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PMI Öncü Bir Gösterge mi? Türkiye Örneği

Year 2020, Volume: 28 Issue: 45, 37 - 47, 30.07.2020
https://doi.org/10.17233/sosyoekonomi.2020.03.03

Abstract

Bu çalışmada Satınalma Yöneticileri Endeksi (PMI) ile çeşitli finansal faktörler arasındaki nedensellik ilişkisi araştırılmıştır. Analiz sonucunda BİST Sanayi Endeksindeki değişimin PMI’daki değişimin nedeni olduğu, PMI’daki değişimin ise Sanayi Üretim Endeksi (SÜE) ve Kapasite Kullanım Oranındaki (KKO) değişimin nedeni olduğu tespit edilmiştir. Ayrıca BİST Sanayi Endeksinden PMI’ya doğru nedenselliğin orta ve uzun dönemli, benzer şekilde PMI’dan SÜE doğru nedenselliğinde yine orta ve uzun dönemli olduğu, ancak PMI’dan KKO’na doğru nedenselliğin ise tüm dönemlerde geçerli olduğu tespit edilmiştir. Bu sonuçlara göre PMI’ın reel sektör için öncü bir gösterge olabileceği değerlendirilebilirken, finansal sektör için benzer bir durumun söz konusu olmadığı değerlendirilmektedir.

References

  • Afshar,T., Arabian, G., & Zomorrodian, R. (2007), “Stock Return, Consumer Confidence, Purchasing Manager’s Index And Economic Fluctuations”, Journal of Business and Economics Research, 5(8), 97-106.
  • Balke, N.S., & Fomby, T.B. (1997), “Threshold Cointegration”, International Economic Review, 38(3), 627-645.
  • Bodart, V., & Candelon, B. (2009), “Evidence of Interdependence and Contagion Using A Frequency Domain Framework”, Emerging Markets Review, 10(2), 140–150.Borsa İstanbul (2018), www.borsaistanbul.com, 01.06.2018.
  • Breitung, J., & Candelon, B. (2006), “Testing for Short and Long-Run Causality: A Frequency Domain Approach”, Journal of Econometrics, 132(2), 363–378.
  • Campbell, J. C. and Perron, P. (1991), “Pitfall and Opportunities: What Macroeconomists Should Know About Unit Roots”, NBER Technical Working Paper, http://www.journals.uchicago.edu/doi/pdfplus/10.1086/654163, 07.06.2018.
  • Central Bank of the Republic of Turkey (2018), www.tcmb.gov.tr, 15.06.2018.
  • Chiang, C.C. (2014), “A Study on The Relationships between Modified Purchase Management Index and Vanguard ETF”, Master Thesis, Tayvan: National Sun Yat-sen University.
  • Chindamo, P. (2010), “The Predictive Ability of Business Survey Indices”, Economic Papers, 29(4), 466–482.
  • Ciner, Ç. (2011) “Eurocurrency Interest Rate Linkages: A Frequency Domain Analysis”, International Review of Economics and Finance, 20(4), 498–505.
  • Granger, C.W.J. (1969), “Investigating Causal Relations By Econometric Models and Cross-Spectral Methods”. Econometrica, 37(3), 424-438.
  • Granger, C.W.J. (1988), “Some Recent Development in A Concept Of Causality”, Journal of Econometrics, 39(1–2), 199-211.
  • Geweke, J. (1982), “Measurement of Linear Dependence and Feedback Between Multiple Time Series”, Journal of the American Statistical Association, 77(378), 304-313.
  • Hosoya Y. (1991), “The Decomposition and Measurement of The Interdependency Between Second-Order Stationary Processes”, Probability Theory Relat Fields, 88(4), 429–444.
  • İskenderoğlu, Ö., & Akdağ, S. (2017), “Finansal Hizmetler Güven Endeksinin Geçerliliğinin İncelenmesi: Türkiye Örneği”, Uluslararası Ekonomik Araştırmalar Dergisi, 3(4), 625-633.
  • Istanbul Chamber of Industry (2018), www.iso.org.tr, 15.06.2018.
  • Johnson, M. A., & Watson, K. J. (2011), “Can Changes in The Purchasing Managers’ Index Foretell Stock Returns? An Additional Forward-Looking Sentiment Indicator” The Journal of Investing, 20(4), 89-98.
  • Joseph, A., Larrain, M., & Turnerc, C. (2011), “Forecasting Purchasing Managers’ Index with Compressed Interest Rates and Past Values”, Procedia Computer Science, 6, 213-218.
  • Kratschell, K., & Schmidt, T. (2012), “Long-Run Trends or Short-Run Fluctuations – What Establishes The Correlation Between Oil and Food Prices?”, Ruhr Economic Paper, 357, 3-19.
  • Khundrakpam, J.K., & George, A.T. (2013), “An Empirical Analysis of The Relationship Between WPI and PMI-Manufacturing Price Indices in India. Reserve Bank of India”, RBI Working Paper Series, 6, 1-15.
  • Mudgal, N. (2014), “An Empirical Analysis of The Relationship Between The Purchasing Managers’ Index (PMI) and Share Prices in The Manufacturing Sector of South Africa”, Master Thesis. Faculty of Commerce, Law, and Management. Johannesburg, : University of the Witwatersrand.
  • Nelson, C.R., & Plosser, C.R. (1982), “Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications”, Journal of Monetary Economics, 10(2), 139-162.
  • Saraç, T. B., İskenderoğlu, Ö., & Akdağ, S. (2016), “Yerli ve Yabancı Yatırımcılara Ait Risk İştahlarının İncelenmesi: Türkiye Örneği”, Sosyoekonomi, 24(30), 29-44.
  • Schwert, G.W. (2002), “Tests for Unit Roots: A Monte Carlo Investigation”, Journal of Business and Economic Statistics, 20(1), 5-17.
  • Tarı, R., Abasız, T., & Pehlivanoğlu, F. (2012), “TEFE (ÜFE) - TÜFE Fiyat Endeksleri Arasındaki Nedensellik Ilişkisi: Frekans Alanı Yaklaşımı”, Akdeniz İ.İ.B.F. Dergisi, 24, 1- 15.
  • Tsuchiya, Y. (2012), “Is The Purchasing Managers’ Index Useful For Assessing The Economy’s Strength? A Directional Analysis”, Economics Bulletin, 32(2), 1302-1311.
  • Turkish Statistical Institute (2018), www.tuik.gov.tr, 15.06.2018.
  • Yanfeng, W. (2013), “The Dynamic Relationships Between Oil Prices and The Japanese Economy: A Frequency Domain Analysis”, Review Of Economics and Finance, 3, 57-67.
  • Yao, F., & Hosoya, Y. (2000), “Inference on One-Way Effect and Evidence in Japanese Macroeconomic Data”, Journal of Econometrics, 98(2), 225–255.
  • Yule, G.U. (1926), “Why Do We Sometimes Get Nonsense-Correlations Between Time-Series?--A Study in Sampling and The Nature of Time-Series”, Journal of the Royal Statistical Society, 89(1), 1-63.

Is PMI a Leading Indicator: Case of Turkey

Year 2020, Volume: 28 Issue: 45, 37 - 47, 30.07.2020
https://doi.org/10.17233/sosyoekonomi.2020.03.03

Abstract

In this study, the causal relationships of the Purchasing Managers Index (PMI) with various financial factors are examined. As a result of the analysis, it is determined that the change in the Istanbul-Stock-Exchange-Industry Index (ISEIND) causes the change in the PMI and the changes in the PMI also causes the changes in the Industrial-Production Index (IPI) and the Capacity-Utilization-Rates (CUR). It is also determined that the causality towards to PMI from the ISEIND and causality towards IPI from PMI is valid in the medium- and long-run, whereas the causality towards PMI to CUR are valid for the all periods. According to these results, PMI can be considered as a leading indicator for the real sector. However, the same result does not apply to the financial sector.

References

  • Afshar,T., Arabian, G., & Zomorrodian, R. (2007), “Stock Return, Consumer Confidence, Purchasing Manager’s Index And Economic Fluctuations”, Journal of Business and Economics Research, 5(8), 97-106.
  • Balke, N.S., & Fomby, T.B. (1997), “Threshold Cointegration”, International Economic Review, 38(3), 627-645.
  • Bodart, V., & Candelon, B. (2009), “Evidence of Interdependence and Contagion Using A Frequency Domain Framework”, Emerging Markets Review, 10(2), 140–150.Borsa İstanbul (2018), www.borsaistanbul.com, 01.06.2018.
  • Breitung, J., & Candelon, B. (2006), “Testing for Short and Long-Run Causality: A Frequency Domain Approach”, Journal of Econometrics, 132(2), 363–378.
  • Campbell, J. C. and Perron, P. (1991), “Pitfall and Opportunities: What Macroeconomists Should Know About Unit Roots”, NBER Technical Working Paper, http://www.journals.uchicago.edu/doi/pdfplus/10.1086/654163, 07.06.2018.
  • Central Bank of the Republic of Turkey (2018), www.tcmb.gov.tr, 15.06.2018.
  • Chiang, C.C. (2014), “A Study on The Relationships between Modified Purchase Management Index and Vanguard ETF”, Master Thesis, Tayvan: National Sun Yat-sen University.
  • Chindamo, P. (2010), “The Predictive Ability of Business Survey Indices”, Economic Papers, 29(4), 466–482.
  • Ciner, Ç. (2011) “Eurocurrency Interest Rate Linkages: A Frequency Domain Analysis”, International Review of Economics and Finance, 20(4), 498–505.
  • Granger, C.W.J. (1969), “Investigating Causal Relations By Econometric Models and Cross-Spectral Methods”. Econometrica, 37(3), 424-438.
  • Granger, C.W.J. (1988), “Some Recent Development in A Concept Of Causality”, Journal of Econometrics, 39(1–2), 199-211.
  • Geweke, J. (1982), “Measurement of Linear Dependence and Feedback Between Multiple Time Series”, Journal of the American Statistical Association, 77(378), 304-313.
  • Hosoya Y. (1991), “The Decomposition and Measurement of The Interdependency Between Second-Order Stationary Processes”, Probability Theory Relat Fields, 88(4), 429–444.
  • İskenderoğlu, Ö., & Akdağ, S. (2017), “Finansal Hizmetler Güven Endeksinin Geçerliliğinin İncelenmesi: Türkiye Örneği”, Uluslararası Ekonomik Araştırmalar Dergisi, 3(4), 625-633.
  • Istanbul Chamber of Industry (2018), www.iso.org.tr, 15.06.2018.
  • Johnson, M. A., & Watson, K. J. (2011), “Can Changes in The Purchasing Managers’ Index Foretell Stock Returns? An Additional Forward-Looking Sentiment Indicator” The Journal of Investing, 20(4), 89-98.
  • Joseph, A., Larrain, M., & Turnerc, C. (2011), “Forecasting Purchasing Managers’ Index with Compressed Interest Rates and Past Values”, Procedia Computer Science, 6, 213-218.
  • Kratschell, K., & Schmidt, T. (2012), “Long-Run Trends or Short-Run Fluctuations – What Establishes The Correlation Between Oil and Food Prices?”, Ruhr Economic Paper, 357, 3-19.
  • Khundrakpam, J.K., & George, A.T. (2013), “An Empirical Analysis of The Relationship Between WPI and PMI-Manufacturing Price Indices in India. Reserve Bank of India”, RBI Working Paper Series, 6, 1-15.
  • Mudgal, N. (2014), “An Empirical Analysis of The Relationship Between The Purchasing Managers’ Index (PMI) and Share Prices in The Manufacturing Sector of South Africa”, Master Thesis. Faculty of Commerce, Law, and Management. Johannesburg, : University of the Witwatersrand.
  • Nelson, C.R., & Plosser, C.R. (1982), “Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications”, Journal of Monetary Economics, 10(2), 139-162.
  • Saraç, T. B., İskenderoğlu, Ö., & Akdağ, S. (2016), “Yerli ve Yabancı Yatırımcılara Ait Risk İştahlarının İncelenmesi: Türkiye Örneği”, Sosyoekonomi, 24(30), 29-44.
  • Schwert, G.W. (2002), “Tests for Unit Roots: A Monte Carlo Investigation”, Journal of Business and Economic Statistics, 20(1), 5-17.
  • Tarı, R., Abasız, T., & Pehlivanoğlu, F. (2012), “TEFE (ÜFE) - TÜFE Fiyat Endeksleri Arasındaki Nedensellik Ilişkisi: Frekans Alanı Yaklaşımı”, Akdeniz İ.İ.B.F. Dergisi, 24, 1- 15.
  • Tsuchiya, Y. (2012), “Is The Purchasing Managers’ Index Useful For Assessing The Economy’s Strength? A Directional Analysis”, Economics Bulletin, 32(2), 1302-1311.
  • Turkish Statistical Institute (2018), www.tuik.gov.tr, 15.06.2018.
  • Yanfeng, W. (2013), “The Dynamic Relationships Between Oil Prices and The Japanese Economy: A Frequency Domain Analysis”, Review Of Economics and Finance, 3, 57-67.
  • Yao, F., & Hosoya, Y. (2000), “Inference on One-Way Effect and Evidence in Japanese Macroeconomic Data”, Journal of Econometrics, 98(2), 225–255.
  • Yule, G.U. (1926), “Why Do We Sometimes Get Nonsense-Correlations Between Time-Series?--A Study in Sampling and The Nature of Time-Series”, Journal of the Royal Statistical Society, 89(1), 1-63.
There are 29 citations in total.

Details

Primary Language English
Journal Section Articles
Authors

Saffet Akdağ 0000-0001-9576-6786

Ali Deran This is me 0000-0001-5377-6740

Ömer İskenderoğlu This is me 0000-0002-3407-1259

Publication Date July 30, 2020
Submission Date August 31, 2019
Published in Issue Year 2020 Volume: 28 Issue: 45

Cite

APA Akdağ, S., Deran, A., & İskenderoğlu, Ö. (2020). Is PMI a Leading Indicator: Case of Turkey. Sosyoekonomi, 28(45), 37-47. https://doi.org/10.17233/sosyoekonomi.2020.03.03
AMA Akdağ S, Deran A, İskenderoğlu Ö. Is PMI a Leading Indicator: Case of Turkey. Sosyoekonomi. July 2020;28(45):37-47. doi:10.17233/sosyoekonomi.2020.03.03
Chicago Akdağ, Saffet, Ali Deran, and Ömer İskenderoğlu. “Is PMI a Leading Indicator: Case of Turkey”. Sosyoekonomi 28, no. 45 (July 2020): 37-47. https://doi.org/10.17233/sosyoekonomi.2020.03.03.
EndNote Akdağ S, Deran A, İskenderoğlu Ö (July 1, 2020) Is PMI a Leading Indicator: Case of Turkey. Sosyoekonomi 28 45 37–47.
IEEE S. Akdağ, A. Deran, and Ö. İskenderoğlu, “Is PMI a Leading Indicator: Case of Turkey”, Sosyoekonomi, vol. 28, no. 45, pp. 37–47, 2020, doi: 10.17233/sosyoekonomi.2020.03.03.
ISNAD Akdağ, Saffet et al. “Is PMI a Leading Indicator: Case of Turkey”. Sosyoekonomi 28/45 (July 2020), 37-47. https://doi.org/10.17233/sosyoekonomi.2020.03.03.
JAMA Akdağ S, Deran A, İskenderoğlu Ö. Is PMI a Leading Indicator: Case of Turkey. Sosyoekonomi. 2020;28:37–47.
MLA Akdağ, Saffet et al. “Is PMI a Leading Indicator: Case of Turkey”. Sosyoekonomi, vol. 28, no. 45, 2020, pp. 37-47, doi:10.17233/sosyoekonomi.2020.03.03.
Vancouver Akdağ S, Deran A, İskenderoğlu Ö. Is PMI a Leading Indicator: Case of Turkey. Sosyoekonomi. 2020;28(45):37-4.