DO ECONOMIC GROWTH AND FOREIGN EXCHANGE RATES HAVE EFFECTS ON THE CURRENT DEFICIT IN TURKEY? A CAUSALITY ANALYSIS
Abstract
Economic growth and exchange rate variables are discussed along with the causality of current account deficit in Turkey. However, although these two variables are considered as the reasons of current account deficit, the causality relationship between them could not be displayed empirically. In this study, we tried to examine the causality dimension of current account deficit using the data of Turkey’s GDP, real effective exchange rate and current account balance for the period between 1987:01 and 2006:03. According to the test results obtained in the framework of Toda and Yamamoto 1995 causality analysis, there exists one way causality from both economic growth and exchange rate to current account deficit. On the other hand, the expected causality relationship from current account deficit to economic growth and exchange rate could not be found
References
- Dickey, A. David ve Fuller A. Wayne (1981), “Likelihood Ratio Statistics For Autoregressive Time Series With A Unit Root”, Econometrica, Vol.49, No.4, pp. 1057-1072.
- Edwards, Sebastian (2001), “Does the Current Account Matter?”, NBER Working Paper No.8275.
- Engle E. Robert ve Clive W.J. Granger, (1987), “Co-Integration and Error Correction Representation, Estimation and Testing”, Econometrica, Vol. 55, No.2, pp. 251-276.
- Giles, A. Judith ve Mizra Sadaf (1998), “Some Pretesting Issues On Testing For Granger Non-Causality”, Econometric Working Papers, EWP9914, Department Of Economics, University Of Victoria, Canada.
- Giles, A. Judith ve Williams Cara (1999), “Export-Led Growth: A Survey Of The Empirical Literature And Some Non-Causality Results”, Econometric Working Paper EWP9901, Department Of Economics, University Of Victoria, Canada.
- Granger, W.J. Clive (1969), “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods”, Econometrica, Vol.37, No.3, pp.424-438.
- Granger, W.J. Clive ve Paul Newbold (1974), “Spurious Regressions In Econometrics”, Journal Of Econometrics, Vol.2, No.2, pp.111-120.
- Gujarati, N. Damador (1999), Temel Ekonometri, (Çev. Ü. Şenesen & G.G. Şenesen), Literatür Yayınları, İstanbul.
- Kasman, Adnan, Evrim Turgutlu ve Gonca Konyalı (2005), “Cari Açık Büyümenin Mi Aşırı Değerli TL’nin Mi Sonucudur?”, İşletme Finans, Ağustos, ss.88.
- Kutlar, Aziz (2000), Ekonometrik Zaman Serileri, Gazi Kitapevi, Ankara.
- Mavrotas, George ve Roger Kelly (2001), “Old Wine In New Bottle: Testing Causality Between Savings And Growth”, The Manchester School Supplement, pp. 97–105.
- Milesi, Ferretti, Maria Gian ve Razin Assaf (1996), “Current Account Sustainability”, Princeton Studies in International Finance No:81.
- Phillips, C.B. Peter ve Pierre Perron (1988), “Testing For a Unit Root in Time Series Regression”, Biomètrika, Vol.75, No.2, pp.336-346.
- Toda, Y. Hiro ve Taku Yamamoto (1995), “Statistical Inference In Vector Auto regressions With Possibly Integrated Process”, Journal of Econometrics, Vol.66, pp.225–250.
Abstract
Türkiye’de cari açığın nedenselliği ile ilgili yapılan tartışmaların eksenin de ekonomik büyüme ve döviz kuru değişkenleri bulunmaktadır. Ancak bu iki değişkenin cari açığın nedeni olduğuna dair görüşler ortaya atılmasına rağmen aralarındaki nedensellik ilişkisi ampirik olarak ortaya konulmamıştır. Bu çalışmada Türkiye’nin 1987:01 – 2006:03 dönemlerine ait GSYİH, reel efektif döviz kuru ve cari işlemler dengesi verileri kullanılarak cari açığın nedensellik boyutu incelenmeye çalışılmıştır. Toda ve Yamamoto 1995 nedensellik analizi çerçevesinde bulunan test sonuçlarına göre hem ekonomik büyüme hem de döviz kuru cari açığın nedenidir. Diğer taraftan cari açıktan ekonomik büyümeye ve döviz kuruna doğru ise beklendiği gibi bir nedensellik bulunmamıştır.
References
- Dickey, A. David ve Fuller A. Wayne (1981), “Likelihood Ratio Statistics For Autoregressive Time Series With A Unit Root”, Econometrica, Vol.49, No.4, pp. 1057-1072.
- Edwards, Sebastian (2001), “Does the Current Account Matter?”, NBER Working Paper No.8275.
- Engle E. Robert ve Clive W.J. Granger, (1987), “Co-Integration and Error Correction Representation, Estimation and Testing”, Econometrica, Vol. 55, No.2, pp. 251-276.
- Giles, A. Judith ve Mizra Sadaf (1998), “Some Pretesting Issues On Testing For Granger Non-Causality”, Econometric Working Papers, EWP9914, Department Of Economics, University Of Victoria, Canada.
- Giles, A. Judith ve Williams Cara (1999), “Export-Led Growth: A Survey Of The Empirical Literature And Some Non-Causality Results”, Econometric Working Paper EWP9901, Department Of Economics, University Of Victoria, Canada.
- Granger, W.J. Clive (1969), “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods”, Econometrica, Vol.37, No.3, pp.424-438.
- Granger, W.J. Clive ve Paul Newbold (1974), “Spurious Regressions In Econometrics”, Journal Of Econometrics, Vol.2, No.2, pp.111-120.
- Gujarati, N. Damador (1999), Temel Ekonometri, (Çev. Ü. Şenesen & G.G. Şenesen), Literatür Yayınları, İstanbul.
- Kasman, Adnan, Evrim Turgutlu ve Gonca Konyalı (2005), “Cari Açık Büyümenin Mi Aşırı Değerli TL’nin Mi Sonucudur?”, İşletme Finans, Ağustos, ss.88.
- Kutlar, Aziz (2000), Ekonometrik Zaman Serileri, Gazi Kitapevi, Ankara.
- Mavrotas, George ve Roger Kelly (2001), “Old Wine In New Bottle: Testing Causality Between Savings And Growth”, The Manchester School Supplement, pp. 97–105.
- Milesi, Ferretti, Maria Gian ve Razin Assaf (1996), “Current Account Sustainability”, Princeton Studies in International Finance No:81.
- Phillips, C.B. Peter ve Pierre Perron (1988), “Testing For a Unit Root in Time Series Regression”, Biomètrika, Vol.75, No.2, pp.336-346.
- Toda, Y. Hiro ve Taku Yamamoto (1995), “Statistical Inference In Vector Auto regressions With Possibly Integrated Process”, Journal of Econometrics, Vol.66, pp.225–250.
Details
| Primary Language | Turkish |
|---|---|
| Journal Section | Research Article |
| Authors | |
| Publication Date | December 1, 2007 |
| Published in Issue | Year 2007 Volume: 3 Issue: 6 |