PARA, AYRIŞTIRILMIŞ KREDİLER, KONUT FİYATLARI VE GSYH ARASINDAKİ NEDENSELLİK İLİŞKİSİ

Yıl 2020, Cilt: 20 Sayı: 2, 469 - 488, 30.06.2020

Çiğdem Kurt Cihangir

https://doi.org/10.11616/basbed.vi.662586

Öz

Bu çalışmada Türkiye’de 2005Ç4 – 2019Ç3 döneminde, para arzı, krediler, konut fiyatları, para politikası ve GSYH arasındaki dinamik ilişki Granger nedensellik testi ile araştırılmıştır. Krediler, literatürden farklı olarak, GSYH’yı etkileyen üretken krediler ve GSYH’yı etkilemeyen varlık kredileri olarak ayrıştırılmıştır. Analiz sonucunda varlık kredilerinin, üretken kredilerin Granger nedeni olduğu belirlenmiştir. Ayrıca, konut fiyatlarına ilişkin teminat etkisinin de ortaya çıktığı sonucuna ulaşılmıştır.

Anahtar Kelimeler

Para Arzı, Ayrıştırılmış Krediler, Konut Fiyatları, Granger Nedensellik

THE CAUSALITY RELATIONSHIPS BETWEEN MONEY, DISAGGREGATED CREDITS, HOUSE PRICES, AND GDP

Öz

In this study examines evidence of the dynamic relationships between money supply, credits, house prices, monetary policy, and GDP in Turkey over the period of 2005 Q4 – 2019 Q3. The paper uses Granger Causality Test. Unlike the literature, credits are disaggregated into productive credits which are affecting GDP and asset credits which are not affecting GDP. The results of the analysis show that asset credits Granger causes productivite credits. Furthermore, it is concluded that the collateral effect regarding housing prices are also emerged.

Anahtar Kelimeler

Money Supply, Disaggregated Credits, Housing Prices, Granger Causality

Kaynakça

• Altunç, Ö. F. (2008), Türkiye’de Finansal Gelişme ve İktisadi Büyüme Arasındaki Nedenselliğin Ampirik Bir Analizi, Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 3(2), s.113-127.
• Arcand, J.L., Berkes, E. ve Panizza, U. (2012), Too Much Finance?, IMF Working Paper, WP/12/161. https://www.imf.org/external/pubs/ ft/wp/2012/wp12161.pdf (Erişim Tarihi: 07.09.2019).
• Arestis, P., Demetriades, P. ve Luintel, K. B. (2001), Financial Development and Economic Growth: The Role of Stock Markets, Journal of Money, Credit and Banking, 33(1), s.16–41. http://dx.doi.org/10.2307/2673870
• Bezemer, D. (2014), Schumpeter Might be Right Again: The Functional Differentiation of Credit, Journal of Evolutionary Economics, 24 (5), s.935–950.
• Bezemer, D. ve Werner, R. (2009), Disaggregated Credit Flows and Growth in Central Europe, MPRA Paper No. 17456, September. http://mpra.ub.uni-muenchen.de/17456/ (Erişim Tarihi: 07.09.2019).
• Bezemer, D. ve Zhang, L. (2014), From Boom to Bust in The Credit Cycle: The Role of Mortage Credit, Research Institute SOM, University of Groningen. https://www.rug.nl/feb/research/som-research-reports/som-research-reports-2014/14025-gem-def.pdf (Erişim Tarihi: 11.10.2019).
• Bezemer, D., Grydaki, M. ve Zhang, L. (2014), Is Financial Development Bad for Growth?, SOM Research Reports: 14016-GEM, Research Institute SOM, University of Groningen. http://hdl.handle.net/11370/180e9676-f981-4f72-a03a-19460c114f3a (Erişim Tarihi: 11.10.2019).
• Bezemer, D. ve Hudson, M. (2016), Finance is Not The Economy: Reviving The Conceptual Distinction, Journal of Economic Issues, 50, s.745-768.
• Borio, C.E.V. ve Lowe, P. (2004), Securing Sustainable Price Stability: Should Credit Come Back from The Wilderness?, BIS Working Papers, No: 157, Bank for International Settlements.
• Bozoklu, Ş. (2013), Money, Income, and Causality: An Examination for the Turkish Economy, Economic Research-Ekonomska Istraživanja, 26(1), s.171-182. https://doi.org/10.1080/ 1331677X.2013.11517596
• Büyükkarabacak, B. ve Valev, N. T. (2010), The Role of Household and Business Credit in Banking Crises, Journal of Banking and Finance, 34 (6), s.1247–1256. https://doi.org/ 10.1016/j.jbankfin.2009.11.022
• Coskun, Y., Seven, U., Ertugrul, H. M. ve Alp, A. (2017), Housing Price Dynamics and Bubble Risk: The Case of Turkey, Housing Studies. https://doi.org/10.1080/02673037.2017.1363378
• Coşkun, Y. ve Yalçıner, K. (2014), İpotekli Konut Finansmanı Sisteminin Gelişme Koşulları: Türkiye İçin Ampirik Bir Analiz, İktisat İşletme ve Finans, 29 (339), s.59-94. https://doi.org/ 10.3848/iif.2014.339.3839.
• Cecchetti, S.G. ve Kharroubi, E. (2012), Reassessing The Impact of Finance on Growth, BIS Working Papers, No 381, July. https://www.bis.org/publ/work381.pdf (Erişim Tarihi: 07.09.2019).
• Çifter, A. ve Ozun, A. (2007), The Monetary Transmission Mechanism in The New Economy: Evidence from Turkey (1997-2006), South East European Journal of Economics and Business, 2(1), s.15-24. https://doi.org/10.2478/v10033-007-0011-3
• Davidson, P. (1972), Money and The Real World, The Economic Journal, 82(325), s.101-115. http://www.jstor.org/stable/2230209? origin=JSTOR-pdf (Erişim Tarihi: 18.09.2019).
• Dickey, D.A. ve Fuller, W.A. (1979), Distribution of The Estimators for Autoregressive Time Series with a Unit Root, Journal of The American Statistical Association, 74(366), s.427-431.
• Eğilmez, M. (2011), Küresel Finans Krizi: Piyasa Sisteminin Eleştirisi, Remzi Kitabevi, 7. Basım, İstanbul, Mart.
• European System of Accounts - ESA (1995). http://ec.europa.eu/ eurostat/en/web/products-manuals-and-guidelines/-/CA-15-96-001 (Erişim Tarihi: 15.09.2019).
• European System of Accounts - ESA (2010). https://ec.europa.eu/eurostat/documents/3859598/5925693/KS-02-13-269-EN.PDF/44cd9d01-bc64-40e5-bd40-d17df0c69334 (Erişim Tarihi: 15.09.2019).
• Foster, J.B. (2007), The Financialization of Capitalism. Monthly Review, April; 58 (11), s.1-12. http://dx.doi.org/10.14452/MR-058-11-2007-04_1
• Foster, J.B. (2010), The Financialization of Accumulation. Monthly Review, October, 62 (5), s.1-17. https://doi.org/10.14452/MR-062-05-2010-09_1
• Goodhart, C. ve Hofmann, B. (2007), House Prices and the Macroeconomy: Implications for Banking and Price Stability, Oxford University Press, Oxford.
• Goodhart, C. ve Hofmann, B. (2008), House Prices, Money, Credit, and The Macroeconomy, European Central Bank Working Paper Series No:888, April.
• Gurley, J.G. ve Shaw, E.S. (1955), Financial Aspects of Economic Development, The American Economic Review, 45(4), s.515-538. http://www.jstor.org/stable/1811632 (Erişim Tarihi: 15.07.2019).
• Güney, I.E. ve Çepni, O. (2017), Endogeneity of Money Supply: Evidence from Turkey, Journal of Finance and Banking Studies 6(1), s.1-10. https://doi.org/10.20525/ijfbs.v6i1.680
• Hallam, D. ve Zanoli, R. (1993), Error-Correction Models and Agricultural Supply Response, European Review of Agricultural Economics, 20(2), s.151-166. https://doi.org/10.1093/erae/20.2.151
• Howells, P. ve Hussein, K.A. (1999), The Demand for Bank Loans and the State of Trade, Journal of Post Keynesian Economics, 21(3), s.441-454. https://www.jstor.org/stable/4538642 (Erişim Tarihi: 24.09.2019).
• Işık, S. (2000), Para Arzının Endojenliği Tartışması: Türkiye Örneği, Hacettepe Üniversitesi Sosyal Bilimler Enstitüsü, Doktora Tezi, Ankara.
• Işık, S., Alkın, H., ve Uluğ, M. (2018), Avrupa Birliği Üyesi 13 Ülkede Post-Keynesyen Para Arzının İçselliği Hipotezinin Test Edilmesi, KAÜİİBFD 9(17), s.1-20.
• Iacoviello, M. (2004), Consumption, House Prices, and Collateral Constraints: A Structural Econometric Analysis, Journal of Housing Economics 13, s.304–320. https://doi.org/ 10.1016/j.jhe.2004.09.004.
• Kaldor, N. (1970), The New Monetarism, J, Christopher (Ed.), Lloyds Bank Review, June.
• Keynes, J. M. (1930), Treatise on Money: Pure Theory of Money Vol. I, Macmillan, London.
• King, R.G. ve Levine, R. (1993), Finance and Growth: Schumpeter might be Right, The Quarterly Journal of Economics, 108 (3), s.717-737. https://doi.org/10.2307/2118406
• Krippner, G. R. (2005), The Financialization of The American Economy, SocioEconomic Review, 3, s.173-208. https://doi.org/10.1093/ SER/mwi008
• Kurt-Cihangir, Ç. (2016), Küresel Kriz ve Borsa Etkileşimi, Akademi Consulting Yayınları, Ankara.
• Kurt-Cihangir, Ç. (2019), Uluslararası Parasal Düzen ve Türkiye Değerlendirmesi, Gazi Kitabevi, Ankara.
• Kurt-Cihangir, Ç. (2019), An Empirical Evidence on The Causality between Sectoral Economic Growth and Financial Development in Turkey, Gazi İktisat ve İşletme Dergisi, 5(3), s.206–215. https://dx.doi.org/10.30855/gjeb.2019.5.3.006
• Law, S. H. ve Singh, N. (2014), Does Too much Finance Harm Economic Growth?, Journal of Banking and Finance, 41, s.36-44. https://doi.org/10.1016/j.jbankfin.2013.12.020
• Lee, B.S. (1992), Causal Relations Among Stock Returns, Interest Rates, Real Activity and Inflation, Journal of Finance, 47, s.1591-1603. https://doi.org/10.1111/j.1540-6261.1992.tb04673.x
• Levine, R. (2005), Finance and Growth: Theory and Evidence, Handbook of Economic Growth, in: Philippe Aghion & Steven Durlauf (ed.), Handbook of Economic Growth, edition 1, volume 1, chapter 12, s.865-934, Elsevier.
• Mckinnon, R.I. (1973), Money and Capital in Economic Development, Washington D.C., Brookings Institution Press.
• Mian, A., Rao, K. ve Sufi, A. (2013), Household Balance Sheets, Consumption, and The Economic Slump, The Quarterly Journal of Economics 128(4), s.1687–1726. https://doi.org/10.1093/qje/qjt020
• Moore, B.J. (1979), The Endogenous Money Stock, Journal of Post Keynesian Economics, 2(1), s.49-70.
• Moore, B. J. (1983), Unpacking the Post Keynesian Black Box: Bank Lending and the Money Supply, Journal of Post Keynesian Economics, 5(4), s.537-56.
• Moore, B.J. (1989), The Endogeneity of Credit Money, Review of Political Economy, 1(1), s.65-93.
• Nayan, S., Kadir, N., Abdullah, M.S. ve Ahmad, M. (2013), Post Keynesian Endogeneity of Money Supply: Panel Evidence. Procedia Economics and Finance, 7, s.48-54. https://doi.org/10.1016/S2212-5671(13)00217-7
• Nesanır, Ö. (2011), Türkiye'de Para Arzı - Banka Kredileri İlişkisi: Var Analizi (1986 - 2010), Sosyal Bilimler Dergisi, 1(2), s.115-133.
• Oikarinen, E. (2008), Interaction between Housing Prices and Household Borrowing - The Finnish Case, Journal of Banking and Finance, 33(4), s.747-756. https://doi.org/10.1016/j.jbankfin.2008.11.004
• Özgür, G. (2011), Türkiye Ekonomisinde Para Arzının İçsel Süreci, Ekonomik Yaklaşım, 22(78), s.67-90.
• Palley, T. I. (1995), The Demand for Money and Non-GDP Transactions, Economics Letters, 48(2), s.145-154. https://doi.org/10.1016/0165-1765(94)00605-2
• Phillips, P.C.B. ve Perron, P. (1988), Testing for a Unit Root in Time Series Regression, Biometrika, 75(2), s.335-346. https://doi.org/10.1093/biomet/75.2.335
• Rogoff, K.S. ve Reinhart, C.M. (2009), The Aftermath of Financial Crises, NBER Working Paper Series, No. 14656. https://www.nber.org/papers/w14656 (Erişim Tarihi: 21.09.2019).
• Ryan-Collins, J.J. (2016), Credit Creation, Monetary Policy and The Macroeconomy: Three Empirical Studies. Thesis for the degree of Doctor of Philosophy. University of Southampton.
• Senhadji, A. S. ve Collyns, C. (2002), Lending Booms, Real Estate Bubbles and The Asian Crisis, Technical Report, IMF Working Paper, No. 02/20
• Shaw, E.S. (1973), Financial Deepening in Economic Development, New York: Oxford University Press.
• Vera, A. P. (2001), The Endogenous Money Hypothesis: Some Evidence from Spain (1987-1998), Journal of Post Keynesian Economics, Spring, 23(3), s.509-526. https://doi.org/10.1080/01603477.2001.11490296
• Werner, R.A. (2005), New Paradigm in Macroeconomics: Solving The Riddle of Japanese Macroeconomic Performance, Houndmills, Basingstoke: Palgrave Macmillan.
• Zeldes, S.P. (1989), Optimal Consumption with Stochastic Income: Deviations from Certainty Equivalence, The Quarterly Journal of Economics, 104, s.275-298. https://doi.org/10.2307/2937848