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THE EFFECT OF MACROECONOMIC VARIABLES ON ECONOMIC GROWTH: EMPIRICAL APPLICATION FOR TÜRKİYE

Year 2024, Issue: 28, 180 - 193, 30.10.2024

Muhammet Beki

https://doi.org/10.29029/busbed.1485626

Abstract

This study evaluates the effects of macroeconomic variables in the Turkish economy, such as foreign direct investments, real exchange rate and public expenditures, on economic growth, covering the periods of 2010Q1-2023Q2, using quarterly data to test the relationship between the variables with various methods. The data used in the analysis are obtained from the Federal Reserve Bank Economic data (FRED. In the study, ADF unit root test and Zivot-Andrews (1992) unit root test, which allows structural breaks, were used to determine the stationarity properties of the series, Gregory-Hansen (1996) co-integration analysis and the Fully Modified Least Squares Method (FMOLS) were used to determine the long-term relationship between them. The direction of causality between variables is analysed with the Toda-Yamamoto Causality Test. According to the results, the variables became stationary with a structural break and there is a long-term relationship between the series with the cointegration test. In addition, there is a statistically significant causal relationship between GDP (gross domestic product) FDI (direct foreign investments) and RDK (real exchange rate), but there is no statistically significant causal relationship between them and the KAMUHRC (public expenditures).

Keywords

Economic Growth Macroecenomic Cointegration Causality

References

  • Aguirre, A., & Calderon, C. (2005). Real exchange rate misalignments and economic performance. Banco Central de Chile Documentos de Trabajo, (315), 1-49.
  • Alexious, C., & Anastasiadis, G. (2010). FDI and financial restructuring in South Eastern European. International Journal of Applied Business and Economic Research, 8(2), 107-126.
  • Artan, S., Hayaloğlu, P., & Demirel, S. K. (2017). Gelişmiş ve gelişmekte olan ülkelerde kamu kesimi büyüklüğü, kurumsal kalite ve ekonomik büyüme ilişkisi. İsletme ve İktisat Çalışmaları Dergisi, 5(3), 1-9.
  • Barguellil, A., Salha, O. B., & Zmami, M. (2018). Exchange rate volatility and economic growth. Journal of Economic Integration 33(2), 1302-1336 http://dx.doi.org/10.11130/jei.
  • Bilgili, E. (2000). Reel döviz kuru ve ekonomik büyüme. İktisat İşletme ve Finans, 15(176), 56-73, doi: 10.3848/iif.2000.176.8816.
  • Blomstrom, M., Lipsey, R., & Zejan, M. (1992). What explains developing country growth? NBER Working Paper, 4132, 1-36. https://doi. org/10.3386.
  • Borensztein, E., De Gregorio, J., & Lee, J. W. (1998). How does foreign direct investment affect economic growth? Journal of İnternational Economics, 45(1), 115-135. https://doi.org/10.1016/S0022-1996(97)00033-0.
  • Carkovic, M., & Levine, R. (2002). Does foreign direct ınvesment accelerate growth? U of Minnesota Department of Finance Working Paper, 1-26. http://dx.doi.org/10.2139/ssrn.314924.
  • Carr, J. L. (1989), Government size and economic growth: A new framework and some evidence
  • Choe, J.II. (2003). Do foreign direct ınvestment and gross domestic ınvestment promote economic growth?. Review of Development Economics, 7(1), 44-57, doi: 10.1111/1467-9361.00174.
  • Chowdhury, A., & Mavrotas, G. (2005). FDI and growth: A causal relationship. World ınstitute for development economic research (UNU-WIDER). WIDER Working Paper Series, 25, 1-8.
  • Colombier, C. (2009). Growth Effects of Fiscal Policies: An application of robust modified mestimator. Applied Economics, 41(7), 899-912.
  • Connolly, M., & Li, C. (2016). Government spending and economic growth in the OECD countries. Journal of Economic Policy Reform, 19( 4), 386–395. Doi: 10.1080/17487870.2016.1213168. cross section and time series data: comment. The American Economic Review, 79(1), s.267 271.
  • Dar, A. A., AmirKhalkhali, S. (2002). Government size, factor accumulation, and economic growth: Evidence from OECD countries. Journal of Policy Modeling, 24, 679-692.
  • De Mello, L. R. (1999). Foreign direct investment-led growth: Evidence from time series and panel data. Oxford Economic Papers, 51(1), 133-151. DOİ:10.1093/oep/51.1.133.
  • Dolatabadı, S. M. H., & Fard A. T. (2015). Effect of positive exchange rate shock on GDP. Majlis (Parliament) Strategy, 22(81), s.171-186.
  • Facchini, F., & Seghezza, E. (2018). Public spending structure, minimal state and economic growth in France (1870-2010). Economic modelling 72, 151-164. Doi: 10.1016/j.econmod.2018.01.014 from cross section and time series data: Comment. The American Economic Review, 79(1), s.267-271.
  • Granger, C.W.J., & Newbold, P. (1974). Spurious regressions ın econometrics. Journal of Econometrics, 2 (2), 111-120. https://doi.org/10.1016/0304-4076(74)90034-7.
  • Gregory, A.W., & Hansen, B.E. (1996). Tests for cointegration in models with regime and trend shifts. Oxford bulletin of Economics and Statistics, 58(3), 555-560.
  • Gupta, S. P. (1969). Public expenditure and economic growth: Public expenditure and economic development a cross section analysis. Public Finance Analysis, 28, 26-41.
  • Hansen, H., & Rand, J. (2006). On the causal links between fdı and growth in developing countries. Institute of Economics. University of Copenhagen and Development Economics Research Group. Discussions Papers, 29(1) 21-41. https://doi.org/10.1111/j.1467-9701.2006.00756.x
  • Harrison, A., & McMillan, M. (2003) Does direct foreign ınvestment affect domestic credit constraints? Journal of International Economics, 61, 73-100. http://dx.doi.org/10.1016/S0022-1996(02)00078-8.
  • Hsiao, C., & Shen, Y. (2003). Foreign direct ınvesment and economic growth: The ımportance of ınstitutions and urbanizations, economic development and cultural change. University of Chicago Press 51(4), 883-896. Doi: 10.1086/375711.
  • Işık, C. (2016). Doğrudan yabancı sermaye yatırımları ve ekonomik büyüme ilişkisi: Sınır testi yaklaşımıyla Türkiye örneği. IUJEAS, 1(1), 1-12.
  • Lensink, R., & Morrissey, O. (2001). Foreign direct ınvestment: Flows, volatility and growth in developing countries. CREDIT Research Paper, 1(6), 1-28. https://hdl.handle.net/10419/81831.
  • Lily, J., Kogid, M., Asid, R., Mulok, D., & Loganathan, N. (2012). The effect of exchange rates on economic growth: Empirical testing on nominal versus real. The IUP Journal of Financial Economics, 10(1), 7-17. https://ssrn.com/abstract=2156115.
  • Loizides, J., & Vamvoukas, G. (2005). Government expenditure and economic growth: Evidence from trivariate causality testing. Journal of Applied Economics, 8(1), 125-152.
  • Lupu, D., & Asandului, M. (2017). The Nexus between Economic Growth and Public Spending in Eastern European Countries, Engineering Economics, 28(2), 155–161. DOI:10.5755/j01.ee.28.2.7734
  • Menciger, J. (2003). Does foreign investment always enhance economic growth? Kyklos, 56(4), 491-508. https://doi.org/10.1046/j.0023-5962.2003.00235.
  • Mendoza, G. O. (2008). Foreign direct ınvestment and economic growth in Mexico. An empirical analysis. School of Technology and Society, 43, University of Skövde.
  • Miankhel, A. K., Thangavelu, S. M., & Kalirajan, K. (2009). Foreign direct investment, exports, and economic growth in selected emerging countries: Multivariate Var analysis, 2-23. http://dx.doi.org/10.2139/ssrn.1526387.
  • Oxley, L. (1994). Cointegration, causality and wagner’s law: A test for Britain 1870– 1913. Scottish Journal of Political Economy, 41(3), 286–298.
  • Panshak, Y., & Shingil, M. E. (2017). Exchange rate dynamics, ınflation and economic growth: Empirical evidence from Turkish economy. IOSR Journal Of Humanities and Social Science (IOSR-JHSS), 22( 9), 42-49.
  • Ramirez, M. D., & Nazmi, N. (2003). Public ınvestment and economic growth in Latin America: An empirical test. Review of Development Economics, 7(1), 115-126. https://doi.org/10.1111/1467-9361.00179.
  • Rapettı, M., Skott, P., & Razmi, A. (2012). The real exchange rate and economic growth: Are developing countries different?. International Review of Applied Economics, 26(6), 735-753. Doi: 10.1080/02692171.2012.686483.
  • Razin, O., & Collins, S. M. (1997). Real exchange rate misalignments and growth. National Bureau of Economic Research, Working Paper, w6174, 1-21. Available at SSRN: https://ssrn.com/abstract=225932.
  • Rosales, A., Romero, L. Q., Jesus, L. D., & Rama, D. R. (2021). Spatial spillovers of economic growth and public spending in Mexico: Evidence from a SpVAR model, 1999–2019. Economic Analysis and policy, 71(2), 660-673. Doi:10.1016/j.eap.2021.07.004.
  • Tarawalie, A. B. (2010). Real exchange rate behaviour and economic growth: Evidence from Sierra Leone. South African Journel of Economic Management Sciences, 13(1), 8-25. Doi:10.4102/sajems.v13i1.195.
  • Taşdemir, F. D., & Erdaş, H. (2018). Doğrudan yabancı yatırım ekonomik büyüme ilişkisi: Türkiye örneği. Trakya Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 7(1), 140-152.
  • Toda, H.Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66, 225- 250. http://dx.doi.org/10.1016/0304-4076(94)01616-8.
  • Uddın, K. M. K., Rahman, M. M., & Quaosar, G. A. A. (2014). Causalıty between exchange rate and economıc growth ın Bangladesh. European Scientific Journal, 10(31), 11-26.
  • Ünlü, H. (2016). Döviz kuru oynaklığı ve ekonomik büyüme: Türkiye Örneği. Sakarya İktisat Dergisi, 5(3), 17-31.
  • Vieira, F. V., Holland, M. C., Silva, Gomes De., & Bottecchia, L.C. (2013). Growth and exchange rate volatility: A Panel Data Analysis, Applied Economics, 45(26), 3733-3741. Doi: 10.1080/00036846.2012.730135.
  • Yamak, N., & Küçükkale, Y. (1997). Türkiye’de kamu harcamaları ekonomik büyüme ilişkisi. İktisat İşletme ve Finans, 12(131), 5-15. Doi:10.3848/iif.1997.131.1596.
  • Yılancı, V., & Özcan, B. (2010). Yapısal kırılmalar altında Türkiye için savunma harcamaları ile gsmh arasındaki ilişkinin analizi. C.Ü İktisadi ve İdari Bilimler Dergisi, 11(1), 21-33.
  • Yılmaz, İ. (2023). Finansal tablo kullanıcıları açısından enflasyon muhasebesinin önemi: BİST enerji sektörü üzerinde örnek bir uygulama. KMÜ Sosyal ve Ekonomik Araştırmalar Dergisi, 25(45), 93-944.
  • Zivot, E., & Andrews, D. W. K. (1992). Further evidence of the great crash., the oil-price shock and the unit root hypothesis. Journal of Business and Economic Statistics, 10(3), 251-270. https://doi.org/10.2307/1391541.

MAKROEKONOMİK DEĞİŞKENLERİN EKONOMİK BÜYÜME ÜZERİNDEKİ ETKİSİ: TÜRKİYE İÇİN AMPİRİK UYGULAMA

Year 2024, Issue: 28, 180 - 193, 30.10.2024

Muhammet Beki

https://doi.org/10.29029/busbed.1485626

Abstract

Bu çalışmada, Türkiye ekonomisindeki seçili makroekonomik değişkenlerden, doğrudan yabancı yatırımlar, reel döviz kuru ile kamu harcamalarının büyüme üzerindeki önemi, 2010Q1-2023Q2 dönemlerini kapsayacak şekilde, çeyreklik veri kullanılarak değişkenler arasındaki ilişki çeşitli yöntemler ile araştırılmaktadır. Çalışma ile hedeflenen özellikle seçili makroekonomik değişkenlerin, sürdürülebilir ekonomik büyüme üzerindeki etkilerinin hangi boyutta olduğu ve bu etkinin dönemler arasında nasıl şekillendiğini ortaya çıkarmaktır. Analizde kullanılan veriler federal rezerv ekonomik veri (FRED) bankasından elde edilmektedir. Çalışmada öncelikle serilerin durağanlık özelliklerinin belirlenmesinde ADF ile yapısal değişim içeren Zivot-Andrews testleri, aralarındaki uzun dönemli ilişkide Gregory-Hansen (1996) eş bütünleşme analizi ile Tamamen Değiştirilmiş En Küçük Kareler Yöntemi (FMOLS), ardından seriler arasındaki nedenselliğin yönü ise Toda-Yamamoto testi ile analiz edilmektedir. Elde edilen sonuçlara göre, değişkenlerin yapısal kırılma ile durağan hale geldiği ve eşbütünleşme analizi ile değişkenlerin uzun dönemde birbirlerini etkilediği sonucuna ulaşılmaktadır. Ayrıca GDP(gayri safi yurtiçi hasıla) ile FDI(doğrudan yabancı yatırımlar) ve RDK(reel döviz kuru) değişkenleri aralarında istatistiksel açıdan anlamlı bir nedenselliğin varlığı, KAMUHRC(kamu harcamaları) değişkeni ile aralarında herhangi bir nedenselliğin olmadığı belirlenmektedir.

Keywords

Ekonomik Büyüme Makroekonomi Eşbütünleşme Nedensellik

References

  • Aguirre, A., & Calderon, C. (2005). Real exchange rate misalignments and economic performance. Banco Central de Chile Documentos de Trabajo, (315), 1-49.
  • Alexious, C., & Anastasiadis, G. (2010). FDI and financial restructuring in South Eastern European. International Journal of Applied Business and Economic Research, 8(2), 107-126.
  • Artan, S., Hayaloğlu, P., & Demirel, S. K. (2017). Gelişmiş ve gelişmekte olan ülkelerde kamu kesimi büyüklüğü, kurumsal kalite ve ekonomik büyüme ilişkisi. İsletme ve İktisat Çalışmaları Dergisi, 5(3), 1-9.
  • Barguellil, A., Salha, O. B., & Zmami, M. (2018). Exchange rate volatility and economic growth. Journal of Economic Integration 33(2), 1302-1336 http://dx.doi.org/10.11130/jei.
  • Bilgili, E. (2000). Reel döviz kuru ve ekonomik büyüme. İktisat İşletme ve Finans, 15(176), 56-73, doi: 10.3848/iif.2000.176.8816.
  • Blomstrom, M., Lipsey, R., & Zejan, M. (1992). What explains developing country growth? NBER Working Paper, 4132, 1-36. https://doi. org/10.3386.
  • Borensztein, E., De Gregorio, J., & Lee, J. W. (1998). How does foreign direct investment affect economic growth? Journal of İnternational Economics, 45(1), 115-135. https://doi.org/10.1016/S0022-1996(97)00033-0.
  • Carkovic, M., & Levine, R. (2002). Does foreign direct ınvesment accelerate growth? U of Minnesota Department of Finance Working Paper, 1-26. http://dx.doi.org/10.2139/ssrn.314924.
  • Carr, J. L. (1989), Government size and economic growth: A new framework and some evidence
  • Choe, J.II. (2003). Do foreign direct ınvestment and gross domestic ınvestment promote economic growth?. Review of Development Economics, 7(1), 44-57, doi: 10.1111/1467-9361.00174.
  • Chowdhury, A., & Mavrotas, G. (2005). FDI and growth: A causal relationship. World ınstitute for development economic research (UNU-WIDER). WIDER Working Paper Series, 25, 1-8.
  • Colombier, C. (2009). Growth Effects of Fiscal Policies: An application of robust modified mestimator. Applied Economics, 41(7), 899-912.
  • Connolly, M., & Li, C. (2016). Government spending and economic growth in the OECD countries. Journal of Economic Policy Reform, 19( 4), 386–395. Doi: 10.1080/17487870.2016.1213168. cross section and time series data: comment. The American Economic Review, 79(1), s.267 271.
  • Dar, A. A., AmirKhalkhali, S. (2002). Government size, factor accumulation, and economic growth: Evidence from OECD countries. Journal of Policy Modeling, 24, 679-692.
  • De Mello, L. R. (1999). Foreign direct investment-led growth: Evidence from time series and panel data. Oxford Economic Papers, 51(1), 133-151. DOİ:10.1093/oep/51.1.133.
  • Dolatabadı, S. M. H., & Fard A. T. (2015). Effect of positive exchange rate shock on GDP. Majlis (Parliament) Strategy, 22(81), s.171-186.
  • Facchini, F., & Seghezza, E. (2018). Public spending structure, minimal state and economic growth in France (1870-2010). Economic modelling 72, 151-164. Doi: 10.1016/j.econmod.2018.01.014 from cross section and time series data: Comment. The American Economic Review, 79(1), s.267-271.
  • Granger, C.W.J., & Newbold, P. (1974). Spurious regressions ın econometrics. Journal of Econometrics, 2 (2), 111-120. https://doi.org/10.1016/0304-4076(74)90034-7.
  • Gregory, A.W., & Hansen, B.E. (1996). Tests for cointegration in models with regime and trend shifts. Oxford bulletin of Economics and Statistics, 58(3), 555-560.
  • Gupta, S. P. (1969). Public expenditure and economic growth: Public expenditure and economic development a cross section analysis. Public Finance Analysis, 28, 26-41.
  • Hansen, H., & Rand, J. (2006). On the causal links between fdı and growth in developing countries. Institute of Economics. University of Copenhagen and Development Economics Research Group. Discussions Papers, 29(1) 21-41. https://doi.org/10.1111/j.1467-9701.2006.00756.x
  • Harrison, A., & McMillan, M. (2003) Does direct foreign ınvestment affect domestic credit constraints? Journal of International Economics, 61, 73-100. http://dx.doi.org/10.1016/S0022-1996(02)00078-8.
  • Hsiao, C., & Shen, Y. (2003). Foreign direct ınvesment and economic growth: The ımportance of ınstitutions and urbanizations, economic development and cultural change. University of Chicago Press 51(4), 883-896. Doi: 10.1086/375711.
  • Işık, C. (2016). Doğrudan yabancı sermaye yatırımları ve ekonomik büyüme ilişkisi: Sınır testi yaklaşımıyla Türkiye örneği. IUJEAS, 1(1), 1-12.
  • Lensink, R., & Morrissey, O. (2001). Foreign direct ınvestment: Flows, volatility and growth in developing countries. CREDIT Research Paper, 1(6), 1-28. https://hdl.handle.net/10419/81831.
  • Lily, J., Kogid, M., Asid, R., Mulok, D., & Loganathan, N. (2012). The effect of exchange rates on economic growth: Empirical testing on nominal versus real. The IUP Journal of Financial Economics, 10(1), 7-17. https://ssrn.com/abstract=2156115.
  • Loizides, J., & Vamvoukas, G. (2005). Government expenditure and economic growth: Evidence from trivariate causality testing. Journal of Applied Economics, 8(1), 125-152.
  • Lupu, D., & Asandului, M. (2017). The Nexus between Economic Growth and Public Spending in Eastern European Countries, Engineering Economics, 28(2), 155–161. DOI:10.5755/j01.ee.28.2.7734
  • Menciger, J. (2003). Does foreign investment always enhance economic growth? Kyklos, 56(4), 491-508. https://doi.org/10.1046/j.0023-5962.2003.00235.
  • Mendoza, G. O. (2008). Foreign direct ınvestment and economic growth in Mexico. An empirical analysis. School of Technology and Society, 43, University of Skövde.
  • Miankhel, A. K., Thangavelu, S. M., & Kalirajan, K. (2009). Foreign direct investment, exports, and economic growth in selected emerging countries: Multivariate Var analysis, 2-23. http://dx.doi.org/10.2139/ssrn.1526387.
  • Oxley, L. (1994). Cointegration, causality and wagner’s law: A test for Britain 1870– 1913. Scottish Journal of Political Economy, 41(3), 286–298.
  • Panshak, Y., & Shingil, M. E. (2017). Exchange rate dynamics, ınflation and economic growth: Empirical evidence from Turkish economy. IOSR Journal Of Humanities and Social Science (IOSR-JHSS), 22( 9), 42-49.
  • Ramirez, M. D., & Nazmi, N. (2003). Public ınvestment and economic growth in Latin America: An empirical test. Review of Development Economics, 7(1), 115-126. https://doi.org/10.1111/1467-9361.00179.
  • Rapettı, M., Skott, P., & Razmi, A. (2012). The real exchange rate and economic growth: Are developing countries different?. International Review of Applied Economics, 26(6), 735-753. Doi: 10.1080/02692171.2012.686483.
  • Razin, O., & Collins, S. M. (1997). Real exchange rate misalignments and growth. National Bureau of Economic Research, Working Paper, w6174, 1-21. Available at SSRN: https://ssrn.com/abstract=225932.
  • Rosales, A., Romero, L. Q., Jesus, L. D., & Rama, D. R. (2021). Spatial spillovers of economic growth and public spending in Mexico: Evidence from a SpVAR model, 1999–2019. Economic Analysis and policy, 71(2), 660-673. Doi:10.1016/j.eap.2021.07.004.
  • Tarawalie, A. B. (2010). Real exchange rate behaviour and economic growth: Evidence from Sierra Leone. South African Journel of Economic Management Sciences, 13(1), 8-25. Doi:10.4102/sajems.v13i1.195.
  • Taşdemir, F. D., & Erdaş, H. (2018). Doğrudan yabancı yatırım ekonomik büyüme ilişkisi: Türkiye örneği. Trakya Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 7(1), 140-152.
  • Toda, H.Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66, 225- 250. http://dx.doi.org/10.1016/0304-4076(94)01616-8.
  • Uddın, K. M. K., Rahman, M. M., & Quaosar, G. A. A. (2014). Causalıty between exchange rate and economıc growth ın Bangladesh. European Scientific Journal, 10(31), 11-26.
  • Ünlü, H. (2016). Döviz kuru oynaklığı ve ekonomik büyüme: Türkiye Örneği. Sakarya İktisat Dergisi, 5(3), 17-31.
  • Vieira, F. V., Holland, M. C., Silva, Gomes De., & Bottecchia, L.C. (2013). Growth and exchange rate volatility: A Panel Data Analysis, Applied Economics, 45(26), 3733-3741. Doi: 10.1080/00036846.2012.730135.
  • Yamak, N., & Küçükkale, Y. (1997). Türkiye’de kamu harcamaları ekonomik büyüme ilişkisi. İktisat İşletme ve Finans, 12(131), 5-15. Doi:10.3848/iif.1997.131.1596.
  • Yılancı, V., & Özcan, B. (2010). Yapısal kırılmalar altında Türkiye için savunma harcamaları ile gsmh arasındaki ilişkinin analizi. C.Ü İktisadi ve İdari Bilimler Dergisi, 11(1), 21-33.
  • Yılmaz, İ. (2023). Finansal tablo kullanıcıları açısından enflasyon muhasebesinin önemi: BİST enerji sektörü üzerinde örnek bir uygulama. KMÜ Sosyal ve Ekonomik Araştırmalar Dergisi, 25(45), 93-944.
  • Zivot, E., & Andrews, D. W. K. (1992). Further evidence of the great crash., the oil-price shock and the unit root hypothesis. Journal of Business and Economic Statistics, 10(3), 251-270. https://doi.org/10.2307/1391541.
There are 47 citations in total.

Details

Primary Language Turkish
Subjects Time-Series Analysis
Journal Section Articles
Authors

Muhammet Beki 0009-0004-9347-7381

Early Pub Date October 27, 2024
Publication Date October 30, 2024
Submission Date May 17, 2024
Acceptance Date September 5, 2024
Published in Issue Year 2024Issue: 28

Cite

APA Beki, M. (2024). MAKROEKONOMİK DEĞİŞKENLERİN EKONOMİK BÜYÜME ÜZERİNDEKİ ETKİSİ: TÜRKİYE İÇİN AMPİRİK UYGULAMA. Bingöl Üniversitesi Sosyal Bilimler Enstitüsü Dergisi(28), 180-193. https://doi.org/10.29029/busbed.1485626
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