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Domestic Debt Intolerance and Bad Equilibrium: An Empirical Default Model

Yıl 2014, Sayı: 13, 133 - 154, 01.06.2014

Öz

The Turkish financial crises 1994 and 2000-2001 are spaced some years apart, creating an illusion that “this time is different” among policymakers and investors. Suppose that the dynamics of the macroeconomy generates multiple values for the domestic interest rate premium : “bad” and “good.” The sudden shifts in financial markets that characterize financial crises are then interpreted as a shift from good equilibrium to the bad one. In this paper, we specify a dynamic model in which debt default through inflation is possible, determine its closed-form solution and multiple equilibria. We estimate the model using the properties of chaos theory, against post-liberalization period (1989-2010) data for Turkey. The problem takes as given our model economy with multiple equilibria and asks whether the multiple equilibria can be verified by the data. To make progress on this problem we introduce phase-space portrait of the interest rates and identify path for debt dynamics moving from low and diverging through high interest levels. Second, we measure how the default episodes 1994 and 2000-2001 converge on phase-space, depending on the maximal Lyapunov exponent. Since the data show support for the multiple-equilibrium explanation of the serial defaults, we better understand the significance of domestic debt behind the high inflation, banking crises and currency crashes that Turkish economy frequently experienced in its post-liberalization period.

Kaynakça

  • Abarbanel HDI (1995), Analysis of observed chaotic data. Springer.
  • Aiyagari R (1995), “Comments on Farmer and Guo’s ‘The econometrics of Indeterminacy: An Applied Study’”, Federal Reserve Bank of Minneapolis, Staff Report 196. Akyüz Y, Boratav, K (2003), “The making of the Turkish Financial Crisis”, World Development Vol. 31, No. 9, pp. 1549–1566. Ari A (2012), “Early warning systems for currency crises: The Turkish case”, Economic Systems vol:36, issue:3, 391-410 Berument H, Pasaogullari M (2003), “Effects of the real exchange rate on output and inflation: Evidence from Turkey”, The Developing Economies, XLI-4 (December): 401–35 Barlevy G, Veronesi P (2003), “Rational Panics and Stock Market Crashes”, Journal of Economic Theory, 110(2): 234- 63. Calvo GA (1988), “Servicing the Public Debt: The role of Expectations”, American Economic Review, Vol: 78, pp. 647-61. Calvo GA (2009), “Financial crises and liquidity shocks: A bank-run perspective”, NBER Working Paper, No. 15425. Çeşmeci Ö, Önder AÖ (2008), “The Determinants of Currency Crises in Emerging Markets: Case of Turkey”, Emerging Markets Finance and Trade, 44, 5, 54Cornell CM, Solomon RH (2007), “An empirical, three-interest-rate model”, Journal of Policy Modeling, vol. 29, issue 3,489-504 Cole HL, Kehoe TJ (2000), “Self-Fulfilling Debt Crises”, Review of Economic Studies, 67(1): 91-116.
  • In models of debt repudiation, generally authors report two equilibria sets, one is Pareto efficient (inflation is zero), the other is Pareto inefficient (Calvo, 1988; Dreher et al., 2006). Our model in Section 2 results with two Pareto inefficient equilibria.
  • Cooper RW (2002), “Estimation and identification of structural parameters in the presence of multiple equilibria”, NBER Working paper series. Working Paper 8941, http://www.nber.org/papers/w8941 Dagsvik BJ, Jovanovic, B (1994), “Was the Great Depression a low-level equilibrium?”, European Economic Review, 38, 1711-1729 Detragiache E (1996), “Rational liquidity crises in the sovereign debt market: in search of a theory”, IMF Staff Papers 43(3): 545–570. Diamond DW, Dybvig PH (1983), “Bank runs, deposit insurance and liquidity”, Journal of Political Economy, 91(3), 401−419. Dikec Ustun (2001), “Public borrowing policy commission report”, In Eight Five-years Development Programme. Debt management commission, State Planning Organization (SPO), Ankara-Turkey. http://ekutup.dpt.gov.tr/vergi/oik608.pdf; ISBN 975-19-2757-9. Dreher A, Herz B, Karb V (2006), “Is There a casual link between currency and debt crises”, Int. J. Fin. Econ. 11: 305–325. Eckmann JP, Ruelle D (1985), “Ergodic theory of chaos and strange attractors”, Rev. Mod. Phys. 57, 617–656. Evrensel AY (2004), “IMF Programs and Financial Liberalization in Turkey”, Emerging Markets Finance & Trade Vol. 40, No. 4 (Jul. - Aug.), pp. 5-19 Fincke B, Greiner A (2011), “Debt Sustainability in Selected Euro Area Countries: Empirical Evidence Estimating Time-Varying Parameters”, Studies in Nonlinear Dynamics and Econometrics. 15(3). Gencay R, Dechert WD (1992), “An algorithm for the n Lyapunov exponents of an n-dimensional unknown dynamical system”, Physica D, 59 142-157 Gennotte G, Hayne EL (1990), “Market Liquidity, Hedging, and Crashes”, American Economic Review, 80(5): 999- 1021. Hegger R, Kantz H, Schreiber T (1999), “Practical implementation of nonlinear time series methods: The TISEAN package”, Chaos 9, 413. Hellwig C, Mukherji A, Tsyvinski A (2006), “Self-Fulfilling Currency Crises: The Role of Interest Rates”, The American Economic Review, Vol. 96, No. 5, pp. 1769-1787 International Monetary Fund, IMF (2000), “IMF Staff country report 00/14, Turkey: Selected issues and Statistical Appendix”, February. International Monetary Fund, IMF (2002), “Assessing sustainability”, Washington, DC, http://www.imf.org/external/np/pdr/sus/2002/ eng/052802.pdf, December 2004.
  • International Monetary Fund, IMF (2003a), “Debt sustainability in lowincome-countries towards a forward-looking strategy. Washington, DC, http://www.imf.org/external/np/pdr/sustain/2003/052303.pdf, December 200 International Monetary Fund, IMF (2003b), “Proposed features of a sovereign debt restructuring mechanism”, Washington, DC, http://www.imf.org/ external/np/pdr/sdrm/2003/021203.pdf, December 2004. Jovanovic B (1989), “Observable implications of models with multiple equilibria”, Econometrica, 57 (6), 1431-1437. Kantz H (1994), “A robust method to estimate the maximal Lyapunov exponent of a time series”, Physics Letters A, 185, 77-87. Kantz H, Schreiber T (1997), Nonlinear time series analysis. Cambridge, UK: Cambridge University Press. McKinnon RI (1991), The Order of Economic Liberalization. Johns Hopkins University Press. Obstfeld M (1986), “Rational and Self-Fulfilling Balance-of-Payments Crises”, American Economic Review, 76(1): 72-81. Obstfeld M (1996), “Models of currency crises with self-fulfilling features”, European Economic Review, 40, 1037−1047. Obstfeld M, Rogoff K (1996), Foundations of International Macroeconomics. Cambridge, MA: MIT Press. Ozkan ,FG (2005), “Currency and Financial Crises in Turkey 2000-2001: Bad Fundamentals or Bad Luck?”, The World Economy, Vol. 28, No. 4, pp. 541572, April Özatay FS (2000), “The 1994 Currency Crisis in Turkey”, The Journal of Policy Reform, 3(4), 327-352. Reinhart CM, Rogoff KS, Savastano MA (2003), “Debt intolerance”, Brookings Papers on Economic Activity, Vol. 2003, No. 1, pp. 1-62 Reinhart CM, Rogoff KS (2008), “This time is different: a panoramic view of eight centuries of financial crises”, NBER Working Paper No. 13882, March. Reinhart CM, Rogoff KS (2011), “The forgotten history of domestic debt”, The Economic Journal, 121 (May), 319–350 Reinhart CM, Sbrancia MB (2011), “The Liquidation of Government Debt”, NBER Working Paper No. 16893. March.
  • Rosenstein MT, Collins JJ, De Luca CJ (1993), “A practical method for calculating largest Lyapunov exponents from small data sets”, Physica D 65, 117Sachs JD (1984), “Theoretical issues in international borrowing”, Princeton Studies in International Finance, vol. 54. Department of Economics, Princeton University, Princeton. Solomon RH (2003), “Anatomy of a twin crisis”, Bank of Canada Working Paper No. 2003-41. Solomon RH (2004), “When bad things happen to good banks: Contagious bank runs and currency crises”, Bank of Canada Working Paper No. 2004-18. Takens F (1981), “Detecting strange attractors in turbulence”, In: Dynamical systems and turbulence. Berlin: Springer; p. 366. Tamgac U (2011), “Crisis and self-fulfilling expectations: The Turkish experience in 1994 and 2000–2001”, International Review of Economics and Finance 20, 44-58. Taylor JB (2009), “Financial crisis and the policy responses: An empirical analysis of what went wrong”, NBER Working Paper No: 14631. Wolf A, Swift JB, Swinney HL, Vastano JA (1985), “Determining Lyapunov Exponents from a time series”, Physica D 16, 285-317. Woodford M (1987), “Three Questions about sunspot equilibria as an explanation of economic fluctuations”, American Economic Review, 77(2), p. 93Yeldan AE (2001), “On the IMF-Directed Disinflation Program in Turkey: A Program for Stabilization and Usterity or a Recipe for Impoverishment and Financial Chaos?”, (September). Available at SSRN: http://ssrn.com/abstract= 290539

Kamu İçborcuna Tahammül Sınırı ve Kötü Denge: Borç Krizi İçin Ampirik Bir Model

Yıl 2014, Sayı: 13, 133 - 154, 01.06.2014

Öz

2000-2001 Türk finansal krizinin 1994 krizinden uzun bir zaman sonra meydana gelmiş olması, politikacı ve yatırımcılar nazarında 2000-2001 krizi için “bu kez farklı” yönünde bir yanılsama yaratmıştır. Makroekonomik dinamiklerin çoklu-denge doğurabilecek durumuda olduğunu düşünelim, öyle ki bu dengelerin oluştuğu değerler : “kötü” ve”iyi” olarak nitelendirilsin. Dolayısı ile finansal pazarlarda meydana gelen ani kaymaları temsil eden finansal krizler iyi dengeden kötü dengeye doğru bir yerdeğiştirme olarak değerlendirilir. Bu çalışmamızda, enflasyon yaratılarak borcun değerinin azaltıldığı dinamik bir kamu borçlanması modeli oluşturduk ve bu modelin kapalı çözümü ile faizin çoklu-dengelerini belirledik. Daha sonra kaos teorisini kullanarak modelimizi, Türkiye’nin finansal serbestleşme sürecindeki (1989-2010) verileri üzerinde test ettik. Amacımız, modelimizde ortaya çıkan çoklu-dengenin, gerçek verilerle doğrulanıp doğrulanamayacağını araştırmaktır. Amacımıza istinaden ilgili borç faiz oranlarını faz-uzayında inceleyerek kamu içborç dinamiklerinin iyi dengeden saparak kötü dengeye, yani çok yüksek faiz oranlarına doğru izlediği faz-güzergahını tespit ettik. Buna paralel olarak da ilgili borç dinamiğin maksimum Lyapunov katsayısını hesap ederek,1994 ve 2000-2001 krizlerinin aslında incelenen döneme ait faz-uzayında tespit ettiğimiz kaotik davranışın parçaları olduğunu gösterdik. Literatürde ardışık borç krizlerini açıklamada kullanılan çoklu-dengenin araştırmamız neticesinde 1994 ve 2000-2001 krizlerinde de rol aldığını ampirik olarak gösterdiğimiz için daha iyi anlıyoruz ki, Türk ekonomisinin finansal serbestleşme sürecinde sıklıkla yaşadığı yüksek enflasyon, bankacılık krizleri ve kur krizlerinin arkasında kamu içborcu önemli bir etken olarak ortaya çıkmaktadır.

Kaynakça

  • Abarbanel HDI (1995), Analysis of observed chaotic data. Springer.
  • Aiyagari R (1995), “Comments on Farmer and Guo’s ‘The econometrics of Indeterminacy: An Applied Study’”, Federal Reserve Bank of Minneapolis, Staff Report 196. Akyüz Y, Boratav, K (2003), “The making of the Turkish Financial Crisis”, World Development Vol. 31, No. 9, pp. 1549–1566. Ari A (2012), “Early warning systems for currency crises: The Turkish case”, Economic Systems vol:36, issue:3, 391-410 Berument H, Pasaogullari M (2003), “Effects of the real exchange rate on output and inflation: Evidence from Turkey”, The Developing Economies, XLI-4 (December): 401–35 Barlevy G, Veronesi P (2003), “Rational Panics and Stock Market Crashes”, Journal of Economic Theory, 110(2): 234- 63. Calvo GA (1988), “Servicing the Public Debt: The role of Expectations”, American Economic Review, Vol: 78, pp. 647-61. Calvo GA (2009), “Financial crises and liquidity shocks: A bank-run perspective”, NBER Working Paper, No. 15425. Çeşmeci Ö, Önder AÖ (2008), “The Determinants of Currency Crises in Emerging Markets: Case of Turkey”, Emerging Markets Finance and Trade, 44, 5, 54Cornell CM, Solomon RH (2007), “An empirical, three-interest-rate model”, Journal of Policy Modeling, vol. 29, issue 3,489-504 Cole HL, Kehoe TJ (2000), “Self-Fulfilling Debt Crises”, Review of Economic Studies, 67(1): 91-116.
  • In models of debt repudiation, generally authors report two equilibria sets, one is Pareto efficient (inflation is zero), the other is Pareto inefficient (Calvo, 1988; Dreher et al., 2006). Our model in Section 2 results with two Pareto inefficient equilibria.
  • Cooper RW (2002), “Estimation and identification of structural parameters in the presence of multiple equilibria”, NBER Working paper series. Working Paper 8941, http://www.nber.org/papers/w8941 Dagsvik BJ, Jovanovic, B (1994), “Was the Great Depression a low-level equilibrium?”, European Economic Review, 38, 1711-1729 Detragiache E (1996), “Rational liquidity crises in the sovereign debt market: in search of a theory”, IMF Staff Papers 43(3): 545–570. Diamond DW, Dybvig PH (1983), “Bank runs, deposit insurance and liquidity”, Journal of Political Economy, 91(3), 401−419. Dikec Ustun (2001), “Public borrowing policy commission report”, In Eight Five-years Development Programme. Debt management commission, State Planning Organization (SPO), Ankara-Turkey. http://ekutup.dpt.gov.tr/vergi/oik608.pdf; ISBN 975-19-2757-9. Dreher A, Herz B, Karb V (2006), “Is There a casual link between currency and debt crises”, Int. J. Fin. Econ. 11: 305–325. Eckmann JP, Ruelle D (1985), “Ergodic theory of chaos and strange attractors”, Rev. Mod. Phys. 57, 617–656. Evrensel AY (2004), “IMF Programs and Financial Liberalization in Turkey”, Emerging Markets Finance & Trade Vol. 40, No. 4 (Jul. - Aug.), pp. 5-19 Fincke B, Greiner A (2011), “Debt Sustainability in Selected Euro Area Countries: Empirical Evidence Estimating Time-Varying Parameters”, Studies in Nonlinear Dynamics and Econometrics. 15(3). Gencay R, Dechert WD (1992), “An algorithm for the n Lyapunov exponents of an n-dimensional unknown dynamical system”, Physica D, 59 142-157 Gennotte G, Hayne EL (1990), “Market Liquidity, Hedging, and Crashes”, American Economic Review, 80(5): 999- 1021. Hegger R, Kantz H, Schreiber T (1999), “Practical implementation of nonlinear time series methods: The TISEAN package”, Chaos 9, 413. Hellwig C, Mukherji A, Tsyvinski A (2006), “Self-Fulfilling Currency Crises: The Role of Interest Rates”, The American Economic Review, Vol. 96, No. 5, pp. 1769-1787 International Monetary Fund, IMF (2000), “IMF Staff country report 00/14, Turkey: Selected issues and Statistical Appendix”, February. International Monetary Fund, IMF (2002), “Assessing sustainability”, Washington, DC, http://www.imf.org/external/np/pdr/sus/2002/ eng/052802.pdf, December 2004.
  • International Monetary Fund, IMF (2003a), “Debt sustainability in lowincome-countries towards a forward-looking strategy. Washington, DC, http://www.imf.org/external/np/pdr/sustain/2003/052303.pdf, December 200 International Monetary Fund, IMF (2003b), “Proposed features of a sovereign debt restructuring mechanism”, Washington, DC, http://www.imf.org/ external/np/pdr/sdrm/2003/021203.pdf, December 2004. Jovanovic B (1989), “Observable implications of models with multiple equilibria”, Econometrica, 57 (6), 1431-1437. Kantz H (1994), “A robust method to estimate the maximal Lyapunov exponent of a time series”, Physics Letters A, 185, 77-87. Kantz H, Schreiber T (1997), Nonlinear time series analysis. Cambridge, UK: Cambridge University Press. McKinnon RI (1991), The Order of Economic Liberalization. Johns Hopkins University Press. Obstfeld M (1986), “Rational and Self-Fulfilling Balance-of-Payments Crises”, American Economic Review, 76(1): 72-81. Obstfeld M (1996), “Models of currency crises with self-fulfilling features”, European Economic Review, 40, 1037−1047. Obstfeld M, Rogoff K (1996), Foundations of International Macroeconomics. Cambridge, MA: MIT Press. Ozkan ,FG (2005), “Currency and Financial Crises in Turkey 2000-2001: Bad Fundamentals or Bad Luck?”, The World Economy, Vol. 28, No. 4, pp. 541572, April Özatay FS (2000), “The 1994 Currency Crisis in Turkey”, The Journal of Policy Reform, 3(4), 327-352. Reinhart CM, Rogoff KS, Savastano MA (2003), “Debt intolerance”, Brookings Papers on Economic Activity, Vol. 2003, No. 1, pp. 1-62 Reinhart CM, Rogoff KS (2008), “This time is different: a panoramic view of eight centuries of financial crises”, NBER Working Paper No. 13882, March. Reinhart CM, Rogoff KS (2011), “The forgotten history of domestic debt”, The Economic Journal, 121 (May), 319–350 Reinhart CM, Sbrancia MB (2011), “The Liquidation of Government Debt”, NBER Working Paper No. 16893. March.
  • Rosenstein MT, Collins JJ, De Luca CJ (1993), “A practical method for calculating largest Lyapunov exponents from small data sets”, Physica D 65, 117Sachs JD (1984), “Theoretical issues in international borrowing”, Princeton Studies in International Finance, vol. 54. Department of Economics, Princeton University, Princeton. Solomon RH (2003), “Anatomy of a twin crisis”, Bank of Canada Working Paper No. 2003-41. Solomon RH (2004), “When bad things happen to good banks: Contagious bank runs and currency crises”, Bank of Canada Working Paper No. 2004-18. Takens F (1981), “Detecting strange attractors in turbulence”, In: Dynamical systems and turbulence. Berlin: Springer; p. 366. Tamgac U (2011), “Crisis and self-fulfilling expectations: The Turkish experience in 1994 and 2000–2001”, International Review of Economics and Finance 20, 44-58. Taylor JB (2009), “Financial crisis and the policy responses: An empirical analysis of what went wrong”, NBER Working Paper No: 14631. Wolf A, Swift JB, Swinney HL, Vastano JA (1985), “Determining Lyapunov Exponents from a time series”, Physica D 16, 285-317. Woodford M (1987), “Three Questions about sunspot equilibria as an explanation of economic fluctuations”, American Economic Review, 77(2), p. 93Yeldan AE (2001), “On the IMF-Directed Disinflation Program in Turkey: A Program for Stabilization and Usterity or a Recipe for Impoverishment and Financial Chaos?”, (September). Available at SSRN: http://ssrn.com/abstract= 290539
Toplam 6 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm MAKALELER
Yazarlar

Ata Özkaya Bu kişi benim

Yayımlanma Tarihi 1 Haziran 2014
Yayımlandığı Sayı Yıl 2014 Sayı: 13

Kaynak Göster

APA Özkaya, A. (2014). Kamu İçborcuna Tahammül Sınırı ve Kötü Denge: Borç Krizi İçin Ampirik Bir Model. Uluslararası İktisadi Ve İdari İncelemeler Dergisi(13), 133-154. https://doi.org/10.18092/ijeas.93008


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