regime Switching Approach. ear. 2017;17(1):89-104.