Domestic Debt Intolerance and Bad Equilibrium: An Empirical Default Model

Year 2014, Issue: 13, 133 - 154, 01.06.2014

Ata Özkaya

Abstract

The Turkish financial crises 1994 and 2000-2001 are spaced some years apart, creating an illusion that “this time is different” among policymakers and investors. Suppose that the dynamics of the macroeconomy generates multiple values for the domestic interest rate premium : “bad” and “good.” The sudden shifts in financial markets that characterize financial crises are then interpreted as a shift from good equilibrium to the bad one. In this paper, we specify a dynamic model in which debt default through inflation is possible, determine its closed-form solution and multiple equilibria. We estimate the model using the properties of chaos theory, against post-liberalization period (1989-2010) data for Turkey. The problem takes as given our model economy with multiple equilibria and asks whether the multiple equilibria can be verified by the data. To make progress on this problem we introduce phase-space portrait of the interest rates and identify path for debt dynamics moving from low and diverging through high interest levels. Second, we measure how the default episodes 1994 and 2000-2001 converge on phase-space, depending on the maximal Lyapunov exponent. Since the data show support for the multiple-equilibrium explanation of the serial defaults, we better understand the significance of domestic debt behind the high inflation, banking crises and currency crashes that Turkish economy frequently experienced in its post-liberalization period.

Keywords

Defaults, Multiple Equilibria, Chaos Theory, This-Time-is-Different Syndrome, Interest Rates

Kamu İçborcuna Tahammül Sınırı ve Kötü Denge: Borç Krizi İçin Ampirik Bir Model

Abstract

2000-2001 Türk finansal krizinin 1994 krizinden uzun bir zaman sonra meydana gelmiş olması, politikacı ve yatırımcılar nazarında 2000-2001 krizi için “bu kez farklı” yönünde bir yanılsama yaratmıştır. Makroekonomik dinamiklerin çoklu-denge doğurabilecek durumuda olduğunu düşünelim, öyle ki bu dengelerin oluştuğu değerler : “kötü” ve”iyi” olarak nitelendirilsin. Dolayısı ile finansal pazarlarda meydana gelen ani kaymaları temsil eden finansal krizler iyi dengeden kötü dengeye doğru bir yerdeğiştirme olarak değerlendirilir. Bu çalışmamızda, enflasyon yaratılarak borcun değerinin azaltıldığı dinamik bir kamu borçlanması modeli oluşturduk ve bu modelin kapalı çözümü ile faizin çoklu-dengelerini belirledik. Daha sonra kaos teorisini kullanarak modelimizi, Türkiye’nin finansal serbestleşme sürecindeki (1989-2010) verileri üzerinde test ettik. Amacımız, modelimizde ortaya çıkan çoklu-dengenin, gerçek verilerle doğrulanıp doğrulanamayacağını araştırmaktır. Amacımıza istinaden ilgili borç faiz oranlarını faz-uzayında inceleyerek kamu içborç dinamiklerinin iyi dengeden saparak kötü dengeye, yani çok yüksek faiz oranlarına doğru izlediği faz-güzergahını tespit ettik. Buna paralel olarak da ilgili borç dinamiğin maksimum Lyapunov katsayısını hesap ederek,1994 ve 2000-2001 krizlerinin aslında incelenen döneme ait faz-uzayında tespit ettiğimiz kaotik davranışın parçaları olduğunu gösterdik. Literatürde ardışık borç krizlerini açıklamada kullanılan çoklu-dengenin araştırmamız neticesinde 1994 ve 2000-2001 krizlerinde de rol aldığını ampirik olarak gösterdiğimiz için daha iyi anlıyoruz ki, Türk ekonomisinin finansal serbestleşme sürecinde sıklıkla yaşadığı yüksek enflasyon, bankacılık krizleri ve kur krizlerinin arkasında kamu içborcu önemli bir etken olarak ortaya çıkmaktadır.

Keywords

Borç Krizleri, Bu Kez Farklı Sendromu, Çoklu-Denge, Kaos Teorisi, Borç Faizi

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