The Dynamics of Output Gap Hysteresis in Türkiye

Year 2025, , 1 - 26, 28.03.2025

Koray Yıldırım , Neşe Algan , Harun Bal

https://doi.org/10.30784/epfad.1576481

Abstract

The aim of this study is to identify the dynamics and hysteresis of the output gap. First, the existence of an output gap in the Turkish economy for the period 2005Q4:2021Q3 is determined using the Hodrick-Prescott and Baxter-King methods, and then the structural break procedure, which is widely used in the literature, is applied to detect hysteresis. The presence of a structural break supports the existence of hysteresis in the output gap. In addition, a structural VAR model is estimated with money supply, capacity utilization rate, and capital productivity variables as components of the output gap. While the empirical evidence points to the role of capacity utilization and productivity variables in explaining hysteresis, capacity utilization shocks are relatively stronger determinants of output gap hysteresis. For future studies, the effect of money supply on capacity utilization and productivity, labor productivity, etc., should be monitored. The novelty of the study is the modeling of hysteresis in a structure that includes demand-side and supply-side components. This innovation allows it to act as a guide for policymaking by taking into account the dynamic conditions appropriate to the nature of hysteresis beyond the static situation, such as the detection of hysteresis in the literature.

Keywords

Output Gap, Hysteresis, Structural Break, Structural VAR

Türkı̇ye'de Çıktı Açığı Hı̇sterezisinin Dı̇namikleri

Abstract

Bu çalışmanın amacı çıktı açığı histerezis ve dinamiklerinin tespit edilmesidir. İlk olarak Türkiye ekonomisinde çıktı açığının varlığı 2005Q4:2021Q3 dönemi için Hodrick-Prescott ve Baxter-King yöntemleri ile tespit edildikten sonra histerezisin tespiti için literatürde yaygın bir şekilde kullanılan yapısal kırılma prosedürü uygulanmıştır. Yapısal kırılmanın varlığı çıktı açığında histerezisin varlığını desteklemektedir. Ayrıca çıktı açığı bileşenleri olarak para arzı, kapasite kullanım oranı ve sermaye verimliliği değişkenleri ile Yapısal VAR modeli tahmin edilmiştir. Ampirik bulgular histerezisi açıklamada kapasite kullanım oranı ve verimlilik değişkenlerini işaret ederken nispi olarak kapasite kullanım oranı şokları çıktı açığı histerezisinde daha güçlü bir belirleyicidir. Gelecek çalışmalar için para arzının kapasite kullanım oranı ve verimlilik üzerindeki etkisi, işgücü verimliliği izlenmesi gereken noktalar arasındadır. Çalışmanın yeniliği histerezisin talep yanlı ve arz yanlı bileşenlerini içerecek yapıda modellemesidir. Bu yenilik literatürde histerezisin tespiti gibi statik durumun ötesinde histerezisin doğasına uygun dinamik koşulları dikkate alarak politika yapımında rehber görevi üstlenmesine imkan sağlamaktadır.

Keywords

Çıktı Açığı, Histerezis, Yapısal Kırılma, Yapısal VAR

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