Türkiye’de Finansal İstikrarın Reel Ekonomiye Etkisi: Doğrusal ve Doğrusal Olmayan ARDL Modellemelerine Dayalı Olarak

Year 2020, Volume: 28 Issue: 46, 117 - 140, 31.10.2020

Mesut Alper Gezer Ramazan Kılıç

https://doi.org/10.17233/sosyoekonomi.2020.04.06

Cited By: 1

Abstract

Finansal sistemin istikrar durumu ve reel ekonomiye olan etkisi bir tartışma konusudur. Çalışmanın amacı finansal sistemin istikrar durumunun reel ekonomi üzerindeki etkisini araştırmak ve karşılıklı asimetrik etkileri ortaya koymaktır. Bu doğrultuda, Türkiye’de finansal sistemin istikrar durumunun ölçümlenmesi için toplu finansal istikrar endeksi 2004-2017 çeyreklik dönemine yönelik geliştirilmiştir. İlgili endeks hem küresel hem de yerel ekonomik hâdiseleri yansıtması bakımından dönemin iyi bir temsilcisidir. Değişkenlerin birim kök özelliklerinden kaynaklı olarak doğrusal ARDL modelinin kullanılmasına karar verilmiştir. Finansal sistemin istikrar ve istikrarsızlık durumlarının ayrı ayrı analiz edilmesi amacıyla doğrusal olmayan ARDL modeli ve Hatemi-J asimetrik nedensellik testi kullanılmıştır. İlgili dönemde finansal istikrar reel ekonomiyi istikrarsızlıktan daha çok etkilemektedir.

Keywords

Finansal İstikrar, Reel Ekonomi, ARDL, Asimetri, Hatemi J

The Impact of Financial Stability on Real Economy in Turkey: Based on Linear and Non-Linear ARDL Models

Abstract

The stability situation of financial system and its impact on real economy is a discussion subject. The aim of the study is to investigate the impact of stability situation of financial system on real economy and reveal reciprocal asymmetric effects between each other. For this purpose, composite financial stability index is developed in order to gauge stability situation of Turkey’s financial system for the quarterly period of 2004-2017. It was seen that index is a good proxy of related period due to reflect domestic and global economic affairs. Linear ARDL model was determined based on unit root structures of variables. Non-linear ARDL model and Hatemi-J causality test were used to analyse stability and instability situations of financial system, separately. The findings indicate that financial stability affects real economy more than instability at the related period.

Keywords

Financial Stability, Real Economy, ARDL, Asymmetry, Hatemi J

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