NON-LINEARITY IN SUSTAINABILITY OF CURRENT ACCOUNT BALANCE IN TURKEY

Year 2021, Volume: 22 Issue: 3, 73 - 86, 14.09.2021

İsmail Erkan Çelik , Muhittin Kaplan

https://doi.org/10.53443/anadoluibfd.986416

Abstract

This study aims to test current account deficits (CAD) sustainability for Turkish data of 1992Q1-2021Q1. To this end, an empirical model that relates real exports to real imports plus interest payments on external debt is estimated using both linear and non-linear ARDL (NARDL) technique, and linear and asymmetric cointegration among the model variables is tested with the bound test for cointegration approach. While the bound test result of the linear ARDL model provides no evidence to support the sustainability of the current account, the NARDL bound test results indicate that Turkey’s current account balance is sustainable. Moreover, the study results have shown that both positive and negative shocks to imports affect exports significantly and asymmetrically in the short-run and the long-run. Although the impact of positive shocks to imports on exports is significantly higher than the impact of negative shocks, in the long run, the negative shocks cause export growth to decrease at a higher rate than positive shocks in the short-run.

Keywords

Nonlinear autoregressive distributed lag, Asymmetric effect, Current account sustainability, Nonlinear cointegration

TÜRKİYE’DE CARİ IŞLEMLER DENGESİNİN SÜRDÜRÜLEBİLİRLİĞİNDE DOĞRUSAL OLMAYAN DURUM

Abstract

Bu çalışmanın amacı 1992Q1-2021Q1 Türkiye verileri için cari işlemler açığının (CAD) sürdürülebilirliğini test etmektir. Bu amaçla, reel ihracatı reel ithalat artı dış borç faiz ödemeleri ile ilişkilendiren ampirik bir model; hem doğrusal hem de doğrusal olmayan ARDL (NARDL) tekniği kullanılarak tahmin edilmiş ve model değişkenleri arasında doğrusal ve asimetrik eşbütünleşme sınır testi ile test edilmiştir. Lineer ARDL modelinin sınır testi sonucu cari hesabın sürdürülebilirliğini destekleyecek herhangi bir kanıt sunmazken, NARDL sınır testi sonuçları Türkiye'nin cari işlemler dengesinin sürdürülebilir olduğunu göstermektedir. Ayrıca, çalışma sonuçları, ithalata yönelik hem pozitif hem de negatif şokların, kısa ve uzun vadede ihracatı önemli ölçüde ve asimetrik olarak etkilediğini göstermiştir. Pozitif şokların ithalat üzerindeki etkisi, negatif şokların etkisinden önemli ölçüde daha yüksek olmasına rağmen, uzun dönemde negatif şoklar, kısa dönemde ihracat büyümesinin pozitif şoklardan daha hızlı düşmesine neden olmaktadır.

Keywords

doğrulsal olmayan gecikmesi dağıtılmış otoregresif model, asimetrik etki, cari işlemler dengesi, doğrusal olmayan eşbütünleşme

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