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

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

References

• Aikman, D., Haldane, A.G. ve Nelson, B. (2014). “Curbing the Credit Cycle”, The Economic Journal, Vol. 125, Issue 585, June 2015, 1072-1109.
• Aizenman, J., Pinto, B. ve Vladyslav, S. (2013). “Financial Sector Ups and Downs and the Real Sector in the Open Economy: Up by the Stairs, Down by the Parachute”, Emerging Markets Review, 16(C), 1–30.
• Alessi, L.ve Detken, C. (2011). “Real Time Early Warning Indicators for Costly Asset Price Boom/Bust Cycles: A Role For Global Liquidity”, European Journal of Political Economy, 27(3), 520–33.
• Alvarez, L.J. ve Cabrero, A. (2010). “Does Housing Really Lead The Business Cycle?”, Banco De Espana, Madrid, 2010.
• Artis, M., Chouliarakis, G. ve Harischandra, P.K.G. (2011). “Business Cycle Synchronization Since 1880”, The Manchester School, Vol 79, No. 2, 173–207 March 2011, 2.
• Artis, M., Marcellino, M. ve Proietti, T. (2004). “Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area”, Oxford Bullettin of Economics & Statistics, Vol. 66, No.4, 537-565.
• Auroba, S.B., Diebold, F.X., Kose, M.A. ve Terrones, M.E. (2011). “Globalization, the Business Cycle, and Macroeconomic Monitoring”, IMF Working Paper, WP/11/25.
• Avouyi Dovi, S., & Matheron, J. (2005). “Interactions between business cycles, financial cycles and monetary policy: stylised facts”, BIS Çalışma Tebliği, Sayı 22, 273-298.
• Bank for International Settlements (BIS) (2001). “71st Annual Report 1 April 2000 – 31 March 2001”, BIS Report, Basel, 123-127.
• Bayoumi, T. ve Bui, T. (2010). “Deconstructing The International Business Cycle: Why Does A U.S. Sneeze Give The Rest Of The World A Cold?”, IMF Working Paper, WP/10/239. Binici, M. Hacıhasanoğlu, Y.S. Kütük, S. (2016), “Türkiye’de Finansal Çevrimler ve İş Çevrimleri: Ne Kadar Farklı, Ne Kadar Bağlantılı?, TCMB Ekonomi Notları, Sayı: 2016-26, 02 Eylül 2016, 1-2.
• Borio, C. ve Lowe, P. (2002). “Assessing the risk of banking crises”, BIS Quarterly Review, December, 43–54.
• Borio, C. ve Lowe, P. (2004). “Securing Sustainable Price Stability, Should Credit Come back from the Wilderness?”, BIS Working Paper, No 157.
• Borio, C. ve Drehmann, M. (2009). “Assessing the Risk of Banking Crises – Revisited”, BIS Quarterly Review, March 2009, 29–46.
• Borio, C. (2012). “The Financial Cycle and Macroeconomics: What have we learnt?”, Monetary and Economic Department, BIS Working Paper, No 395, 2-3.
• Borio, C., Disyatat, P. ve Juselius, M. (2013). “Rethinking Potential Output: Embedding Information about the Financial Cycle”, BIS Working Paper, No 404.
• Bracke, P. (2013). “How Long Do Housing Cycles Last? A Duration Analysis for 19 OECD Countries”, Journal of Housing Economics, 22, 213–30.
• Burns, A. ve Mitchell, W. (1946). “Measuring Business Cycles”, NBER, New York, 3.
• Cashin, P., Mohaddes, K. ve Raissi, M. (2012). “The Global Impact of the Systemic Economies and MENA Business Cycles”, IMF Working Paper, WP/12/255.
• Cesa-Bianchi, A., Pesaran, M.H., Rebucci, A. ve Xu. T. (2012). “China’s emergence in the world economy and business cycles in Latin America”, Journal of LACEA Economia.
• Chen, N., Chen, S., Chou, Y. (2010), “House Prices, Collateral Constraints, and the Asymmetric Effect on Consumption”, Journal of Housing Economics, 19, s.26-37.
• Claessens, S., Kose, M.A. ve Terrones, M.E. (2011a). “Financial cycles: What? How? When?”, IMF Working Paper, WP/11/76,3.
• Claessens, S., Kose, M.A. ve Terrones, M.E. (2011b). “How do business and financial cycles interact?”, IMF Working Paper, WP/11/88,11,12.
• Claessens, S., Kose, M.A. ve Terrones, M.E. (2012a). “How do business and financial cycles interact?” Journal of International Economics, 87, 178-190.
• Cuevas, A., Messmacher, M. ve Werner, A. (2002). “Macroeconomic Synchronization between Mexico and its NAFTA Partners”. World Bank, mimeo.
• Dées, S., di Mauro, F., Pesaran, M.H. ve Smith, L.V. (2005). “Exploring The International Linkages of The Euro Area: A Global VAR Analysis”, European Central Bank, Working Paper Series, No. 568, December 2005, 5-38.
• Dées, S., di Mauro, F., Pesaran, M.H. ve Smith, L.V. (2007). “Exploring The International Linkages of The Euro Area: A Global VAR Analysis”, Journal of Applied Econometrics, 22, 1-38, 2007, Wiley InterScience, http://onlinelibrary.wiley.com/doi/10.1002/jae.932/pdf (19.11.2015)
• Dées, S. (2015) “Credit, Asset Prices and Business Cycle at the Global Level”, European Central Bank, August 2015. 2-5.
• Detken, C. ve Smets, F. (2004). “Asset Price Booms and Monetary Policy”, ECB Working Paper, No 364.
• Drehmann, M. ve Juselius, M. (2012). “Measuring liquidity constraints in the economy: the dept service ratio and financial crises”, BIS Quarterly Review, September, 21-35.
• Drehmann, M. Borio, C. Tsatsaronis, K. (2012). “Characterising the financial cycle: don’t lose sight of the medium term!”, BIS Working Papers No: 380, June 2012.
• Drehmann, M. ve Tsatsaronis, K. (2014). “The Credit–to–GDP Gap and Countercyclical Capital Buffers: Questions and Answers”, BIS Quarterly Review, March 2014.
• English, W., Tsatsaronis, K. ve Zoli, E.(2005). “Assessing the Predictive Power of Measures of Financial Conditions For Macroeconomic Variables”, BIS Papers, No 22.
• Galesi, A. ve Sgherri, S. (2009). “Regional Financial Spillovers Across Europe: A Global VAR Analysis”, IMF Working Paper, WP/09/23.
• Goodhart, C. ve Hofmann, B. (2008). “House Prices, Money, Credit, and the Macroeconomy”, Oxford Review of Economic Policy, 24, 180–205.
• Greenwood-Nimmo, M., Nguyen, V.H. ve Shin Y. (2012a). “International Linkages of the Korean Economy: The Global Vector Error-Correcting Macroeconometric Modelling Approach”, Melbourne Institute Working Paper Series, WP2012n18, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
• Harding, D. ve Pagan, A. (2002a). “Dissecting the Cycle: A Methodological Investigation”, Journal of Monetary Economics, Vol. 49, 365-381.
• Hirata, H., Kose, M.A. ve Otrok, C. (2013). “Regionalization vs. Globalization”, IMF Working Paper, WP/13/19.
• Iacoviello, M., (2004), “Consumption, House Prices, and Collateral Constraints: A Structural Econometric Analysis”, Journal of Housing Economics, 13, 304-320.
• Knoop, T.A. (2010). Recessions and Depressions : Understanding Business Cycles, 2nd Ed., ABC CLIO, LLC, Santa Barbara, California, USA,3-5,12-15, 33-46, 56-63, 74, 87-88, 97-99, 104-106.
• Lucas, R.E. (1977). “Understanding Business Cycles”, Carnegie-Rochester Conference Series on Public Policy, vol.5,10.
• Male, R. (2011). “Developing Country Business Cycles: Characterizing the Cycle”, Emerging Markets Finance and Trade, Vol. 47, 20-39.
• Rana, P.B. (2007). “Economic Integration and Syncronization of Business Cycles in East Asia”, Journal of Asian Economics, Vol. 18, No.5, 711-725.
• Schularick, M. ve Taylor, A. M. (2012). “Credit Booms Gone Bust: Monetary Policy, Leverage Cycles and Financial Crises, 1870–2008”, American Economic Review, 102(2), 1029–1061.
• Stremmel, H. (2015). “Capturing The Financial Cycle In Europe”, ECB Working Paper Series, No 1811 / June 2015, 5.
• Sun, Y., Heinz, F.F. ve Ho, G. (2013). “Cross-country linkages in Europe: A Global VAR analysis”, IMF Working Paper, WP/13/194.
• Vansteenkiste, I. ve Hiebert, P. (2009). “Do House Price Developments Spill Over Across Euro Area Countries? Evidence From A Global VAR”, European Central Bank, Working Paper Series, No 1026.
• Wezel, T. (2014). “Rightsizing the Countercyclical Capital Buffer for EU Countries - A Residual Loss Approach”, European Central Bank, Manuscript.
• Xu, T. (2012). “The role of credit in international business cycle”, Cambridge Working Papers, 1202, Faculty of Economics, University of Cambridge.