Business Cycle Volatility in Turkey

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

Öz

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.

Anahtar Kelimeler

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

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