Financial and Business Cycles for Turkish Economy: Granger Causality Test

Year 2020, Volume: 7 Issue: 1, 18 - 38, 22.06.2020

Aycan Pervin Değneli

https://doi.org/10.34232/pjess.702956

Cited By: 1

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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