Financial and Business Cycles for Turkish Economy: Granger Causality Test

Abstract

The world economy has moved towards closer integration. Understanding the fluctuations that occur in the economy is important for financial markets and whole of the economy. The aim of this study is to analyse the interactions of financial cycles and business cycles for Turkish economy. In able to confirm this by using monthly data between 2003:1 – 2015:12 the interactions of financial cycles and business cycles for Turkish economy have analysed with Granger Causality Test. According to the results, real credit volume index and house price index stand out as the explanatory variable causing fluctuations on macroeconomic variables. Another result obtained from the study is about the relationships between financial variables. Accordingly, there is a bidirectional causality relationship between the house price index and the real credit volume index. Considering this causality relationship between macroeconomic and financial variables, it is concluded that the real credit volume index and house price index can be used as a descriptive variable in the analysis of business cycles in the economy.

Keywords

• Financial Cycles,Business Cycles,Turkish Economy,Granger Causality Test

Türkiye Ekonomisi İçin Finansal Çevrimler ve İş Çevrimleri: Granger Nedensellik Testi

Abstract

Dünya ekonomisi oldukça sıkı bir entegrasyon sürecine girmiştir. Ekonomide meydana gelen dalgalanmaların anlaşılması, finansal piyasalar ve ekonominin bütünü açısından oldukça önemlidir. Bu çalışmanın amacı Türkiye ekonomisinde iş çevrimleri ve finansal çevrimler arasındaki ilişkinin analiz edilmesidir. Bunun için 2003:1 – 2015:12 dönemine ait aylık veriler kullanılarak Türkiye ekonomisinde iş çevrimleri ve finansal çevrimler arasındaki etkileşimler Granger Nedensellik Testi ile saptanmaya çalışılmıştır. Elde edilen sonuçlara göre reel kredi hacmi endeksi ve konut fiyatları endeksinin makroekonomik değişkenler üzerinde dalgalanmalara sebep olan açıklayıcı değişken olarak öne çıktığı görülmektedir. Çalışmadan elde edilen diğer bir sonuç ise finansal değişkenlerin birbirleri arasındaki ilişkiler ile ilgilidir. Buna göre konut fiyatları endeksi ve reel kredi hacmi endeksi arasında çift yönlü bir nedensellik ilişkisi bulunmaktadır. Makroekonomik değişkenler ve finansal değişkenler arasındaki bu nedensellik ilişkisi göz önünde bulundurulduğunda iş çevrimleri ve finansal çevrimler üzerine yapılacak çalışmalarda reel kredi hacmi endeksi ve konut fiyatları endeksinin ekonomideki iş çevrimlerinin analiz edilmesinde açıklayıcı değişken olarak kullanılabileceği sonucuna ulaşılmıştır.

Keywords

• Finansal Çevrimler,İş Çevrimleri,Türkiye Ekonomisi,Granger Nedensellik Testi

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