AN INTERACTION BETWEEN BANKING SYSTEM LIQUIDITY AND MACROECONOMIC VARIABLES: A VECTOR ERROR CORRECTION APPROACH

Year 2021, , 1 - 18, 25.09.2021

Can Karabıyık

https://doi.org/10.46959/jeess.923789

Abstract

In this study, it is aimed to examine the interaction between liquidity and various macroeconomic variables. As a result of this research, conducted with a data set covering the 2001-2019 period, it was found that there is a long-term relationship among banking sector liquidity, per capita income, interest rate and net foreign trade variables in Turkish Economy. According to the findings of the VECM analysis, the error correction mechanism works and there is a one-way causality from per capita income, interest rate and net foreign trade to liquidity in the long run. Short-term causality analysis results show that interest rate is the Granger cause of liquidity and liquidity is the Granger cause of per capita income.

Keywords

Liquidity, Financial Crisis, Banking Sector, Macroeconomic Factors, Vector Error Correction Model

BANKACILIK SİSTEMİ LİKİDİTESİ VE MAKROEKONOMİK DEĞİŞKENLER ARASINDAKİ ETKİLEŞİM: VEKTÖR HATA DÜZELTME YAKLAŞIMI

Abstract

Bu araştırmada, likiditeyle çeşitli makro iktisadi değişkenler arasındaki etkileşimin incelenmesi amaçlanmaktadır. 2001-2019 dönemini kapsayan bir veri setiyle yapılan araştırmanın sonucunda Türkiye Ekonomisinde bankacılık sektörü likiditesi, kişi başı milli gelir, faiz ve net dış ticaret değişkenleri arasında uzun dönemli ilişki olduğuna dair bulgular elde edilmiştir. VECM analizi bulgularına göre hata düzeltme mekanizması çalışmaktadır ve uzun dönemde kişi başı milli gelir, faiz ve net dış ticaret değişkenlerinden likidite yönünde tek yönlü nedensellik ilişkisi mevcuttur. Kısa dönemli nedensellik analizi sonuçları ise faizin likiditenin Granger sebebi ve likiditenin de kişi başı milli gelirin Granger sebebi olduğunu göstermektedir.

Keywords

Likidite, Finansal Kriz, Bankacılık Sektörü, Makro iktisadi Faktörler, Vektör Hata Düzeltme Modeli

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