International Business Cycle Spillover Effects and Counter-Cyclical Monetary Policy

Year 2020, , 1095 - 1118, 30.11.2020

Can Karabıyık

https://doi.org/10.17153/oguiibf.661261

Cited By: 2

Abstract

In the first phase of this study the international spillover of economic fluctuations is investigated by Diebold and Yılmaz (2009) Spillover Index method. In the second stage of the study, the state asymmetry of the monetary policy has been tested by Markov Regime Switching method. According to the Spillover Index findings, 48% of economic shocks affecting the Turkey caused by external shocks. The economic fluctuations that occurred in Turkey are originated 12,5% from South Korea, 8.4% from US, 6.4% from Japan, 4.5% from Greece and 3.2% from the Spanish Economy. According to these results, the economic conditions of these countries are leading indicators for the Turkish Economy. Markov Regime Switching model findings show that Turkish Economy grows 1.82% on an average in the expansion, shrinks 3.38% on an average in the contraction and an increase in the exchange rate slows the economic growth in Turkey. Finally obtained econometric evidence shows that CBRT can bring real effect in expansion regime but not create real impact in the fight against recession.

Keywords

Spillover Effect, Counter-cyclical Monetary Policy, Monetary Policy Asymmetry, Non-Linear Time Series

Türkiye’de Uluslararası İktisadi Dalgalanmaların Yayılma Etkisi ve Konjonktür Karşıtı Para Politikası

Abstract

Bu çalışmanın ilk aşamasında Diebold ve Yılmaz (2009) Yayılma Endeksi yöntemi ile iktisadi dalgalanmaların uluslararası yayılımı incelenmiştir. Çalışmanın ikinci aşamasında ise para politikasının durum asimetrisi Markov Rejim Değişimi yöntemi ile test edilmiştir. Yayılım Endeksi bulgularına göre, Türkiye’yi etkileyen şokların %48’i dış kaynaklıdır. Türkiye’de meydana gelen iktisadi dalgalanmaların %12,5’i Güney Kore’den, %8,4’ü ABD’den, %6,4’ü Japonya’dan, %4,5’i Yunanistan’dan ve %3,2’si ise İspanya ekonomisinden kaynaklanmaktadır. Bu sonuçlara göre, bu ülkelerin iktisadi koşulları, Türkiye ekonomisi için bir öncü gösterge niteliğindedir. Markov Rejim Değişimi modeli bulguları ise, Türkiye ekonomisinin büyüme rejiminde ortalama %1,82 büyüdüğünü, daralma rejiminde ortalama %3,38 küçüldüğünü ve döviz kurundaki artışların büyümeyi yavaşlattığını göstermektedir. Son olarak TCMB’nin, genişleme rejiminde reel etki meydana getirebildiği ancak durgunluk ile mücadelede reel etki yaratamadığına dair ekonometrik kanıtlar elde edilmiştir.

Keywords

Yayılma Etkisi, Konjonktür Karşıtı Para Politikası, Para Politikası Asimetrisi, Doğrusal Olmayan Zaman Serileri

References

• Agénor, Pierre-Richard (2001), "Asymmetric Effects of Monetary Policy Shocks",World Bank Working Paper.
• Akın, Çiğdem (2007), “Multiple Determinants of Business Cycle Synchronization.” SSRN Electronic Journal 1–57.
• ALP, Bengü (2013), “Türkiye’deki Reel Sektör Firmalarında Borç Dolarizasyonu ve Reel Kur Değişimlerinin Bilanço Etkisi.” TCMB Uzmanlık Yeterlilik Tezi.
• Antonakakis, Nikolaos; Badinger, Harald (2014), “International Business Cycle Spillovers since the 1870s.” Applied Economics 46(30):3682–94.
• Antonakakis, Nikolaos; Breitenlechner, Max; Scharler, Johann (2015), “Business Cycle and Financial Cycle Spillovers in the G7 Countries.” Quarterly Review of Economics and Finance 58:154–62.
• Antonakakis, Nikolaos; Chatziantoniou, Ioannis; Filis, George (2013), "Business Cycle Spillovers in the EU15: What Is the Message Transmitted by the Periphery?", Member Research Papers, Euro Area Business Cycle Network.
• Antonakakis, Nikolaos; Chatziantoniou, Ioannis; Filis, George (2016), “Business Cycle Spillovers in the European Union: What Is the Message Transmitted to the Core?” Manchester School 84(4):437–81.
• Barışık, Salih; Çevik, Emrah İsmail (2008), “Türkiye’de İşsizlik Histerisinin Yapısal Kırılma ve Güçlü Hafıza Modellemesi Ile Sektörel Analizi.” TİSK Akademi 3(6):66–87.
• Barnichon, Regis; Matthes, Christian; Sablik, Tim (2017), "Are the Effects of Monetary Policy Asymmetric", Richmond Fed Economic Brief, (March), 1-4.
• Bayoumi, Tamim; Bui, Trung (2010), "Deconstructing the International Business Cycle: Why Does A US Sneeze Give the Rest of the World a Cold", IMF Working Papers, 1-28.
• Biçici, Kevser (2015), “Para Politikası Şoklarının Hâsıla ve Fiyat Düzeyi Üzerindeki Asimetrik Etkileri : Orta Asya ve Balkan Ülkeleri Uygulaması”, Başkent Üniversitesi Sosyal Bilimler Enstitüsü.
• Bubák, Vít; Kočenda, Evžen; Žikeš, Filip (2011), “Volatility Transmission in Emerging European Foreign Exchange Markets”, Journal of Banking & Finance 35(11):2829–41.
• Çolpan Nart, Ela (2013), “Uluslararası Finansal Krizlerin Temel Kaynakları: Yabancı Para Cinsinden Borçlanma ve Temel Günah”, Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü.
• Cover, James Peery (1992), “Asymmetric Effects of Positive and Negative Money-Supply Shocks” The Quarterly Journal of Economics 107(4):1261–82.
• Davig, Troy; Doh, Taeyoung (2013), “Monetary Policy Regime Shifts and Inflation Persistence”, The Review of Economics and Statistics 96(5):862–75.
• Dellas, Harris (1986), “A Real Model of the World Business Cycle”, Journal of International Money and Finance 5(3):381–94.
• Dickey, David A.; Fuller, Wayne A. (1979), “Distribution of the Estimators for Autoregressive Time Series With a Unit Root”, Journal of the American Statistical Association 74(366):427–31.
• Dickey, David A.; Fuller, Wayne A. (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica 49(4):1057–72.
• Diebold, Francis X.; Yılmaz, Kamil (2009), “Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets” Economic Journal 119(534):158–71.
• Diebold, Francis X.; Yılmaz, Kamil (2013), "Measuring the Dynamics of Global Business Cycle Connectedness", PIER Working Paper, No: 13–070.
• Dolado, J. Juan; Dolores, Ramón María (2001) “An Empirical Study of the Cyclical Effects of Monetary Policy in Spain (1977-1997)”, Investigaciones Económicas 25(1):3–30.
• Doyle, Brian M.; Faust, Jon (2005), “Breaks in the Variability and Comovement of G-7 Economic Growth” The Review of Economics and Statistics 87(4):721–40.
• Du, Jiangze; Yu, Runfang; Lai, Kin Keung (2018), “Identification and Prediction of Currency Crisis: Markov Switching-Based Approach” Singapore Economic Review 1850002.
• Eickmeier, Sandra (2007), “Business Cycle Transmission from the US to Germany—A Structural Factor Approach”, European Economic Review 51(3):521–51.
• Ergeç, Etem Hakan (2009a), “Para Poli̇ti̇kasi Şoklarinin Asi̇metri̇k Etki̇leri̇”, Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi 10(2):65–90.
• Ergeç, Etem Hakan (2009b), “Türkiye Ekonomisinde Pozitif Ve Negatif Para Politikası Şoklarının Asimetrik Etkileri”, Dumlupınar Üniversitesi SBE Dergisi 23:333–44.
• Fidrmuc, Jarko; Ikeda, Taro; Iwatsubo, Kentaro (2012), “International Transmission of Business Cycles: Evidence from Dynamic Correlations”, Economics Letters 114(3):252–55.
• Florio, Anna (2004), “The Asymmetric Effects of Monetary Policy”, Journal of Economic Surveys 18(3):409–26.
• Fontana, Giuseppe; Palacio-Vera, Alfonso (2007), “Are Long-Run Price Stability and Short-Run Output Stabilization All That Monetary Policy Can Aim For?”, Metroeconomica 58(2):269–98.
• Friedman, Milton (1961), “The Lag In Effect of Monetary Policy”, Journal of Political Economy 69(5):447–66.
• Gallo, Julie Le; Ertur, Cem (2003), “Exploratory Spatial Data Analysis of the Distribution of Regional per Capita GDP in Europe , 1980 – 1995”, Papers in Regional Science 201(2):175–201.
• Garcia, Rene; Schaller, Huntley (2002), “Are the Effects of Monetary Policy Asymmetric?”, Economic Inquiry 40(1):102–19.
• Granger, Clive W. J.; Newbold, Paul (1974), “Spurious Regressions in Econometrics”, Journal of Econometrics 2(2):111–20.
• Gregory, Allan W.; Head, Allen C.; Raynauld, Jacques (1997), “Measuring World Business Cycles”, International Economic Review 38(3):677–701.
• Hamilton, James D. (1989), “A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle”, The Econometric Society 57(2):357–84.
• Höppner, Florian; Melzer, Christian; Neumann, Thorsten (2008), “Changing Effects of Monetary Policy in the US - Evidence from a Time-Varying Coefficient VAR”, Applied Economics 40(18):2353–60.
• Ibrahim, Mansor H. (2003), “International Disturbances and Domestic Macroeconomic Fluctuations in Malaysia”, ASEAN Economic Bulletin 20(1):11–30.
• Kakes, Jan (1998), "Monetary Transmission and Business Cycle Asymmetry", s.n. (SOM research report No. 98C36), Groningen.
• Kandemir Kocaaslan, Özge (2013), “An Empirical Investigation of The U.S. GDP Growth: A Markov Switching Approach”, University of Sheffield.
• Karras, Georgios (1996a), “Are the Output Effects of Monetary Policy Asymmetric? Evidence from a Sample of European Countries”, Oxford Bulletin of Economics and Statistics 58(2):267–78.
• Karras, Georgios (1996b), “Why Are the Effects of Money-Supply Shocks Asymmetric? Convex Aggregate Supply or ‘Pushing on a String?”, Journal of Macroeconomics 18(4):605–19.
• Kato, Ryo; Ui, Takashi; Watanabe, Tsutomu (1999), "Asymmetric Effects of Monetary Policy: Japanese Experience in the 1990s", Bank of Japan Working Paper, 99–2, Tokyo.
• Korkmaz, Turhan; Zaman, Selin; Çevik, Emrah İsmail (2008), “Türkiye’nin Avrupa Birliği ve Yüksek Dış Ticaret Hacmine Sahip Ülke Borsaları Ile Entegrasyon İlişkisi”, ZKÜ Sosyal Bilimler Dergisi 4(8):19–44.
• Kose, Ayhan M.; Otrok, Christopher; Prasad, Eswar S. (2008), "Global Business Cyles: Convergence or Decoupling?" , NBER Working Paper Series Global No. 14292
• Lenz, Carlos (1997), “Asymmetrie Effects of Monetary Policy in Switzerland”, Swiss Journal of Economics and Statistics 133(3):441–54.
• Liu, Junlin; Chen, Feier (2018), “Asymmetric Volatility Varies in Different Dry Bulk Freight Rate Markets under Structure Breaks”, Physica A: Statistical Mechanics and Its Applications 505:316–27.
• Lo, Ming Chien; Piger, Jeremy Max (2005), “Is the Response of Output to Monetary Policy Asymmetric? Evidence from a Regime-Switching Coefficients Model”, Journal of Money, Credit, and Banking 37(5):865–86.
• Malone, M. Stokes (2000), "An Investigation of Money Supply Shock Asymmetry Using Disaggregate Data", M.S. Research Paper.
• McMillan, David G.; Speight, Alan E. H. (2010), “Return and Volatility Spillovers in Three Euro Exchange Rates”, Journal of Economics and Business 62(2):79–93.
• Mishkin, Frederic S. (2005), "Para Teorisi-Politikası", ed. A. Ç. ve S. Y. Çev. İlyas Işıklar. Eskişehir: Bilim Teknik Yayınevi.
• Morgan, Donald P. (1993), “Asymmetric Effects of Monetary Policy”, Federal Reserve Bank Of Kansas City Economic Review 78:20–33.
• Mumtaz, Haroon; Theodoridis, Konstantinos (2015), “The International Transmission of Volatility Shocks: An Empirical Analysis”, Journal of the European Economic Association 13(3):512–33.
• Ravn, Morten O.; Sola, Martin (2004), “Asymmetric Effects of Monetary Policy in the United States”, Review, Federal Reserve Bank of St. Louis 86(Sep):41–60.
• Rhee, Wooheon; Rich, Robert W. (1995), “Inflation and the Asymmetric Effects of Money on Output Fluctuations”, Journal of Macroeconomics 17(4):683–702.
• Schneider, Martin; Fenz, Gerhard (2011), “Transmission of Business Cycle Shocks between the US and the Euro Area”, Applied Economics 43(21):2777–93.
• Seif, Allah Morad; Panahi, Hossein; Razi, Davoud Hamidi (2017), “Regional Economic Growth and Spatial Spillover Effects in Mena Area”, Iranian Economic Review 21(4):765–87.
• Sensier, Marianne; Osborn, Denise R.; Öcal, Nadir (2002), “Asymmetric Interest Rate Effects for the UK Real Economy”, Oxford Bulletin of Economics and Statistics 64(4):315–39.
• Shen, Chung Hua; Lin, Kun Li; Guo, Na (2016), “Hawk or Dove: Switching Regression Model for the Monetary Policy Reaction Function in China”, Pacific Basin Finance Journal 36:94–111.
• Sola, Martin; Spagnolo, Fabio; Spagnolo, Nicola (2007), “Predicting Markov Volatility Switches Using Monetary Policy Variables”, Economics Letters 95(1):110–16.
• Tenreyro, Silvana; Thwaites , Gregory (2016), “Pushing on a String: US Monetary Policy Is Less Powerful in Recessions”, American Economic Journal: Macroeconomics 8(4):43–74.
• Thoma, Mark A. (1994), “Subsample Instability and Asymmetries in Money-Income Causality”, Journal of Econometrics 64(1–2):279–306.
• Ülke, Volkan; Berument, M. Hakan (2015), “Asymmetric Effects of Monetary Policy Shocks on Economic Performance: Empirical Evidence from Turkey”, Applied Economics Letters 23(5):353–60.
• Wong, Ka-Fu (2000), “Variability in the Effects of Monetary Policy on Economic Activity”, Journal of Money , Credit and Banking 32(2):179–98.
• Yılancı, Veli; Tıraşoglu, Muhammed; Arı, Ayşe (2016), “Para Politikası Şoklarının Etkisi: Asimetrik Etki Tepki Fonksiyonu Yaklaşımı”, Ekonomik Yaklasim 27(100):131–54.
• Yılmaz, Kamil (2009), "International Business Cycle Spillovers", Tüsiad-Koç University Economic Research Forum Working Paper.
• Yılmaz, Kamil (2010), “Return and Volatility Spillovers among the East Asian Equity Markets”, Journal of Asian Economics 21(3):304–13.
• Zakir, Nadia; Malik, Wasim Shahid (2013), “Are the Effects of Monetary Policy on Output Asymmetric in Pakistan?”, Economic Modelling 32(1):1–9.
• Zhou, Xiangyi; Zhang, Weijin; Zhang, Jie (2012), “Volatility Spillovers between the Chinese and World Equity Markets”, Pacific-Basin Finance Journal 20(2):247–70.
• Zivot, Eric; Andrews, Donald W. K. (1992), “Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis”, Journal of Business and Economic Statistics 10(3):251–70.