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Makroekonomik Belirsizlik ve Faiz Oranlarının Yatırım Harcamaları Üzerindeki Etkileri: ARDL Eşbütünleşim Yaklaşımı

Year 2018, Issue: 638, 49 - 57, 01.04.2018

Abstract

Bu çalışmanın amacı Türkiye ekonomisi için makroekonomik belirsizlik ve faiz oranlarının yatırım harcamaları üzerindeki etkilerini test etmektir. Çalışma üçer aylık 2003-2016 dönemini kapsamaktadır. Çalışmada üç önemli ekonometrik aşama kullanılmaktadır. İlk aşamada, Atta-Mensah (2014) yaklaşımı temel alınarak makroekonomik belirsizlik endeksi oluşturulmuştur. Bu amaçla borsa endeksi, fiyatlar genel düzeyi, ekonomik aktivite ve dolar kuru oynaklıkları hareketli standart sapma yöntemi ile elde edilmiştir. İkinci aşamada, makroekonomik belirsizlik endeksi üretilmiştir. Üçüncü aşamada, makroekonomik belirsizlik endeksi ve faiz oranları ile yatırım harcamaları arasındaki uzun dönemli dinamik ilişkiler analiz edilmiştir. Bu çalışmada, endeksin ve faiz oranlarının yatırım harcamaları üzerindeki etkileri ARDL ko-entegrasyon testi kullanılarak test edilmiştir.

References

  • AHMAD, Imtiaz and Abdul QAYYUM; (2008), “Effect of Government Spending and Macro-Economic Uncertainty on Private Investment in Services Sector: Evidence from Pakistan”, European Journal of Economics, Finance and Administrative Sciences, 11673, pp. 83-95.
  • ATTA-MENSAH, Joseph; (2004), “Money Demand and Economic Uncertainty”, Bank of Canada Working Papers, 25, pp. 1-28.
  • BAKER, Scott R., BLOOM, Nicholas and Steven J. DAVIS; (2015), “Measuring Economic Policy Uncertainty”, National Bureau of Economic Research, w21633, pp. 1-75.
  • BEKOE, William and Philip Kofi ADOM; (2013), “Macroeconomic Uncertainty and Private Investment in Ghana: An Empirical Investigation”, International Journal of Economics and Financial Issues, 3(2), pp. 276-293.
  • BREDIN, Don and Stilianos FOUNTAS; (2005), “Macroeconomic Uncertainty and Macroeconomic Performance: Are They Related?”, The Manchester School, 73(s1), pp. 58-76.
  • BROWN, Robert L., DURBIN, James and James M. EVANS; (1975), “Techniques for testing the Constancy of Regression Relations over Time”, Journal of the Royal Statistical Society, 37(2), pp. 149–163.
  • BYRNE, Joseph P., and E. Philip DAVIS; (2005), “Investment and uncertainty in the G7”, Review of World Economics, 141(1), pp. 1-32.
  • CRONIN, David, KELLY, Robert and Bernard KENNEDY; (2011), “Money Growth, Uncertainty and Macroeconomic Activity: A Multivariate GARCH Analysis”, Empirica, 38(2), pp. 155–167.
  • DEMIR, Firat; (2009), “Macroeconomic Uncertainty and Private Investment in Argentina, Mexico and Turkey”, Applied Economics Letters, 16(6), pp. 567-571.
  • DICKEY, David A. and Wayne A. FULLER; (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, 74(336a), pp. 427–431.
  • ERDEM, Havvanur Feyza and Rahmi YAMAK; (2016), “Measuring the Optimal Macroeconomic Uncertainty Index for Turkey”, Economic Annals, 61(210), pp. 7-22.
  • ERDEM, Havvanur Feyza and Nebiye YAMAK; (2016), “Makroekonomik Belirsizlik Endeksinin Reel Sektör Üzerindeki Etkileri: Atta-Mensah Yaklaşımı”, Xth International Statistics Days Conference, Giresun, Abstracts and Proceedings Book, pp. 278-287.
  • FERDERER, Peter J.; (1993), “The Impact of Uncertainty on Aggregate Investment Spending: An Empirical Analysis”, Journal of Money, Credit and Banking, 25, pp. 30-48.
  • GAN, Pei-Tha; (2014), “The Optimal Economic Uncertainty Index: A Grid Search Application”, Computational Economics, 43(2), pp. 159-182.
  • GILCHRIST, Simon, SIM, Jae W. and Egon ZAKRAJSEK; (2014), “Uncertainty, Financial Frictions, and Investment Dynamics”, NBER Working Paper Series, 20038: 1-58. http:// www.nber.org/papers/w20038
  • GOEL, Rajeev K. and Rati RAM; (2001), “Irreversibility of R&D Investment and the Adverse Effect of Uncertainty: Evidence from the OECD Countries”, Economics Letters, 71(2), pp. 287- 291.
  • GHOSA, Vivek and Prakash LOUNGANI; (2000), “The Differential Impact of Uncertainty on Investment in Small and Large Businesses”, The Review of Economics and Statistics, 82(2), pp. 338-343.
  • GUGLIELMINETTI, Elisa; (2013), “The Effects of Uncertainty Shocks on the Labor Market: A Search Approach”, [online] http://econ.sciences-po.fr/sites/default/files/Elisa.pdf.
  • HOLLAND, A. Steven, Steven H. OTT, and Timothy J. RIDDIOUGH; (2000), “The Role of Uncertainty in Investment: An Examination of Competing Investment Models Using Commercial Real Estate Data”, Real Estate Economics, 28(1), pp. 33-64.
  • KUMO, Wolassa L.; (2006), “Macroeconomic Uncertainty and Aggregate Private Investment in South Africa”, South African Journal of Economics, 74(2), pp. 190-204.
  • LEAHY, John V, and Toni M. WHITED; (1995), “The Effect of Uncertainty on Investment: Some Stylized Facts”, National Bureau of Economic Research, w4986, pp. 1-29.
  • PESARAN, M. Hashem and Bahram PESARAN; (1997), “Working With Microfit 4.0: Interactive Econo-metric Analysis”, Oxford University Press, Oxford.
  • PESARAN, M. Hashem and Yongcheol SHIN; (1999), “Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis”, In: Storm S, editor. Econometrics and Economic Theory in the 20th Century: the Ragnar Frisch Centennial Symposium. Cambridge University Press; [chapter 1].
  • PESARAN, M. Hashem, Yongcheol SHIN and Richard J. SMITH; (2001), “Bounds Testing Approaches to the Analysis of Level Relationships”, Journal of Applied Econometrics, 16(3), pp. 289-326.
  • PHILLIPS, Peter C. and Pierre PERRON; (1988), “Testing for A Unit Root in Time Series Regression”, Biometrica, 75(2), pp. 335-346.
  • RITTENBERG, Libby; (1991), “Investment Spending and Interest Rate Policy: The Case of Financial Liberalisation in Turkey”, The Journal of Development Studies, 27(2), pp. 151-167.
  • SERVEN, Luis; (1998), “Macroeconomic Uncertainty and Private Investment in Developing Countries: An Empirical Investigation”, World Bank Policy Research Working Paper, (2035), pp. 1-34.

The Impacts of Macroeconomic Uncertainty and Interest Rates on the Investment Spending: ARDL Co-integration Approach

Year 2018, Issue: 638, 49 - 57, 01.04.2018

Abstract

The purpose of this study is to test the effects of macroeconomic uncertainty and interest rates on investment spending for Turkish economy. We have used quarterly data for the period of 2003-2016. The study uses three important econometric steps. In the first step, the macroeconomic uncertainty index is formed based on the Atta-Mensah (2004) approach. For this aim, moving standard deviation technique is used to calculate the volatilities of the stock market, general price level, economic activity and exchange rate. In the second step, macroeconomic uncertainty index is produced. In the third step, the long-run dynamic relationships are analyzed among macroeconomic uncertainty index, interest rates and investment spending and the effects of uncertainty index and interest rates on investment spending are tested using the ARDL co-integration test.

References

  • AHMAD, Imtiaz and Abdul QAYYUM; (2008), “Effect of Government Spending and Macro-Economic Uncertainty on Private Investment in Services Sector: Evidence from Pakistan”, European Journal of Economics, Finance and Administrative Sciences, 11673, pp. 83-95.
  • ATTA-MENSAH, Joseph; (2004), “Money Demand and Economic Uncertainty”, Bank of Canada Working Papers, 25, pp. 1-28.
  • BAKER, Scott R., BLOOM, Nicholas and Steven J. DAVIS; (2015), “Measuring Economic Policy Uncertainty”, National Bureau of Economic Research, w21633, pp. 1-75.
  • BEKOE, William and Philip Kofi ADOM; (2013), “Macroeconomic Uncertainty and Private Investment in Ghana: An Empirical Investigation”, International Journal of Economics and Financial Issues, 3(2), pp. 276-293.
  • BREDIN, Don and Stilianos FOUNTAS; (2005), “Macroeconomic Uncertainty and Macroeconomic Performance: Are They Related?”, The Manchester School, 73(s1), pp. 58-76.
  • BROWN, Robert L., DURBIN, James and James M. EVANS; (1975), “Techniques for testing the Constancy of Regression Relations over Time”, Journal of the Royal Statistical Society, 37(2), pp. 149–163.
  • BYRNE, Joseph P., and E. Philip DAVIS; (2005), “Investment and uncertainty in the G7”, Review of World Economics, 141(1), pp. 1-32.
  • CRONIN, David, KELLY, Robert and Bernard KENNEDY; (2011), “Money Growth, Uncertainty and Macroeconomic Activity: A Multivariate GARCH Analysis”, Empirica, 38(2), pp. 155–167.
  • DEMIR, Firat; (2009), “Macroeconomic Uncertainty and Private Investment in Argentina, Mexico and Turkey”, Applied Economics Letters, 16(6), pp. 567-571.
  • DICKEY, David A. and Wayne A. FULLER; (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, 74(336a), pp. 427–431.
  • ERDEM, Havvanur Feyza and Rahmi YAMAK; (2016), “Measuring the Optimal Macroeconomic Uncertainty Index for Turkey”, Economic Annals, 61(210), pp. 7-22.
  • ERDEM, Havvanur Feyza and Nebiye YAMAK; (2016), “Makroekonomik Belirsizlik Endeksinin Reel Sektör Üzerindeki Etkileri: Atta-Mensah Yaklaşımı”, Xth International Statistics Days Conference, Giresun, Abstracts and Proceedings Book, pp. 278-287.
  • FERDERER, Peter J.; (1993), “The Impact of Uncertainty on Aggregate Investment Spending: An Empirical Analysis”, Journal of Money, Credit and Banking, 25, pp. 30-48.
  • GAN, Pei-Tha; (2014), “The Optimal Economic Uncertainty Index: A Grid Search Application”, Computational Economics, 43(2), pp. 159-182.
  • GILCHRIST, Simon, SIM, Jae W. and Egon ZAKRAJSEK; (2014), “Uncertainty, Financial Frictions, and Investment Dynamics”, NBER Working Paper Series, 20038: 1-58. http:// www.nber.org/papers/w20038
  • GOEL, Rajeev K. and Rati RAM; (2001), “Irreversibility of R&D Investment and the Adverse Effect of Uncertainty: Evidence from the OECD Countries”, Economics Letters, 71(2), pp. 287- 291.
  • GHOSA, Vivek and Prakash LOUNGANI; (2000), “The Differential Impact of Uncertainty on Investment in Small and Large Businesses”, The Review of Economics and Statistics, 82(2), pp. 338-343.
  • GUGLIELMINETTI, Elisa; (2013), “The Effects of Uncertainty Shocks on the Labor Market: A Search Approach”, [online] http://econ.sciences-po.fr/sites/default/files/Elisa.pdf.
  • HOLLAND, A. Steven, Steven H. OTT, and Timothy J. RIDDIOUGH; (2000), “The Role of Uncertainty in Investment: An Examination of Competing Investment Models Using Commercial Real Estate Data”, Real Estate Economics, 28(1), pp. 33-64.
  • KUMO, Wolassa L.; (2006), “Macroeconomic Uncertainty and Aggregate Private Investment in South Africa”, South African Journal of Economics, 74(2), pp. 190-204.
  • LEAHY, John V, and Toni M. WHITED; (1995), “The Effect of Uncertainty on Investment: Some Stylized Facts”, National Bureau of Economic Research, w4986, pp. 1-29.
  • PESARAN, M. Hashem and Bahram PESARAN; (1997), “Working With Microfit 4.0: Interactive Econo-metric Analysis”, Oxford University Press, Oxford.
  • PESARAN, M. Hashem and Yongcheol SHIN; (1999), “Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis”, In: Storm S, editor. Econometrics and Economic Theory in the 20th Century: the Ragnar Frisch Centennial Symposium. Cambridge University Press; [chapter 1].
  • PESARAN, M. Hashem, Yongcheol SHIN and Richard J. SMITH; (2001), “Bounds Testing Approaches to the Analysis of Level Relationships”, Journal of Applied Econometrics, 16(3), pp. 289-326.
  • PHILLIPS, Peter C. and Pierre PERRON; (1988), “Testing for A Unit Root in Time Series Regression”, Biometrica, 75(2), pp. 335-346.
  • RITTENBERG, Libby; (1991), “Investment Spending and Interest Rate Policy: The Case of Financial Liberalisation in Turkey”, The Journal of Development Studies, 27(2), pp. 151-167.
  • SERVEN, Luis; (1998), “Macroeconomic Uncertainty and Private Investment in Developing Countries: An Empirical Investigation”, World Bank Policy Research Working Paper, (2035), pp. 1-34.
There are 27 citations in total.

Details

Primary Language English
Journal Section Research Article
Authors

Havvanur Feyza Erdem

Rahmi Yamak

Publication Date April 1, 2018
Published in Issue Year 2018 Issue: 638

Cite

APA Erdem, H. F., & Yamak, R. (2018). The Impacts of Macroeconomic Uncertainty and Interest Rates on the Investment Spending: ARDL Co-integration Approach. Finans Politik Ve Ekonomik Yorumlar(638), 49-57.
AMA Erdem HF, Yamak R. The Impacts of Macroeconomic Uncertainty and Interest Rates on the Investment Spending: ARDL Co-integration Approach. FPEYD. April 2018;(638):49-57.
Chicago Erdem, Havvanur Feyza, and Rahmi Yamak. “The Impacts of Macroeconomic Uncertainty and Interest Rates on the Investment Spending: ARDL Co-Integration Approach”. Finans Politik Ve Ekonomik Yorumlar, no. 638 (April 2018): 49-57.
EndNote Erdem HF, Yamak R (April 1, 2018) The Impacts of Macroeconomic Uncertainty and Interest Rates on the Investment Spending: ARDL Co-integration Approach. Finans Politik ve Ekonomik Yorumlar 638 49–57.
IEEE H. F. Erdem and R. Yamak, “The Impacts of Macroeconomic Uncertainty and Interest Rates on the Investment Spending: ARDL Co-integration Approach”, FPEYD, no. 638, pp. 49–57, April 2018.
ISNAD Erdem, Havvanur Feyza - Yamak, Rahmi. “The Impacts of Macroeconomic Uncertainty and Interest Rates on the Investment Spending: ARDL Co-Integration Approach”. Finans Politik ve Ekonomik Yorumlar 638 (April 2018), 49-57.
JAMA Erdem HF, Yamak R. The Impacts of Macroeconomic Uncertainty and Interest Rates on the Investment Spending: ARDL Co-integration Approach. FPEYD. 2018;:49–57.
MLA Erdem, Havvanur Feyza and Rahmi Yamak. “The Impacts of Macroeconomic Uncertainty and Interest Rates on the Investment Spending: ARDL Co-Integration Approach”. Finans Politik Ve Ekonomik Yorumlar, no. 638, 2018, pp. 49-57.
Vancouver Erdem HF, Yamak R. The Impacts of Macroeconomic Uncertainty and Interest Rates on the Investment Spending: ARDL Co-integration Approach. FPEYD. 2018(638):49-57.