Stationarity Test of The Geopolitical Risk Index: Fourier Panel Unit Root Test

Year 2021, Issue: 60, 667 - 685, 25.12.2021

Gökhan Konat Zekeriyya Akdağ Umut Turgut Yıldırım

https://doi.org/10.18070/erciyesiibd.944529

Abstract

Geopolitical risks are a serious concern today as they were in the past. Stationarity tests in the literature are generally used in tests such as hysteria, sustainability, purchasing power parity, convergence hypothesis. In this study, it is investigated whether the geopolitical risk index is stationary or not. An inference will be made about whether the uncertainty created by the events that

disrupts the normal and peaceful functioning of international relations is sustainable. For this purpose 1985-2019 year include geopolitical risk groups in that thought and data availability, taking into account a country group composed of 13 countries (Turkey, South Korea, Russia, India, China, Indonesia, Saudi Arabia, Thailand, Ukraine, Israel, Malaysia, the Philippines and Hong Kong). Index values, which are considered and calculated as indicators of the geopolitical risk index of the countries, were used. In this study, the stability of the geopolitical risk index was tested with the panel

unit root test. This test is the Fourier test with refraction, which was introduced to the literature by Li, Ranjbar, and Chang (2015), and takes into account soft and sharp structural breaks in the data

structure. As a result of the stationarity test, it is concluded that the geopolitical risk index series is stable. Thus, it has been concluded that the impact of the shocks on the geopolitical risk index for countries is not permanent but temporary. Apart from India and Indonesia, no other countries have geopolitical risk breaks.

Keywords

Geopolitical Risk, Panel Data, Fourier Stationarity

Jeopolitik Risk Endeksinin Durağanlık Sınaması: Kırılmalı Fourier Panel Birim Kök Testi

Abstract

Jeopolitik riskler geçmişte olduğu gibi günümüzde de ciddi bir endişe kaynağıdır. Literatürde durağanlık sınamaları genelde histeri, sürdürülebilirlik, satın alma gücü paritesi, yakınsama hipotezi gibi vb. sınamalarında kullanılmaktadır. Bu çalışmada ise jeopolitik risk endeksinin durağan olup olmadığı araştırılmaktadır. Uluslararası ilişkilerin normal ve barışçıl işleyişini bozan olayların yarattığı belirsizliğin sürdürülebilir olup olmadığı hakkında bir çıkarımda bulunulacaktır. Bu amaçla 1985-2019 yılları arasında jeopolitik olarak risk grubunda olduğu düşünülen ve veri mevcudiyeti dikkate alınarak 13 ülkeden oluşan bir ülke grubu (Türkiye, Güney Kore, Rusya, Hindistan, Çin, Endonezya, Sudi Arabistan, Tayland, Ukrayna, İsrail, Malezya, Filipinler ve Hong Kong) alınmıştır. Ülkelerin jeopolitik risk endeksinin göstergesi olarak kabul edilen ve hesaplanan endeks değerleri kullanılmıştır. Bu çalışmada jeopolitik risk endeksinin durağanlığı panel birim kök testi ile sınanmıştır. Bu test Li, Ranjbar ve Chang (2015) tarafından literatüre kazandırılan kırılmalı Fourier testi olup veri yapısındaki yumuşak ve keskin yapısal kırılmaları birlikte dikkate almaktadır. Yapılan durağanlık sınaması neticesinde jeopolitik risk endeks serisinin durağan olduğu sonucuna ulaşılmıştır. Böylece ülkeler için jeopolitik risk endeksinde meydana gelen şokların etkisinin kalıcı olmadığı diğer ifadeyle geçici olduğu sonucuna varılmıştır. Ayrıca Hindistan ve Endonezya hariç diğer ülkelerde jeopolitik risk kırılmaları tespit edilememiştir. 

Keywords

Jeopolitik Risk, Panel Veri, Fourier Durağanlık

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