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Türkiye İçin Finansal Koşulların Bir Analizi: Faktör ve VAR Modellerinden Bulgular

Year 2017, Volume: 12 Issue: 1, 99 - 120, 01.04.2017
https://doi.org/10.17153/oguiibf.298767

Abstract

Bu
çalışma 1992:1 ve 2015:12 dönemini kapsayacak şekilde Türkiye için alternatif
finansal koşullar endekslerinin (FKE)
hesaplanması ve öngörü güçlerinin değerlendirilmesini
amaçlamaktadır. Bu çerçevede, ilk olarak finansal koşullar endeksleri dört metodolojiye
dayanılarak elde edilmiştir: İndirgenmiş form talep denklemleri, VAR genelleştirilmiş
etki-tepki fonksiyonları, dinamik faktör modeli ve faktör-genişletilmiş VAR
modelleri (FAVARs). Çalışmanın ikinci kısmında alternatif FKE’ler sanayi üretim
açığını örneklem içi ve örneklem dışı öngörü gücü açısından
karşılaştırılmıştır. Sonuçlar eş varyanslı FAVAR yönteminden elde edilen
FKE’nin en iyi örneklem dışı öngörüyü sağladığını ortaya koymaktadır, bu
nedenle söz konusu FKE iktisadi aktivitenin öncül bir göstergesi olarak
önerilmektedir.   

References

  • ANGELOPOULOU, E., BALFOUSSİA, H. ve GİBSON, H. D. (2014). “Building a Financial Conditions Index for the Euro Area and Selected Euro Area Countries: What Does it Tell Us About the Crisis?”, Economic Modelling, 38, 392-403.
  • BAŞÇI, E. ve KARA, H. (2011). “Finansal İstikrar ve Para Politikası”, İktisat İşletme ve Finans, 26(302), 9-25.
  • BERUMENT, M. H., CEYLAN, N. B. ve DOĞAN, B. (2014). “An Interest-Rate-Spread-Based Measure of Turkish Mone-tary Policy”, Applied Economics, 46(15): 1804-1813.
  • CHOW, H. K. (2013). “Can a Financial Conditions Index Guide Monetary Policy? The Case of Singapore”, Research Collection School of Economics.
  • DOZ, C., GİANNONE, D. ve REİCHLİN, L. (2011). “A Two-Step Estimator For Large Approximate Dynamic Factor Mo-dels Based On Kalman Filtering”, Journal of Econometrics, 164(1), 188-205.
  • FIORENTINI, G. ve PLANAS, C. (2003). “Busy Program User-Manual”, Joint Research Centre of European Commission, Tools and Practies for Business Cycle Analysis in European Union, EC Fifth Framework Program, Ispra, Italy.
  • FORNI, M., HALLİN, M., LİPPİ, M. ve REİCHLİN, L. (2000a). “Reference Cycles: The NBER Methodology Revisited”, CEPR Discussion Papers, No: 2400.
  • FORNI, M., HALLİN, M., LİPPİ, M. Ve REİCHLİN, L. (2000b). “The Generalised Dynamic Factor Model: Identification and Estimation”, Review of Economics and Statistics, 82(4), 540-554
  • GAUTHİER, C., GRAHAM, C. ve LİU, Y. (2004). “Financial Conditions Indexes for Canada”, Bank of Canada Working Paper, No: 2004-22.
  • GOODHART, C. ve HOFMANN, B. (2000). “Financial Variables and the Conduct of Monetary Policy”, Sveriges Riksbank Working Paper, No: 112.
  • GOODHART, C. ve HOFMANN, B. (2001). “Asset Prices, Financial Conditions and the Transmission of Monetary Po-licy”. Paper prepared for the conference on Asset Prices, Exchange Rates, and Monetary Policy, Stanford Univer-sity. 2001 March.
  • GOODHART, C. ve HOFMANN, B. (2002). “Asset Prices and the Conduct of Monetary Policy”, Royal Economic Society Annual Conference, No: 88.
  • GUMATA, N., KLEİN N. ve NDOU E. (2012). “A Financial Condition Index for South Africa”, IMF Working Papers, No: 196.
  • HATZIUS, J., HOOPER, P., MİSHKİN, F. S., SCHOENHOLTZ, K. L. ve WATSON,M. W. (2010) “Financial Conditions In-dexes: A Fresh Look After the Financial Crisis”, NBER Working Paper, No: 16150.
  • HODRICK, R. J. ve PRESCOTT, E. C. (1997). “Postwar U. S. Business Cycles: An Empirical Investigation”, Journal of Money, Credit and Banking, 29(1), 1-16.
  • KARA, A. H. (2012). “Küresel Kriz Sonrası Para Politikası”, TCMB Çalışma Tebliği, No: 12/17.
  • KARA, H., ÖZLÜ P. ve ÜNALMIŞ, D. (2012). “Financial Conditions Indices for the Turkish Economy”, CBT Research Notes in Economics, No: 2012-31.
  • KARA, H., ÖZLÜ, P. ve ÜNALMIŞ. D. (2015). “Türkiye için Finansal Koşullar Endeksi”, TCMB Çalışma Tebliği, No: 15/13.
  • KOOP, G. ve KOROBİLİS, D. (2013). “A New Index of Financial Conditions”, MPRA Paper, 45463.
  • KOOP G. ve KOROBİLİS, D. (2014). “A New Index of Financial Conditions”, European Economic Review, 71, 101-116.
  • MATHESON, T. (2011). “Financial Conditions Indexes for the United States and Euro Area”, IMF Working Paper, No: 11/93
  • MAYES, D. ve VİRÉN, M. (2001). “Financial Conditions Indexes,” Bank of Finland Discussion Paper, No: 17.
  • MONTAGNOLI, A. ve NAPOLİTANO, O. (2006). “Financial Condition Index and Interest Rate Settings: A Comparative Analysis”, Department of Economic Studies, University of Naples “Parthenope”, Discussion Paper, No: 2.
  • OSORIO, C., PONGSAPARN, R. ve Ünsal, D. F. (2011). “A Quantitative Assessment of Financial Conditions in Asia”, IMF Working Paper Asia and Pacific Department, No: 11/173.
  • PARIES, M. D., MAURİN L. ve MOCCERO, D. (2014). “Financial Conditions Index and Credit Supply Shocks for the Euro Area”, European Central Bank Working Paper Series, No: 1644.
  • PESARAN, H. H. ve SHİN Y. (1998), “Generalized Impulse Response Analysis in Linear Multivariate Models”, Econo-mics Letters, 58(1), 17-29.
  • RAFTERY, E. A., KÁRNÝ, M. ve ETTLER P. (2010). “Online Prediction Under Model Uncertainty Via Dynamic Model Averaging: Application to a Cold Rolling Mill”, Technometrics, 52 (1), 52-66.
  • SWISTON, A. (2008). “A U.S. Financial Conditions Index: Putting Credit Where Credit is Due”, IMF Working Paper Western Hemisphere Department, No: 08/161.
  • THOMPSON, K., EYDEN R. V. ve GUPTA, R. (2013). “Identifying a Financial Conditions Index for South Africa”, Univer-sity of Pretoria, Department of Economics Working Papers, No: 201333.
  • US BUREAU OF THE CENSUS (2013), “X-13ARIMA-SEATS Reference Manual, Version 1.1”, US Bureau of the Census, Washington.
  • WACKER, K., LODGE, D. ve NİCOLETT, G. (2014). “Measuring Financial Conditions in Major Non-Euro Area Econo-mies”, European Central Bank Working Papers Series, No: 1743.

An Analysis of Financial Conditions for Turkey: Evidences from Factor and VAR models

Year 2017, Volume: 12 Issue: 1, 99 - 120, 01.04.2017
https://doi.org/10.17153/oguiibf.298767

Abstract

This paper aims to calculate alternative financial conditions indexes (FCIs) and
evaluate the forecasting performance of them for Turkey covering the period
1992:1 and 2015:12. For this purpose, first financial conditions indexes are constructed based
on four methodologies: Reduced form
demand functions, VAR generalized impulse-response functions, dynamic factor
model and factor-augmented VAR models (FAVARs). In the second part of the study
the performance of the alternative
FCIs are assessed in terms their in-sample and out-of-sample forecasting
ability to industrial production gap. The results suggest that the FCI obtained
from the homoscedastic FAVAR model provides the best  out-of-sample forecasts, hence
it is suggested as a leading indicator of economic activity.

References

  • ANGELOPOULOU, E., BALFOUSSİA, H. ve GİBSON, H. D. (2014). “Building a Financial Conditions Index for the Euro Area and Selected Euro Area Countries: What Does it Tell Us About the Crisis?”, Economic Modelling, 38, 392-403.
  • BAŞÇI, E. ve KARA, H. (2011). “Finansal İstikrar ve Para Politikası”, İktisat İşletme ve Finans, 26(302), 9-25.
  • BERUMENT, M. H., CEYLAN, N. B. ve DOĞAN, B. (2014). “An Interest-Rate-Spread-Based Measure of Turkish Mone-tary Policy”, Applied Economics, 46(15): 1804-1813.
  • CHOW, H. K. (2013). “Can a Financial Conditions Index Guide Monetary Policy? The Case of Singapore”, Research Collection School of Economics.
  • DOZ, C., GİANNONE, D. ve REİCHLİN, L. (2011). “A Two-Step Estimator For Large Approximate Dynamic Factor Mo-dels Based On Kalman Filtering”, Journal of Econometrics, 164(1), 188-205.
  • FIORENTINI, G. ve PLANAS, C. (2003). “Busy Program User-Manual”, Joint Research Centre of European Commission, Tools and Practies for Business Cycle Analysis in European Union, EC Fifth Framework Program, Ispra, Italy.
  • FORNI, M., HALLİN, M., LİPPİ, M. ve REİCHLİN, L. (2000a). “Reference Cycles: The NBER Methodology Revisited”, CEPR Discussion Papers, No: 2400.
  • FORNI, M., HALLİN, M., LİPPİ, M. Ve REİCHLİN, L. (2000b). “The Generalised Dynamic Factor Model: Identification and Estimation”, Review of Economics and Statistics, 82(4), 540-554
  • GAUTHİER, C., GRAHAM, C. ve LİU, Y. (2004). “Financial Conditions Indexes for Canada”, Bank of Canada Working Paper, No: 2004-22.
  • GOODHART, C. ve HOFMANN, B. (2000). “Financial Variables and the Conduct of Monetary Policy”, Sveriges Riksbank Working Paper, No: 112.
  • GOODHART, C. ve HOFMANN, B. (2001). “Asset Prices, Financial Conditions and the Transmission of Monetary Po-licy”. Paper prepared for the conference on Asset Prices, Exchange Rates, and Monetary Policy, Stanford Univer-sity. 2001 March.
  • GOODHART, C. ve HOFMANN, B. (2002). “Asset Prices and the Conduct of Monetary Policy”, Royal Economic Society Annual Conference, No: 88.
  • GUMATA, N., KLEİN N. ve NDOU E. (2012). “A Financial Condition Index for South Africa”, IMF Working Papers, No: 196.
  • HATZIUS, J., HOOPER, P., MİSHKİN, F. S., SCHOENHOLTZ, K. L. ve WATSON,M. W. (2010) “Financial Conditions In-dexes: A Fresh Look After the Financial Crisis”, NBER Working Paper, No: 16150.
  • HODRICK, R. J. ve PRESCOTT, E. C. (1997). “Postwar U. S. Business Cycles: An Empirical Investigation”, Journal of Money, Credit and Banking, 29(1), 1-16.
  • KARA, A. H. (2012). “Küresel Kriz Sonrası Para Politikası”, TCMB Çalışma Tebliği, No: 12/17.
  • KARA, H., ÖZLÜ P. ve ÜNALMIŞ, D. (2012). “Financial Conditions Indices for the Turkish Economy”, CBT Research Notes in Economics, No: 2012-31.
  • KARA, H., ÖZLÜ, P. ve ÜNALMIŞ. D. (2015). “Türkiye için Finansal Koşullar Endeksi”, TCMB Çalışma Tebliği, No: 15/13.
  • KOOP, G. ve KOROBİLİS, D. (2013). “A New Index of Financial Conditions”, MPRA Paper, 45463.
  • KOOP G. ve KOROBİLİS, D. (2014). “A New Index of Financial Conditions”, European Economic Review, 71, 101-116.
  • MATHESON, T. (2011). “Financial Conditions Indexes for the United States and Euro Area”, IMF Working Paper, No: 11/93
  • MAYES, D. ve VİRÉN, M. (2001). “Financial Conditions Indexes,” Bank of Finland Discussion Paper, No: 17.
  • MONTAGNOLI, A. ve NAPOLİTANO, O. (2006). “Financial Condition Index and Interest Rate Settings: A Comparative Analysis”, Department of Economic Studies, University of Naples “Parthenope”, Discussion Paper, No: 2.
  • OSORIO, C., PONGSAPARN, R. ve Ünsal, D. F. (2011). “A Quantitative Assessment of Financial Conditions in Asia”, IMF Working Paper Asia and Pacific Department, No: 11/173.
  • PARIES, M. D., MAURİN L. ve MOCCERO, D. (2014). “Financial Conditions Index and Credit Supply Shocks for the Euro Area”, European Central Bank Working Paper Series, No: 1644.
  • PESARAN, H. H. ve SHİN Y. (1998), “Generalized Impulse Response Analysis in Linear Multivariate Models”, Econo-mics Letters, 58(1), 17-29.
  • RAFTERY, E. A., KÁRNÝ, M. ve ETTLER P. (2010). “Online Prediction Under Model Uncertainty Via Dynamic Model Averaging: Application to a Cold Rolling Mill”, Technometrics, 52 (1), 52-66.
  • SWISTON, A. (2008). “A U.S. Financial Conditions Index: Putting Credit Where Credit is Due”, IMF Working Paper Western Hemisphere Department, No: 08/161.
  • THOMPSON, K., EYDEN R. V. ve GUPTA, R. (2013). “Identifying a Financial Conditions Index for South Africa”, Univer-sity of Pretoria, Department of Economics Working Papers, No: 201333.
  • US BUREAU OF THE CENSUS (2013), “X-13ARIMA-SEATS Reference Manual, Version 1.1”, US Bureau of the Census, Washington.
  • WACKER, K., LODGE, D. ve NİCOLETT, G. (2014). “Measuring Financial Conditions in Major Non-Euro Area Econo-mies”, European Central Bank Working Papers Series, No: 1743.
There are 31 citations in total.

Details

Journal Section Articles
Authors

Coşkun Akdeniz

Abdurrahman Nazif Çatık

Publication Date April 1, 2017
Submission Date March 18, 2017
Published in Issue Year 2017 Volume: 12 Issue: 1

Cite

APA Akdeniz, C., & Çatık, A. N. (2017). Türkiye İçin Finansal Koşulların Bir Analizi: Faktör ve VAR Modellerinden Bulgular. Eskişehir Osmangazi Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 12(1), 99-120. https://doi.org/10.17153/oguiibf.298767