Küresel Finansal Krizin AB Üyelerinde Sermaye Hareketliliğine Olan Etkisi

Yıl 2018, Cilt: 2 Sayı: 2, 255 - 280, 02.12.2018

Natalya Ketenci

Öz

Bu çalışma Avrupa Birliği
üyeleri arasında sermaye hareketliliği ile küresel finansal krizin sermaye
hareketliliğine olan etkisini incelemektedir. 
Çalışmada Hansen (1982)’de geliştirilen Genelleştirilmiş Momentler
Metodu (GMM) kullanılmıştır. GMM zaman serileri için geliştirilmiş, sonrasında
dışsal açıklayıcı değişkenlerdeki sapmanın düzeltilmesi için kullanılmıştır.
GMM ağırlık matrisi, bilinmeyen değişken varyansın yarattığı seri korelasyonun
değerlendirilmesinde kullanılır. Bu çalışmada, finansal kriz dönemlerinde Feldstein-Horioka
probleminin geçerliliği sınanmıştır. Çalışmada 27 Avrupa ülkesinin 1995-2013
dönemi üçer aylık veri seti kullanılmıştır. Sonuçlar araştırmaya konu olan 27
AB üyesi ülke arasında yüksek sermaye hareketliliği olduğunu destekler
niteliktedir, ancak, küresel finansal kriz döneminde model sermaye
hareketliliğinde bir azalma tespit etmiştir. GMM modeli, tahminlerin
yürütüldüğü 27 AB üyesi için Feldstein-Horioka probleminin geçerliğini
destekler nitelikte sonuçlar üretmemiştir.

Anahtar Kelimeler

Sermaye hareketliliği, Feldstein-Horioka problemi, tasarruf-yatırım ilişkisi, Genelleştirilmiş Momentler Metodu (GMM), AB

Impact of the Global Financial Crisis on the Level of Capital Mobility in EU Members

Öz

This study investigates
the level of capital mobility in European Union members and the impact of the
global financial crisis. This study employs the standard generalized method of
moments (GMM) estimation technique, developed by Hansen (1982). The GMM was
first introduced for time series data and is generally used to correct for bias
caused by endogenous explanatory variables. The GMM weighting matrix accounts
for serial correlation of unknown form and for heteroskedasticity. The validity
of the Feldstein-Horioka puzzle is investigated in this study in the presence
of the global financial crisis. This study estimates quarterly data for 27 European
countries for the period of 1995-2013. High capital mobility is supported by results; however, consideration
of the global financial crisis in the model revealed decline in capital
mobility. The application of the GMM framework provides results that do not
support the validity of the Feldstein-Horioka puzzle in most of the estimated
countries in the EU.

Anahtar Kelimeler

Capital mobility, Feldstein-Horioka puzzle, saving-investment association, generalized method of moments (GMM), EU

Kaynakça

• Abbott, A. J., & Vita, G. D. (2003). Another Piece in the Feldstein — Horioka Puzzle. Scottish Journal of Political Economy, 50(1), 69–89. https://doi.org/10.1111/1467-9485.00255
• Adedeji, O., & Thornton, J. (2008). International capital mobility: Evidence from panel cointegration tests. Economics Letters, 99(2), 349–352. https://doi.org/10.1016/j.econlet.2007.08.001
• Argimón, I., & Roldán, J. (1994). Saving, investment and international capital mobility in EC countries. European Economic Review, 38(1), 59–67. https://doi.org/10.1016/0014-2921(94)90005-1
• Bahmani-Oskooee, M., & Chakrabarti, A. (2005). Openness, size, and the saving–investment relationship. Economic Systems, 29(3), 283–293. https://doi.org/10.1016/j.ecosys.2005.06.001
• Baxter, M., & Crucini, M. J. (1993). Explaining Saving--Investment Correlations. The American Economic Review, 83(3), 416–436.
• Bodman, P. P. M. (1995). National Savings and Domestic Investment in the Long Term: Some Time Series Evidence from the Oecd. International Economic Journal, 9(2), 37–60. https://doi.org/10.1080/10168739500000011
• Caporale, G. M., Panopoulou, E., & Pittis, N. (2005). The Feldstein–Horioka puzzle revisited: A Monte Carlo study. Journal of International Money and Finance, 24(7), 1143–1149. https://doi.org/10.1016/j.jimonfin.2005.08.003
• Chakrabarti, A. (2006). The saving–investment relationship revisited: New evidence from multivariate heterogeneous panel cointegration analyses. Journal of Comparative Economics, 34(2), 402–419. https://doi.org/10.1016/j.jce.2006.02.001
• Chen, S.-W., & Shen, C.-H. (2015). Revisiting the Feldstein–Horioka puzzle with regime switching: New evidence from European countries. Economic Modelling, 49, 260–269. https://doi.org/10.1016/j.econmod.2015.03.020
• Chortareas, G., George, K., & Uctum, M. (2004). An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests. Studies in Nonlinear Dynamics & Econometrics, 8(1), 1–19.
• Christopoulos, D. K. (2007). A reassessment of the Feldstein-Horioka hypothesis of perfect capital mobility: evidence from historical data. Empirica, 34(3), 273–280. https://doi.org/10.1007/s10663-007-9044-1
• Coakley, J., Kulasi, F., & Smith, R. (1996). Current account solvency and the Feldstein–Horioka puzzle. Economic Journal 106(May), 620–627.
• Corbin, A. (2001). Country specific effect in the Feldstein–Horioka paradox: a panel data analysis. Economics Letters, 72(3), 297–302. https://doi.org/10.1016/S0165-1765(01)00447-5
• Di Iorio, F., & Fachin, S. (2014). Savings and investments in the OECD, 1970–2007: A test of panel cointegration with regime changes. The North American Journal of Economics and Finance, 28, 59–76.
• Dritsaki, C. (2015). The Long-Run Relationship between Saving and Investment in Greece. International Journal of Economics and Finance, 7(9), 178–192. https://doi.org/10.5539/ijef.v7n9p178
• Feldstein, M. S., & Horioka, C. Y. (1980). Domestic savings and international capital flows. Economic Journal, 90, 314–329. Fidrmuc, J. (2003). The Feldstein–Horioka puzzle and twin deficits in selected countries. Economics of Planning, 36(2), 135–152.
• Fouquau, J., Hurlin, C., & Rabaud, I. (2008). The Feldstein–Horioka puzzle: a panel smooth transition regression approach. Economic Modelling, 25(2), 284–299.
• Georgopoulos, G., & Hejazi, W. (2009). The Feldstein–Horioka puzzle revisited: Is the home-bias much less? International Review of Economics & Finance, 18(2), 341–350.
• Hansen, L. P. (1982). Large sample properties of generalized method of moments estimators. Econometrica, 50(3), 1029–1054.
• Hassan, I. B., & Mohamed, A. (2013). International capital mobility in high-income countries: a system GMM approach. In Readings on Applied Economics Issues (pp. 70–81). Shah Alam, Selangor: McGraw Hill.
• Ho, T. (2002). The Feldstein–Horioka puzzle revisited. Journal of International Money and Finance, 21(4), 555–564. https://doi.org/10.1016/S0261-5606(02)00005-0
• Ho, T., & Chiu, R.-L. (2001). Country Size and Investment-Saving Correlation: A Panel Threshold Error Correction Model. Eastern Economic Journal, 27(4), 481–490.
• Ho, T.-W. (2003). The saving-retention coefficient and country-size: The Feldstein–Horioka puzzle reconsidered. Journal of Macroeconomics, 25(3), 387–396. https://doi.org/10.1016/S0164-0704(03)00044-2
• Holmes, M. J., & Otero, J. (2015). A pairwise-based approach to examining the Feldstein–Horioka condition of international capital mobility. Empirical Economics, 50(2), 279–297. https://doi.org/10.1007/s00181-015-0937-8
• Jansen, W. J. (1996). Estimating saving-investment correlations: evidence for OECD countries based on an error correction model. Journal of International Money and Finance, 15(5), 749–781. https://doi.org/10.1016/0261-5606(96)00034-4
• Jansen, W. J. (1997). Can the intertemporal budget constraint explain the Feldstein-Horioka puzzle? Economics Letters, 56(1), 77–83. https://doi.org/10.1016/S0165-1765(97)00127-4
• Kejriwal, M. (2008). Cointegration with Structural Breaks: An Application to the Feldstein-Horioka Puzzle. Studies in Nonlinear Dynamics & Econometrics, 12(1), 1–39. https://doi.org/10.2202/1558-3708.1467
• Ketenci, N. (2012). The Feldstein–Horioka Puzzle and structural breaks: Evidence from EU members. Economic Modelling, 29(2), 262–270. https://doi.org/10.1016/j.econmod.2011.10.003
• Ketenci, N. (2013). The Feldstein–Horioka puzzle in groupings of OECD members: A panel approach. Research in Economics, 67(1), 76–87. https://doi.org/10.1016/j.rie.2012.09.002
• Ketenci, N. (2015). Capital mobility in the panel GMM framework: Evidence from EU members. European Journal of Comparative Economics, 12(1), 3–19.
• Kollias, C., Mylonidis, N., & Paleologou, S.-M. (2008). The Feldstein–Horioka puzzle across EU members: Evidence from the ARDL bounds approach and panel data. International Review of Economics & Finance, 17(3), 380–387. https://doi.org/10.1016/j.iref.2006.09.002
• Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & 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, 54(1), 159–178. https://doi.org/10.1016/0304-4076(92)90104-Y
• Levy, D. (2000). Investment–Saving Comovement and Capital Mobility: Evidence from Century Long U.S. Time Series. Review of Economic Dynamics, 3(1), 100–136. https://doi.org/10.1006/redy.1999.0060
• Ma, W., & Li, H. (2016). Time-varying saving-investment relatiıonship and the Feldstein-Horioka puzzle. Economic Modelling, 53(C), 166-178.
• Murthy, N. V. (2007). Feldstein Horioka puzzle in Latin American and Caribbean countries: Evidence from likelihood-based cointegration tests in heterogeneous panels. International Research Journal of Finance and Economics, 11, 112–122.
• Nell, K. S., & Santos, L. D. (2008). The Feldstein–Horioka hypothesis versus the long-run solvency constraint model: A critical assessment. Economics Letters, 98(1), 66–70. https://doi.org/10.1016/j.econlet.2007.04.007
• Özmen, E., & Parmaksiz, K. (2003). Exchange rate regimes and the Feldstein-Horioka puzzle: the French evidence. Applied Economics, 35(2), 217–222. https://doi.org/10.1080/0003684021000025397
• Phillips, P. C. B., & Perron, P. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75(2), 335–346. https://doi.org/10.2307/2336182
• Rao, B. B., Tamazian, A., & Kumar, S. (2010). Systems GMM estimates of the Feldstein–Horioka puzzle for the OECD countries and tests for structural breaks. Economic Modelling, 27(5), 1269–1273. https://doi.org/10.1016/j.econmod.2010.02.002
• Sinn, S. (1992). Saving-investment correlations and capital mobility: On the evidence from annual data. The Economic Journal, 102(414), 1162–1170.
• Telatar, E., Telatar, F., & Bolatoglu, N. (2007). A regime switching approach to the Feldstein–Horioka puzzle: Evidence from some European countries. Journal of Policy Modeling, 29(3), 523–533.
• Wooldridge, J. M. (2001). Applications of generalized method of moments estimation. Journal of Economic Perspectives, 15(4), 87–100.
• Younas, J. (2011). Role of foreign direct investment in estimating capital mobility: a reappraisal of Feldstein–Horioka puzzle. Applied Economics Letters, 18(12), 1133–1137. https://doi.org/10.1080/13504851.2010.526569
• Younas, J., & Chakraborty, D. (2011). Globalization and the Feldstein–Horioka puzzle. Applied Economics, 43(16), 2089–2096. https://doi.org/10.1080/00036840903035985
• Younas, J., & Nandwa, B. (2010). Financial openness and capital mobility: a dynamic panel analysis. International Review of Applied Economics, 24(2), 239–246. https://doi.org/10.1080/02692170903426021