ANALYSIS OF THE RELATIONSHIPS BETWEEN FINANCIAL DEVELOPMENT, SAVING AND GLOBALIZATION AND CAPITAL FORMATION BY HIDDEN COINTEGRATION AND ASYMMETRIC CAUSALITY TESTS: THE CASE OF TURKEY

Yıl 2021, Sayı: 3, 203 - 222, 30.07.2021

Mehmet Levent Erdaş , Gamze Göçmen Yağcılar

https://doi.org/10.51551/verimlilik.779506

Cited By: 3

Öz

Purpose: Relationships of capital formation with macro-economic and financial factors are among the widely investigated and discussed issues by researchers in recent years. The aim of this study is to investigate whether financial development, globalization and savings effect capital formation in Turkey.

Methodology: The relationships between the variables were tested using the Hatemi-J and Irandoust (2012) cointegration test, where the hidden cointegration relationship was examined, and the Hatemi J (2012) causality tests, where the asymmetric causality relationship was examined.

Findings: Hatemi-J (2012) test suggests that there is asymmetric causality relationship between capital formation and financial development indicators except financial system deposits, globalization and savings. Results also suggest that this relationship differentiate among variables. Furthermore, causalities

from financial development variables to capital formation are always positive while capital formation effect financial development negatively. Consequently, this study shows that capital formation is affected positively from financial development, globalization and savings.

Originality: This paper is first of its kind to research the asymmetric relationship between financial development savings, globalization and capital formation in Turkish economy by using econometric methods.

Anahtar Kelimeler

Capital Formation, Financial Development, Domestic Savings, Direct Foreign Investments, Asymmetric Relationship, Turkey

FİNANSAL GELİŞME, TASARRUF VE KÜRESELLEŞME İLE SERMAYE OLUŞUMU ARASINDAKİ İLİŞKİNİN SAKLI EŞBÜTÜNLEŞME VE ASİMETRİK NEDENSELLİK TESTLERİ İLE ANALİZ EDİLMESİ: TÜRKİYE ÖRNEĞİ

Öz

Amaç: Son yıllarda sermaye oluşumu ile makroekonomik ve finansal faktörler arasındaki ilişki araştırmacılar tarafından araştırılan ve tartışılan konulardan biridir. Bu çalışmanın amacı Türkiye’de finansal gelişmişliğin, küreselleşmenin ve tasarrufların sermaye oluşumu üzerinde etkisinin olup olmadığını araştırmaktır.

Yöntem: Saklı eşbütünleşme ilişkisinin incelendiği Hatemi-J ve Irandoust (2012) eşbütünleşme testi ile asimetrik nedensellik ilişkisinin incelendiği Hatemi J (2012) nedensellik testi kullanılarak değişkenler arasındaki ilişkiler analiz edilmiştir.

Bulgular: Hatemi-J (2012) test sonuçları finansal sistem mevduatları hariç finansal gelişmişlik göstergeleri, küreselleşme ve tasarruflar ile sermaye oluşumu arasında asimetrik nedensellik ilişkisinin var olduğunu ve bu ilişkinin değişkenler arasında farklılaştığını göstermiştir. Ayrıca finansal gelişmişlikten sermaye

oluşumuna doğru nedensellik ilişkileri hep pozitif iken sermaye oluşumundan finansal gelişmişliğe doğru etkinin yönü ise hep negatif olarak gerçekleşmiştir. Sonuç olarak sermaye birikimi, finansal gelişmişlikten, küreselleşmeden ve tasarruflardan pozitif yönde etkilenmektedir.

Özgünlük: Bu çalışma Türkiye ekonomisi için finansal gelişmişlik, tasarruf ve küreselleşme ile sermaye oluşumu arasındaki asimetrik ilişkiyi ekonometrik yöntemlerle araştıran ilk çalışmadır.

Anahtar Kelimeler

Sermaye Oluşumu, Finansal Gelişme, Yurtiçi Tasarruflar, Doğrudan Yabancı Yatırımlar, Asimetrik İlişki, Türkiye

Kaynakça

• AJAO, M. G. (2011), Stock Market Development, Capital Formation and Growth in Nigeria, International Journal of Current Research, 3 (6), 382-388.
• AJMI, A. N., GUPTA, R., BABALOS, V. ve HEFER, R. (2015), Oil Price and Consumer Price Nexus in South Africa Revisited: A Novel Asymmetric Causality Approach, Energy Exploration & Explotiation, 33 (1), 63-73.
• AKINCI, G. Y., AKINCI, M. ve YILMAZ, Ö. (2014), Finansal Kalkınma Sürecinin Ar-Ge Harcamaları Üzerindeki Etkisi: Schumpeter Haklı mıydı?, Maliye Dergisi, 166, 56-74.
• AKKUŞ, Ö. ve DURMAZ, A. (2019), Türkiye’de Bütçe Açığının Sürdürülebilirliği: Saklı Eşbütünleşme İlişkisi, Maliye Dergisi, 176, 52-71.
• ASONGU, S. A. (2014), Linkage between Investment Flows and Financial Development, African Journal of Economic and Management Studies, 5 (3), 269-299.
• BAYRAKTUTAN, Y. ve ARSLAN, İ. (2008), Türkiye’de Sabit Sermaye Yatırımlarının Ekonomik Büyüme Üzerindeki Etkisi: Koentegrasyon Analizi (1980-2006), KMU İİBF Dergisi, 10 (14), 1-12.
• BENHABIB, J. ve SPIEGEL, M. M. (2000), The Role of Financial Development in Growth and Investment, Journal of Economic Growth, 5, 341-360.
• BOAMAH, J., ADONGO, F. A., ESSIEKU, R. ve LEWIS, J. A. (2018), Financial Depth, Gross Fixed Capital Formation and Economic Growth: Empirical Analysis of 18 Asian Economies, International Journal of Scientific and Education Research, 2 (4), 120-130.
• BOON, T. K. (2005), Do Commercial Banks, Stock Market and Insurance Market Promote Economic Growth? An Analysis of the Singapore Economy, Nanyang Technological University, School of Humanities and Social Studies, Working Paper.
• BOZKURT, E. ve TOKTAŞ, Y. (2018), Büyümenin Kaynakları Üzerinde Bir Panel Veri Analizi, Uluslararası Yönetim, İktisat ve İşletme Dergisi, 14 (4), 883-896.
• CAPORALE, G. M., HOWELLS, P. ve SOLIMAN, A. M. (2005), Endogenous Growth Models and Stock Market Development: Evidence from Four Countries, Review of Development Economics, 9 (2), 166-176.
• CARP, L. (2012), Can Stock Market Development Boost Economic Growth? Empirical Evidence from Emerging Markets in Central and Eastern Europe, Procedia Economics and Finance, 3, 438-444.
• CHAUDHRY, I. S. (2007), Financial Liberalization and Macroeconomic Performance: Empirical Evidence from Pakistan, http://citeseerx.ist.psu.edu/viewdoc/download? DOİ=10.1.1.510.2373&rep=rep1&type=pdf, (Erişim Tarihi: 04.06.2020).
• ÇAĞLAYAN, E. ve SAÇAKLI, İ. (2006), Satın Alma Gücü Paritesinin Geçerliliğinin Sıfır Frekansta Spektrum Tahmincisine Dayanan Birim Kök Testleri ile İncelenmesi, Atatürk Üniversitesi İİBF Dergisi, 20, 121-137.
• DURMUŞ, S. ve ŞAHİN, D. (2018). Türkiye’de Enflasyon, Döviz Kuru ve Tüketici Kredileri Arasındaki Nedensellik İlişkisinin Analizi, Uluslararası İktisadi ve İdari İncelemeler Dergisi, 23, 95-112.
• DÜNYA BANKASI VERİLERİ, https://databank.worldbank.org/home.aspx, (Erişim Tarihi: 04.06.2020).
• ENGLE, R. F. ve GRANGER C. W. J. (1987), Co-integration and Error Correction: Representation and Testing, Econometrica, 55, 251-276.
• ERİM, N. ve TÜRK, A. (2005), Finansal Gelişme ve İktisadi Büyüme, Kocaeli Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 10 (2005/2), 21-45.
• FOWOWE, B. (2011), Financial Sector Reforms and Private Investment in Sub-Saharan African Countries, Journal of Economic Development, 36 (3), 79-97.
• GRANGER, C. W. ve YOON, G. (2002), Hidden Cointegration, University of California, Department of Economics Working Paper, San Diego.
• GREENWOOD, J. ve JOVANOVIC, B. (1990), Financial Development, Growth and Distribution of Income, Journal of Political Economy, 98 (5), 1076-1107.
• HACKER, S. R. ve HATEMI-J, A. (2006), Tests for Causality between Integrated Variables Using Asymptotic and Bootstrap Distributions: Theory and Application, Applied Economics, 38 (13), 1489-1500.
• HAMDI, H., HAKIMI, A. ve SBIA, R. (2013), Multivariate Granger Causality between Financial Development, Investment and Economic Growth: Evidence from Tunisia, Journal of Quantitative Economics, 11 (1-2), 111-129.
• HATEMI-J, A, GUPTA R, KASONGO A, MBOWENI, T. ve NETSHITENZHE, N. (2014), Are There Asymmetric Causal Relationships between Tourism and Economic Growth in a Panel of G-7 Countries? University of Pretoria, Department of Economics Working Paper No. 2014-76, November.
• HATEMI-J, A. ve IRANDOUST, M. (2012), Asymmetric Interaction between Government Spending and Terms of Trade Volatility New Evidence from Hidden Cointegration Technique, Journal of Economic Studies, 39 (3), 368-378.
• HATEMI-J, A. (2012), Asymmetric Causality Tests with an Application, Empirical Economics, 43 (1), 447-456.
• HUANG, Y. (2006), Private Investment and Financial Development in a Globalized World, Bristol Economics Discussion Paper, 06/589.
• KARAGÖZ, K. (2010), Determining Factors of Private Investments: An Empirical Analysis for Turkey, Sosyoekonomi, 11 (11), 7-26.
• KING, R. G. ve LEVINE, R. (1993), Finance, Entrepreneurship and Growth-Theory and Evidence, Journal of Monetary Economics, 32, 513-542.
• LEVINE, R. (2004), Finance and Growth: Theory and Evidence, NBER Working Paper Series, No. 10766.
• LOVE, I. ve ZICCHINO, L. (2006), Financial Development and Dynamic Investment Behavior: Evidence from Panel VAR, The Quarterly Review of Economics and Finance, 46, 190-210.
• LU, X., DIETRICH, F. ve SMYTH, R. (2007), Financial Development, Capital Accumulation and Productivity Improvement: Evidence from China, Journal of Chinese Economic and Business Studies, 5 (3), 227-242.
• MATEBEJANA, G., MOTLALENG, G. ve JUANA, J. (2017), Foreign Exchange Market Efficiency in Botswana, Review of Economic and Business Studies, 10 (1), 103-125.
• MCKINNON, R. I. (1973), Money and Capital in Economic Development, Brookings Institution, Washington, DC.
• MERT, M. ve ÇAĞLAR, A. E. (2019), Eviews ve Gauss Uygulamalı Zaman Serileri Analizi, Detay Yayıncılık, Ankara.
• MEYER, D. F. ve SANUSI, K. A. (2019), A Causality Analysis of the Relationships between Gross Fixed Capital Formation, Economic Growth and Employment in South Africa, Studia Universitatis Babeș-Bolyai Oeconomica, 64 (1), 33-44.
• MISATI, R. N. ve NYAMONGO, E. M. (2011), Financial Development and Private Investment in Sub-Saharan Africa, Journal of Economics and Business, 63, 139-151.
• MUYAMBIRI, B. ve ODHIAMBO, N. M. (2017), The Impact of Financial Development on Investment in Bostwana: An ARDL-Bounds Testing Approach, International Economics, 70 (2), 193-216.
• MUYAMBIRI, B. ve ODHIAMBO, N. M. (2018), Financial Development and Investment Dynamics in Mauritius: A Trivariate Granger-Causality Analysis, SPOUDAI -Journal of Economics and Business, 68 (2/3), 62-73.
• NAZLIOĞLU, Ş., YALAMA, A. ve ASLAN, M. (2009), Financial Development and Investment: Cointegration and Causality Analysis for the Case of Turkey, International Journal of Economic Perspectives, 3 (2), 107-119.
• NDIKUMANA, L. (2000), Financial Determinants of Domestic Investment in Sub-Saharan Africa: Evidence from Panel Data, World Development, 28 (2), 381-400.
• NDIKUMANA, L. (2005), Financial Development, Financial Structure and Domestic Investment: International Evidence, Journal of International Money and Finance, 24, 651-673.
• ODHIAMBO, N. M. (2010), Finance-Investment-Growth nexus in South Africa: An ARDL-Bounds Testing Procedure, Economic Change and Restructuring, 43 (3), 205-219.
• ÖZCAN, C. (2015), Turizm Gelirleri-Ekonomik Büyüme İlişkisinin Simetrik ve Asimetrik Nedensellik Yaklaşımı ile Analizi: Türkiye Örneği, Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 46, 177-199.
• PHILLIPS P. C. B. ve PERRON, P. (1988), Testing for a Unit Root in Time Series Regression, Biometrika, 75 (2), 335-346.
• RAJAN, R. G. ve ZINGALES, L. (1998), Financial Dependence and Growth, The American Economic Review, 88 (3), 559-586.
• RIOJA, F. ve VALEV, N. (2004), Finance and the Sources of Growth at Various Stages of Economic Development, Economic Inquiry, 42 (1), 127-140.
• ROBINSON, J. (1952), The Generalization of the General Theory, The Rate of Interest and Other Essays, Macmillan, London.
• ROUSSEAU, P. L. ve VUTHIPADADORN, D. (2005), Finance, Investment and Growth: Time Series Evidence from 10 Asian Economies, Journal of Macroeconomics, 27, 87-106.
• SAYGILI, Ş., CİHAN, C. ve YURTOĞLU, H. (2005), Türkiye Ekonomisinde Sermaye Birikimi, Verimlilik ve Büyüme: 1972-2003, DPT Ekonomik Modeller ve Stratejik Araştırmalar Genel Müdürlüğü, Yayın No. 2686.
• SCHUMPETER, J. A. (1911), A Theory of Economic Development, Harvard University Press, Cambridge, M.A.
• SEVÜKTEKİN, M. ve NARGELEÇEKENLER, M. (2010), Ekonometrik Zaman Serileri Analizi, 3. Baskı, Nobel Yayınevi, Ankara.
• SHAW, E. S. (1973), Financial Deepening in Economic Development, Oxford University Press, New York.
• ŞAHBAZ, A. (2014), Sabit Sermaye Yatırımları ve Ekonomik Büyüme İlişkisi: Panel Nedensellik Analizi, Niğde Üniversitesi İİBF Dergisi, 7 (1), 1-12.
• ŞENER, S., YILANCI, V. ve TIRAŞOĞLU, M. (2013), Petrol Fiyatları ile Borsa İstanbul’un Kapanış Fiyatları Arasındaki Saklı İlişkinin Analizi, Sosyal Ekonomik Araştırmalar Dergisi, 26, 231-248.
• ŞIKLAR, İ. ve KAYA, A. (1998), Türkiye’de Özel Sektör Yatırımları ve İçsel Büyüme, Ekonomik Yaklaşım, 9 (31), 61-70.
• TODA, H. Y. ve YAMAMOTO, T. (1995), Statistical Inferences in Vector Autoregressions with Possibly Integrated Processes, Journal of Econometrics, 66, 225-250.
• TONGURAI, J. ve VITHESSONTI, C. (2018), The Impact of Banking Sector on Economic Structure and Growth, International Review of Financial Analysis, 56, 193-207.
• TUNCER, İ. ve TUNÇ, T. (2006), Türkiye Ekonomisinde Büyümenin Kaynakları: Faktör Birikimi ve Üretkenlik (1980-2004), KSU Sosyal Bilimler Dergisi, 3 (2), 51-62.
• TÜLÜMCE, S. Y. ve ZEREN, F. (2017), Türkiye’de Kamu Harcamaları ve Ekonomik Büyüme Arasındaki İlişkinin Asimetrik Nedensellik Testi ile Analizi, Uluslararası Yönetim İktisat ve İşletme Dergisi, 13 (2), 299-310.
• UÇAN, O. ve ÖZTÜRK, Ö. (2011), Financial Determinants of Investment for Turkey, Journal of Economic and Social Studies, 1 (1), 83-110.
• XU, Z. (2000), Financial Development, Investment and Economic Growth, Economic Inquiry, 38 (2), 331-344.