Are Budget and Current Account Deficits Twins in Turkey? Evidence from Residual-based Fourier Cointegration and Fourier Causality Analyses

Year 2021, Volume: 29 Issue: 49, 199 - 215, 30.07.2021

Mustafa Erhan Bilman

https://doi.org/10.17233/sosyoekonomi.2021.03.10

Cited By: 1

Abstract

This paper explores the relationship between the Turkish fiscal and current account balances with quarterly data spanning through 2006:1-2020:2 and adopting residual-based Fourier cointegration (or Fourier Engle-Granger, FEG) and Fourier Granger causality approaches. The findings from the FEG estimations suggest that budget and current account balances are cointegrated under smooth breaks in the series. More specifically, an improvement in the fiscal balance leads also to an amelioration in the current account balance - an outcome in line with the twin deficit hypothesis. In addition, a Fourier Granger causality analysis is performed for robustness check purposes. The findings are consistent with those from the FEG tests, which imply that a one-way causality running from the fiscal to the external balance is proved to be the case under smooth structural changes.

Keywords

Twin Deficit Hypothesis, Residual-Based Fourier Cointegration, Fourier Granger Causality

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Thanks

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Türkiye’de Bütçe ve Cari İşlemler Açıkları İkiz Mi? Kalıntı Temelli Fourier Eşbütünleşme ve Fourier Nedensellik Analizlerinden Kanıtlar

Abstract

Bu çalışma, Türkiye’nin bütçe dengesi ile cari işlemler dengesi arasındaki ilişkiyi, 2006:1- 2020:2 dönemine ilişkin üç aylık verileri kullanarak ve kalıntı temelli Fourier eşbütünleşme (ya da Fourier Engle-Granger, FEG) ve Fourier Granger nedensellik yaklaşımlarını benimseyerek keşfetmektedir. FEG tahminlerinden elde edilen sonuçlar, bütçe ve cari işlemler dengesinin serilerdeki yumuşak yapısal kırılmalar altında eşbütünleşik olduğunu göstermektedir. Daha açık bir anlatımla; mali dengedeki bir iyileşme, cari işlemler dengesinde de bir düzelmeye neden olmaktadır ki; bu bulgu, ikiz açık hipotezinin geçerliliğini desteklemektedir. Sağlamlık (robustness) sınaması amacı güdülerek, bir Fourier Granger nedensellik analizi de yürütülmüştür. Ondan elde edilen bulgular ile FEG testinden elde edilenler tutarlıdır, şöyle ki; mali dengeden cari işlemler dengesine doğru tek yönlü bir nedensellik ilişkisinin varlığı, yumuşak yapısal değişimler altında tespit edilmiştir.

Keywords

İkiz Açık Hipotezi, Kalıntı Temelli Fourier Eşbütünleşme, Fourier Granger Nedensellik

Project Number

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