The Feldstein-Horioka Puzzle: Evidence From Emerging Countries

Year 2020, Issue: 55, 141 - 158, 27.04.2020

Mustafa Ozan Yıldırım , Ahmet Eren Yıldırım

https://doi.org/10.18070/erciyesiibd.610470

Cited By: 3

Abstract

This paper examines the saving-investment nexus and the level of capital mobility for the BRICS and Fragile Five countries within the scope of the Feldstein-Horioka (1980) puzzle that asserts a substantial correlation between domestic investment and domestic savings in spite of the increasing capital mobility in the world. It is used the Autoregressive Distributed Lag (ARDL) bounds test approach for the period 1980-2018 on a country-by-country to identify the nature of the saving retention coefficient. Findings of the paper reveal the Feldstein–Horioka (1980) puzzle holds for China, South Africa and Turkey period examined while there is not any long-run relationship between savings and investment in Brazil, India and Indonesia. Based on the saving-retention coefficients range from 0.46 to 0.74 for the four countries which there is a cointegration between saving and investment, there is moderate to low capital mobility in these countries.

Keywords

Feldstein-Horioka Puzzle, BRICS, Fragile Five, ARDL Bounds Test.

Feldsteın-Horıoka Bulmacası: Gelişmekte Olan Ülkelerden Bulgular

Abstract

Bu çalışma dünyadaki artan sermaye hareketliliğine rağmen yurtiçi yatırım ile yurtiçi tasarruflar arasında güçlü bir korelasyonu olduğunu ileri süren Feldstein-Horioka bulmacası kapsamında BRICS ve Kırılgan Beşli ülkelerinde tasarruf yatırım ilişkisini ve sermaye hareketliliğinin düzeyini incelemektedir. 1980-2018 dönemi için her bir ülkedeki yurtiçi tasarrufların ne kadarının yurtiçi yatırımlara dönüştüğünü gösteren tasarruf tutma katsayısını belirlemek için ARDL Sınır testi yaklaşımı kullanılmaktadır. Çalışmanın bulguları, Feldstein-Horioka bulmacasının incelenen dönem için Çin, Güney Afrika ve Türkiye’de geçerli olduğunu; buna karşın Brezilya, Hindistan ve Endonezya’da ise tasarruf ve yatırım arasında uzun dönemli bir ilişki olmadığını ortaya koymaktadır. Çalışmadan elde edilen bulgular eşbütünleşme ilişkisi gösteren dört ülke için tasarruf tutma katsayının 0.46 ile 0.74 arasında değiştiğini göstermektedir. Bu durum, söz konusu ülkelerde orta ve düşük düzeyde bir sermaye hareketliliği olduğunu ifade etmektedir.

Keywords

Feldstein-Horioka Bulmacası, BRICS, Kırılgan Beşli, ARDL Modeli

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