Business Cycle Volatility in Turkey

Year 2019, , 105 - 109, 05.11.2019

Pinar Gebesoglu

https://doi.org/10.18506/anemon.573190

Abstract

This study investigates
the long-term dynamic relation among the volatility of the business cycles in
Turkey and the the current account balance, financial capital flows, terms of
trade and money supply volatility. The volatilities of the designated variables
are derived by employing ARCH/ GARCH type processes. The ARDL model covering
the period 1998Q1:2018Q4 indicates that there is cointegration among the
volatilities of the selected variables. The VECM model is formed to investigate
dynamic correcting movement in deviations from long-run equilibrium. It is
concluded that the volatility of business cycles in Turkey can be explained by
the fluctuations in financial capital flows as well as volatilities observed in
terms of trade and money supply in the long run.   

Keywords

Business Cycle Volatility, Financial Capital Flows, Current Account, ARDL, VECM

Türkiye’de İş Çevrimi Değişkenliği

Abstract

Bu çalışmada Türkiye’de
iş çevrimlerinin değişkenliği ile cari açık dengesi, finansal sermaye akımları,
ticaret haddi ve para arzı değişkenliği arasındaki uzun vadeli dinamik
ilişkiler incelenmektedir. Belirlenen değişkenlerin değişkenlikleri ARCH ve
GARCH tipi süreçler ile elde edilmiştir. 1998Ç1:2018Ç4 dönemini kapsayan ARDL
modeli seçilen değişkenler arasında eş bütünleşme ilişkisi tespit edilmiştir.
Uzun vadeli dengeden sapmalarda gözlenen dinamik düzeltme hareketini
gözlemlemek üzere Vektör Hata Düzeltme Modelinden faydalanılmış ve modelin uzun
vadede istikrarlı olduğu gözlenmiştir. 
Türkiye’de iş çevrimi değişkenliğinin finansal sermaye akımlarındaki
hareketlerin yanı sıra dış ticaret hadlerinde ve para arzında gözlenen
değişkenlik ile açıklanabileceği sonucuna varılmaktadır.

Keywords

İş Çevrimi Değişkenliği, Finansal Sermaye Akımları, Cari Açık, ARDL, VECM

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